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Article Dans Une Revue Journal of Economics Année : 2016

On ambiguity apportionment

Résumé

This paper investigates the notion of changes in ambiguity over loss probabilities in the smooth ambiguity model developed by Klibanoff, Marinacci and Mukerji (Econometrica 73:1849-1892, 2005). Changes in ambiguity over loss probabilities are expressed through the specific concept of stochastic dominance of order n defined by Ekern (Econ Lett 6:329-333, 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.

Dates et versions

halshs-01290062 , version 1 (17-03-2016)

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Christophe Courbage, Béatrice Rey. On ambiguity apportionment. Journal of Economics, 2016, 118 (3), pp.265-275. ⟨10.1007/s00712-016-0473-9⟩. ⟨halshs-01290062⟩
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