On ambiguity apportionment

Christophe Courbage and Beatrice Rey ()
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Christophe Courbage: The Geneva Association

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Abstract: This paper investigates the notion of changes in ambiguity over loss probabilities in the smooth ambiguity model developed by Klibanoff, Marinacci and Mukerji (2005). Changes in ambiguity over loss probabilities are expressed through the specific concept of stochastic dominance of order n defined by Ekern (1980). We characterize conditions on the function capturing attitudes towards ambiguity under which an individual always considers one situation to be more ambiguous than another in a model of two states of nature. We propose an intuitive interpretation of the properties of this function in terms of preferences for harms disaggregation over probabilities, also labelled ambiguity apportionment.

Keywords: Smooth ambiguity aversion; more ambiguity; ambiguity apportionment; stochastic dominance (search for similar items in EconPapers)
Date: 2015
New Economics Papers: this item is included in nep-mic and nep-upt
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-01223230v1
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Related works:
Journal Article: On ambiguity apportionment (2016)
Working Paper: On ambiguity apportionment (2016)
Working Paper: On ambiguity apportionment (2015)
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