The optimal insurance demand under an ambiguity aversion

Jimin Hong

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 expected utility. It also derives each sufficient condition to increase insurance demand as ambiguity aversion, ambiguity and downside ambiguity increase, respectively.

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Year of publication:	2022
Authors:	Hong, Jimin
Published in:	Journal of derivatives and quantitative studies : Seonmul yeongu. - Bingley, United Kingdom : Emerald Publishing Services, ISSN 2713-6647, ZDB-ID 3064233-4. - Vol. 30.2022, 4, p. 296-308
Subject:	Ambiguity \| Ambiguity aversion \| Downside ambiguity \| Insurance demand \| Risikoaversion \| Risk aversion \| Entscheidung unter Unsicherheit \| Decision under uncertainty \| Versicherungsökonomik \| Economics of insurance \| Nachfrage \| Demand \| Theorie \| Theory \| Versicherung \| Insurance \| Zahlungsbereitschaftsanalyse \| Willingness to pay

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Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.1108/JDQS-06-2022-0014 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

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