Online appendix of "Prudence with respect to ambiguity"
نویسنده
چکیده
The rst section recalls the de nitions of risk apportionment. Section 2 introduces notation and section 3 de nes ambiguity apportionment. Section 4 gives results for secondorder expected utility and multiplier preferences and in section 5, a way to adapt the de nitions to ambiguity models with non-expected utility under risk is proposed. Finally, section 6 presents simple models of precautionary saving with ambiguity.
منابع مشابه
Prudence with respect to ambiguity
Under expected utility, prudence is equivalent to a positive third derivative of utility and plays a crucial role in precautionary saving behaviour. Eeckhoudt and Schlesinger (2006) proposed behavioural de nitions of prudence and of higher order risk preferences. The present paper proposes a similar de nition for prudence with respect to ambiguity, i.e., situations in which objective probabilit...
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