This study investigates insurance demand in a two-period model when a decision-maker (DM) is averse to the ambiguity of … loss distributions. This study derives sufficient conditions such that the ambiguity-averse DM purchases more insurance … than an ambiguity-neutral one when the DM maximises the expected utility. It also derives each sufficient condition to …

phenomenon under correlation ambiguity. We investigate whether asset allocations depend on incomplete information under market … more information. We find that, as the true correlation coefficient (and the maximum correlation coefficient for ambiguity …

We report an experiment where each subject's ambiguity sensitivity is measured by an ambiguity premium, a concept … about which subjects have imperfect, heterogeneous, information ("ambiguous tasks"). We show how the smooth ambiguity model … can be used to calculate ambiguity premia. A distinctive feature of our approach is estimation of each subject …