On the basis of a real high stakes insurance experiment with small probabilities of losses, we demonstrate that concern is a more important driver of WTP for insurance than subjective probability estimates when there is ambiguity surrounding the estimate. Concern is still important when...

Motivated by a hedging problem in mathematical finance, El Karoui and Quenez [7] and Kramkov [14] have developed optional versions of the Doob-Meyer decomposition which hold simultaneously for all equivalent martingale measures. We investigate the general structure of such optional...