Comparative Ambiguity Aversion in Intertemporal Decisions

Jianli WANG, Jingyuan LI

Research output: Journal PublicationsJournal Article (refereed)

2 Citations (Scopus)

Abstract

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.

Original languageEnglish
Number of pages18
JournalJournal of Risk and Insurance
DOIs
Publication statusE-pub ahead of print - 3 Jul 2018

Fingerprint

Ambiguity aversion
Intertemporal substitution
Time preference
Willingness-to-pay
Self-insurance
Self-protection
Risk preferences
Risk aversion

Bibliographical note

The research described here was supported by the National Natural Science Foundation of China with Grant Nos. 71401074 and 71231005, the Fundamental Research Funds for the Central Universities under Research Project No. NS2018049, General Research Fund of the Hong Kong Research Grants Council under Research Project No. LU13500717, and the Faculty Research Grant of Lingnan University under Research Project Nos. DB18A9, DR17A6, and DB16A1.

Cite this

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Comparative Ambiguity Aversion in Intertemporal Decisions. / WANG, Jianli; LI, Jingyuan.

In: Journal of Risk and Insurance, 03.07.2018.

Research output: Journal PublicationsJournal Article (refereed)

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T1 - Comparative Ambiguity Aversion in Intertemporal Decisions

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N1 - The research described here was supported by the National Natural Science Foundation of China with Grant Nos. 71401074 and 71231005, the Fundamental Research Funds for the Central Universities under Research Project No. NS2018049, General Research Fund of the Hong Kong Research Grants Council under Research Project No. LU13500717, and the Faculty Research Grant of Lingnan University under Research Project Nos. DB18A9, DR17A6, and DB16A1.

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