and ambiguity aversion. This is modeled as a random set of beliefs in the maxmin expected utility model of Gilboa and …We introduce a model of random ambiguity aversion. Choice is stochastic due to unobserved shocks to both information … Schmeidler (1989). We characterize the model and show that the distribution of ambiguity aversion can be uniquely identified …

“linearity in the probabilities” aspect of expected utility theory to game theory. The chapter consists of two main parts: The …-dependent utility models and cumulative prospect theory. The second part reviews theories of decision making under uncertainty that … depart from the sure thing principle and model the phenomenon of ambiguity and ambiguity aversion. …

of beliefs (or ambiguity), imprecision of tastes (or multi-utility), and state dependence of utility. Examples include … phenomena, as well as state-dependent multi-utility generalisations of popular ambiguity models …Many decision situations involve two or more of the following divergences from subjective expected utility: imprecision …

Given the possibility to modify the probability of a loss, will a profit-maximizing insurer engage in loss prevention … expected profit maximizing loss probability within an expected utility framework. We then use Köszegi and Rabin's (2006, 2007 … engage in loss prevention activities, this to the benefit of consumers. Our results show that one should be cautious in doing …

Recent theoretical developments in economics distinguish between risk and ambiguity (Knightian uncertainty). Using … state-of-the-art methods with intraday stock market data from February 1993 to February 2021, we derive financial ambiguity … ambiguity carries important information about future oil returns and volatility perceived by investors. We validate these …

Debreu proposed the notion of `least concave utility' as a way to disentangle risk attitudes from the certainty … examines a corresponding decomposition of preference. The analysis is carried out within the Choquet expected utility model of …

, recent theoretical studies point out the possibility of its failure under ambiguity. We propose a modification of RIS, named … reversal-of-order axiom, a majority of ambiguity averse and seeking participants are. This implies that participants with … nonneutral ambiguity attitudes may not report truthful preferences when RIS is used. However, randomization attitudes do not …

regarding the realization likelihood of cash flows, the subjective attitude towards risk, and the attitude towards ambiguity …. While previous literature looks at the total price discount under ambiguity, this paper investigates with laboratory … belief effects, the risk premiums, and the ambiguity premiums from each other. Both methods lead to similar results: Overall …

The α-MEU model and the smooth ambiguity model are two popular models in decision making under ambiguity. However, the …