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Comparative ambiguity aversion and downside ambiguity aversion
Huang, Yi-Chieh1; Tzeng, Larry Y.2,3; Zhao, Lin4
AbstractThis paper first defines an increase in ambiguity and an increase in downside ambiguity. We then provide comparative criteria for ambiguity aversion and downside ambiguity aversion. Different from the finding that the comparative criterion for risk aversion is variant with the measure of the premium to reduce risks, we show that the criteria remain the same, whether the premiums to reduce ambiguity and downside ambiguity are measured by utility or money. Under the criteria, a more ambiguity-averse (downside-ambiguity-averse) individual is shown to spend more effort in reducing ambiguity (downside ambiguity) than a less ambiguity-averse (downside-ambiguity-averse) individual. (C) 2015 Elsevier B.V. All rights reserved.
KeywordAmbiguity Downside ambiguity Comparative ambiguity aversion Comparative downside ambiguity aversion Effort
Funding ProjectMinistry of Science and Technology (MOST)[102-2410-H-002-028-MY3] ; National Science Foundation of China (NSFC)[71301161]
WOS Research AreaBusiness & Economics ; Mathematics ; Mathematical Methods In Social Sciences
WOS SubjectEconomics ; Mathematics, Interdisciplinary Applications ; Social Sciences, Mathematical Methods ; Statistics & Probability
WOS IDWOS:000356196100024
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Document Type期刊论文
Corresponding AuthorTzeng, Larry Y.
Affiliation1.Feng Chia Univ, Dept Risk Management & Insurance, Taichung 40724, Taiwan
2.Natl Taiwan Univ, Dept & Grad Inst Finance, Taipei 10673, Taiwan
3.Natl Chengchi Univ, Risk & Insurance Res Ctr, Taipei 11605, Taiwan
4.Chinese Acad Sci, Inst Syst Sci, Beijing 100190, Peoples R China
Recommended Citation
GB/T 7714
Huang, Yi-Chieh,Tzeng, Larry Y.,Zhao, Lin. Comparative ambiguity aversion and downside ambiguity aversion[J]. INSURANCE MATHEMATICS & ECONOMICS,2015,62:257-269.
APA Huang, Yi-Chieh,Tzeng, Larry Y.,&Zhao, Lin.(2015).Comparative ambiguity aversion and downside ambiguity aversion.INSURANCE MATHEMATICS & ECONOMICS,62,257-269.
MLA Huang, Yi-Chieh,et al."Comparative ambiguity aversion and downside ambiguity aversion".INSURANCE MATHEMATICS & ECONOMICS 62(2015):257-269.
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