TY - GEN
T1 - The effect of time and ambiguity preferences on saving and insurance
AU - LI, Jingyuan
AU - WANG, Jianli
PY - 2014/8/14
Y1 - 2014/8/14
N2 - In this paper, we study two classical saving-insurance problems for the intertemporal version developed by Hayashi and Miao (2011) of the smooth ambiguity model of Klibanoff et al. (2005). These models put risk, ambiguity and time preferences together in a Kreps-Porteus aggregator, and disentangle the effects among risk, ambiguity and time preferences. We show that the concepts and techniques developed by Topkis (1998) and others can be used to obtain a set of simple and intuitive sufficient conditions such that risk, ambiguity and time preferences together always raise the demand for saving and self-insurance.
AB - In this paper, we study two classical saving-insurance problems for the intertemporal version developed by Hayashi and Miao (2011) of the smooth ambiguity model of Klibanoff et al. (2005). These models put risk, ambiguity and time preferences together in a Kreps-Porteus aggregator, and disentangle the effects among risk, ambiguity and time preferences. We show that the concepts and techniques developed by Topkis (1998) and others can be used to obtain a set of simple and intuitive sufficient conditions such that risk, ambiguity and time preferences together always raise the demand for saving and self-insurance.
UR - https://commons.ln.edu.hk/sw_master/2734
U2 - 10.2139/ssrn.2479709
DO - 10.2139/ssrn.2479709
M3 - Other outputs
T3 - Social Science Research Network
ER -