scholarly journals On the Smooth Ambiguity Model: A Reply

Econometrica ◽  
2012 ◽  
Vol 80 (3) ◽  
pp. 1303-1321 ◽  
Keyword(s):  
Smooth Ambiguity Model

scholarly journals Eliciting ambiguity aversion in unknown and in compound lotteries: a smooth ambiguity model experimental study

2014 ◽  
Vol 77 (4) ◽  
pp. 485-530 ◽  
Author(s):  
Giuseppe Attanasi ◽  
Christian Gollier ◽  
Aldo Montesano ◽  
Noemi Pace
Keyword(s):  
Experimental Study ◽  
Ambiguity Aversion ◽  
Smooth Ambiguity Model

AN ECONOMIC PREMIUM PRINCIPLE UNDER THE DUAL THEORY OF THE SMOOTH AMBIGUITY MODEL

2017 ◽  
Vol 47 (3) ◽  
pp. 787-801 ◽  
Author(s):  
Yoichiro Fujii ◽  
Hideki Iwaki ◽  
Yusuke Osaki
Keyword(s):  
Ambiguity Aversion ◽  
Sufficient Conditions ◽  
Exchange Economy ◽  
Comparative Statics ◽  
Ambiguous Loss ◽  
Dual Theory ◽  
Demand For Insurance ◽  
Smooth Ambiguity Model ◽  
Pure Exchange ◽  
Pure Exchange Economy

AbstractThis study considers a pure exchange economy with insurance against ambiguous loss. Ambiguity preferences are represented by the dual theory of the smooth ambiguity model from Iwaki and Osaki (2014). The economic premium principle of Bühlmann (1980, 1984) is extended to ambiguity. We also perform some comparative statics and present sufficient conditions under which an increase in ambiguity aversion increases insurance demand and insurance premiums. Contrary to the result in Tsanakas and Christofides (2006), the optimal demand for insurance is not always comonotonic, because our model permits an economy comprising both ambiguity averse and ambiguity loving agents.

scholarly journals Discriminating Between Models of Ambiguity Attitude: a Qualitative Test

2019 ◽  
Vol 18 (2) ◽  
pp. 708-749 ◽  
Author(s):  
Robin Cubitt ◽  
Gijs van de Kuilen ◽  
Sujoy Mukerji
Keyword(s):  
Economic Theory ◽  
Expected Utility ◽  
Maxmin Expected Utility ◽  
Smooth Ambiguity Model ◽  
New Models ◽  
Qualitative Test ◽  
Behavioral Issue ◽  
Ambiguity Attitude

AbstractDuring recent decades, many new models have emerged in pure and applied economic theory according to which agents’ choices may be sensitive to ambiguity in the uncertainty that faces them. The exchange between Epstein (2010) and Klibanoff et al. (2012) identified a notable behavioral issue that distinguishes sharply between two classes of models of ambiguity sensitivity that are importantly different. The two classes are exemplified by the α-maxmin expected utility (MEU) model and the smooth ambiguity model, respectively; and the issue is whether or not a desire to hedge independently resolving ambiguities contributes to an ambiguity-averse agent's preference for a randomized act. Building on this insight, we implement an experiment whose design provides a qualitative test that discriminates between the two classes of models. Among subjects identified as ambiguity sensitive, we find greater support for the class exemplified by the smooth ambiguity model; the relative support is stronger among subjects identified as ambiguity averse. This finding has implications for applications that rely on specific models of ambiguity preference.

A Paradox for the ''Smooth Ambiguity'' Model of Preference

Econometrica ◽  
2010 ◽  
Vol 78 (6) ◽  
pp. 2085-2099 ◽  
Keyword(s):  
Smooth Ambiguity Model

The dual theory of the smooth ambiguity model

2013 ◽  
Vol 56 (2) ◽  
pp. 275-289 ◽  
Author(s):  
Hideki Iwaki ◽  
Yusuke Osaki
Keyword(s):  
Dual Theory ◽  
Smooth Ambiguity Model

A SMOOTH AMBIGUITY MODEL OF THE COMPETITIVE FIRM

2015 ◽  
Vol 67 (S1) ◽  
pp. S97-S110 ◽  
Author(s):  
Kit Pong Wong
Keyword(s):  
Smooth Ambiguity Model ◽  
Competitive Firm

scholarly journals Definitions of ambiguous events and the smooth ambiguity model

2011 ◽  
Vol 48 (2-3) ◽  
pp. 399-424 ◽  
Author(s):  
Peter Klibanoff ◽  
Massimo Marinacci ◽  
Sujoy Mukerji
Keyword(s):  
Smooth Ambiguity Model

Comparative Risk Aversion in the Presence of Ambiguity

2016 ◽  
Vol 8 (3) ◽  
pp. 51-63
Author(s):  
Marie-Charlotte Guetlein
Keyword(s):  
Risk Aversion ◽  
Expected Utility ◽  
Smooth Ambiguity Model ◽  
Comparative Risk ◽  
Comparative Risk Aversion ◽  
Increases In Risk ◽  
Ambiguity Attitude ◽  
Increase In Risk

This paper suggests a characterization of increases in risk aversion within the smooth ambiguity model by Klibanoff, Marinacci, and Mukerji (2005). I show that an increase in risk aversion is qualitatively different from that under expected utility, due to the incomplete separation between risk and ambiguity attitude. The analysis clarifies how ambiguity perception and attitude depend on risk aversion. (JEL D81)

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