Comparative Ambiguity Aversion in Intertemporal Decisions

被引：2
|
作者：
Wang, Jianli [1 ]
Li, Jingyuan [2 ]
机构：
[1] Nanjing Univ Aeronaut & Astronaut, Coll Econ & Management, Nanjing 211106, Peoples R China
[2] Lingnan Univ, Dept Finance & Insurance, Hong Kong, Peoples R China
来源：
JOURNAL OF RISK AND INSURANCE | 2020年 / 87卷 / 01期
基金：
中国国家自然科学基金;
关键词：
ROBUST PERMANENT INCOME; COMPARATIVE STATICS; EQUILIBRIUM; INSURANCE; RISK;
D O I：
10.1111/jori.12253
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This article examines the effects of ambiguity aversion on intertemporal decisions when there is ambiguity about a future state. Compared to the existing literature, we allow for a three-way separation between intertemporal substitution, risk aversion, and ambiguity aversion. Holding risk preferences, beliefs, and time preferences fixed, we explore how a change in ambiguity aversion increases the strength of the current willingness to pay. We apply our results to saving, self-protection, and self-insurance problems.
引用
收藏
页码：195 / 212
页数：18
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