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Comparative Ambiguity Aversion in Intertemporal Decisions

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  • Jianli Wang
  • Jingyuan Li

Abstract

This article examines the effects of ambiguity aversion on intertemporal decisions when there is ambiguity about a future state. Compared to the existing literature, we allow for a three‐way separation between intertemporal substitution, risk aversion, and ambiguity aversion. Holding risk preferences, beliefs, and time preferences fixed, we explore how a change in ambiguity aversion increases the strength of the current willingness to pay. We apply our results to saving, self‐protection, and self‐insurance problems.

Suggested Citation

  • Jianli Wang & Jingyuan Li, 2020. "Comparative Ambiguity Aversion in Intertemporal Decisions," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 87(1), pages 195-212, March.
    • Handle: RePEc:bla:jrinsu:v:87:y:2020:i:1:p:195-212
    DOI: 10.1111/jori.12253
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    Cited by:

    1. Farooq, Abdul Samad & Zhang, Peng & Gao, Yongfeng & Gulfam, Raza, 2021. "Emerging radiative materials and prospective applications of radiative sky cooling - A review," Renewable and Sustainable Energy Reviews, Elsevier, vol. 144(C).
    2. Suen, Richard M. H., 2022. "Precautionary Saving Behaviour under Ambiguity," MPRA Paper 114382, University Library of Munich, Germany.

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