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Estimating Individual Ambiguity Aversion : A Simple Approach

Gneezy, Uri; Imas, Alex; List, John A. - 2021

We introduce a simple, easy to implement instrument for jointly eliciting risk and ambiguity attitudes. Using this … significantly overstated when risk neutrality is assumed. This highlights the interplay between risk and ambiguity attitudes as well …

Persistent link: https://www.econbiz.de/10013315553

Evaluation of Long-Dated Investments Under Uncertain Growth Trend, Volatility and Catastrophes

Gollier, Christian - 2021

increasing term structure for the risk premium. It also implies that, under the assumption that the cummulants of the … investment is larger than half of relative risk aversion. Another important consequence of parametric uncertainty is that the … risk premium is not proportional to the beta of the investment. We apply these general results to the case of an uncertain …

Persistent link: https://www.econbiz.de/10013315817

Public Good Provision with Robust Decision Making

Angelopoulos, Konstantinos; Economides, George; … - 2021

In this paper, we study a two-country dynamic setup with environmental externalities and potential model mis-specification in relation to this public good. Under model uncertainty, robust policies help to correct the inefficiencies associated with free riding on public good provision, implying...

Persistent link: https://www.econbiz.de/10013315838

When is Ambiguity-Attitude Constant?

Eichberger, Jürgen; Grant, Simon; Kelsey, David - 2021

This paper studies how updating affects ambiguity-attitude. In particular we focus on the generalized Bayesian update of the Jaffray-Phillipe sub-class of Choquet Expected Utility preferences. We find conditions for ambiguity-attitude to be the same before and after updating. A necessary and...

Persistent link: https://www.econbiz.de/10013315928

Stay in School or Start Working? - The Human Capital Investment Decision under Uncertainty and Irreversibility

Bilkic, Natasa; Gries, Thomas; Pilichowski, Margarethe - 2021

human capital investment decision. Real option theory offers a new perspective of the human capital investment decision …

Persistent link: https://www.econbiz.de/10013316303

Delayed Action and Uncertain Targets - How Much Will Climate Policy Cost?

Bosetti, Valentina; Carraro, Carlo; Sgobbi, Alessandra; … - 2021

Despite the growing concern about actual on-going climate change, there is little consensus about the scale and timing of actions needed to stabilise the concentrations of greenhouse gases. Many countries are unwilling to implement effective mitigation strategies, at least in the short-term, and...

Persistent link: https://www.econbiz.de/10013316476

The Value of a Statistical Life Under Ambiguity Aversion

Treich, Nicolas - 2021

baseline mortality risk, and thus operates as the "dead anyway" effect. We suggest, however, that ambiguity aversion should …

Persistent link: https://www.econbiz.de/10013316532

The Design of Pension Pay Out Options When the Health Status During Retirement is Uncertain

Kifmann, Mathias - 2021

This paper examines the optimal design of pension plans when the health status during retirement is uncertain. Assuming that the health status affects both life expectancy and the marginal utility of consumption, choice between a lump-sum payment and an annuity can be welfare-enhancing if the...

Persistent link: https://www.econbiz.de/10013316589

Scarring or Scaring? The Psychological Impact of Past Unemployment and Future Unemployment Risk

Knabe, Andreas - 2008

We reassess the quot;scarringquot; hypothesis by Clark et al. (2001), which states that unemployment experienced in the past reduces a person's current life satisfaction even after the person has become reemployed. Our results suggest that the scar from past unemployment operates via worsened...

Persistent link: https://www.econbiz.de/10012768534

Changes in Risk and the Demand for Saving

Eeckhoudt, Louis - 2008

How does risk affect saving? Empirical work typically examines the effects of detectible differences in risk within the … data. How these differences affect saving in theoretical models depends on the metric one uses for risk. For labor …-income risk, second-degree increases in risk require prudence to induce increased saving demand. However, prudence is not …

Persistent link: https://www.econbiz.de/10012770441