The effect of time and ambiguity preferences on saving and insurance

Jingyuan LI, Jianli WANG

Research output: Other contributionOther outputsResearchpeer-review

Abstract

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.
Original languageEnglish
DOIs
Publication statusPublished - 14 Aug 2014

Publication series

NameSocial Science Research Network

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Insurance
Time preference
Self-insurance

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LI, Jingyuan ; WANG, Jianli. / The effect of time and ambiguity preferences on saving and insurance. 2014. (Social Science Research Network).
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The effect of time and ambiguity preferences on saving and insurance. / LI, Jingyuan; WANG, Jianli.

2014, . (Social Science Research Network).

Research output: Other contributionOther outputsResearchpeer-review

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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.

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