In this paper, ambiguity aversion to uncertain survival probabilities is introduced in a life-cycle model with a … when it is fair, positive annuitization is known to be optimal strategy of ambiguity neutral individuals. Conversely, we … show that the demand for annuities decreases with ambiguity aversion and that there exists a finite degree of aversion …

We investigate the empirical relation between ambiguity aversion, risk aversion and portfolio choices. We match … administrative panel data on portfolio choices with survey data on preferences over ambiguity and risk. We report three main findings …. First, conditional on participation, ambiguity averse investors hold riskier portfolios. Second, they rebalance their …

We review recent advances in the field of decision making under uncertainty or ambiguity. …

This paper assesses the quantitative impact of ambiguity on the historically observed equity premium. We consider a …'s beliefs about the dividend/consumption process is ambiguous. Second, the agent's preferences are sensitive to this ambiguity … calibrate the level of ambiguity aversion to match only the first moment of the risk-free rate in data, and ambiguity to match …

(SEU) in terms of knowledge and belief. It is shown that observable behavior displays sensitivity to ambiguity if and only … if knowledge and belief disagree. In addition, such an epistemic interpretation of ambiguity leads to dynamically …

This paper assesses the quantitative impact of ambiguity on the historically observed financial asset returns and … distribution on consumption and dividends in the next period as ambiguous, an ambiguity that is endogenously dynamic, e ….g., increasing during recessions. We calibrate ambiguity aversion to match only the first moment of the risk-free rate in data and …

This paper investigates how the general public behaves when confronted with low probability events and ambiguity in an … insurance markets. When it comes to willingness to pay, people exhibit ambiguity seeking behaviors. They are willing to pay more … under risk than under ambiguity (embracing here imprecision and conflict), revealing that people consider ambiguous …