Ambiguity, also called Knightian or model uncertainty, is a key feature in financial modeling. A recent paper by … Maccheroni et al. (2004) characterizes investor preferences under aversion against both risk and ambiguity. Their result shows …

We show that ambiguity aversion increases the value of a statistical life as soon as the marginal utility of wealth is … higher if alive than dead. The intuition is that ambiguity aversion has a similar effect as an increase in the perceived … baseline mortality risk, and thus operates as the "dead anyway" effect. We suggest, however, that ambiguity aversion should …

ambiguity aversion. This characterization extends to regret-based models as well. As an application of our general result, we … characterize dynamically consistent updating for two important models of ambiguity averse preferences: the ambiguity averse smooth … ambiguity preferences (Klibanoþ, Marinacci and Mukerji [Econometrica 73 2005, pp. 1849-1892]) and the variational preferences …

This paper proposes a model of decision under ambiguity deemed vector expected utility, or VEU. In this model, an … that reflects the individual's perception of ambiguity and her attitudes toward it. The adjustment is itself a function of … the act's exposure to distinct sources of ambiguity, as well as its variability. The key elements of the VEU model are a …

A game-theoretic framework that allows for explicitly randomized strategies is used to study the e ect of ambiguity … predictions of two player games with ambiguity averse and with ambiguity neutral players are observationally equivalent. This … beliefs to the context of ambiguity aversion yields substantially di erent predictions even for the case with just two players. …