On ambiguity apportionment

Courbage, Christophe (Haute école de gestion de Genève, HES-SO // Haute Ecole Spécialisée de Suisse Occidentale) ; Rey, Béatrice (GATE, University of Lyon 2, France)

This paper investigates the notion of changes in ambiguity over loss probabilities in the smooth ambiguity model developed by Klibano, Marinacci and Mukerji (2005). Changes in ambiguity over loss probabilities are expressed through the specific concept of stochastic dominance of order n de…ned by Ekern (1980). We characterize conditions on the function capturing attitudes towards ambiguity under which an individual always considers one situation to be more ambiguous than another in a model of two states of nature. We propose an intuitive interpretation of the properties of this function in terms of preferences for harms disaggregation over probabilities, also labelled ambiguity apportionment.


Mots-clés:
Type d'article:
scientifique
Faculté:
Economie et Services
Ecole:
HEG GE Haute école de gestion de Genève
Institut:
CRAG - Centre de Recherche Appliquée en Gestion
Classification:
Economie/gestion
Date:
2016
Pagination:
13 p.
Publié dans
Journal of economics
Numérotation (vol. no.):
2016, vol. 118, no. 3, pp. 265–275
DOI:
ISSN:
0931-8658
Date d'embargo:
2017-02-15
Le document apparaît dans:

Note: The file is under embargo until: 2017-07-01


 Notice créée le 2016-04-20, modifiée le 2018-10-11

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