Hong, Jimin - In: Journal of derivatives and quantitative studies 30 (2022) 4, pp. 296-308
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...