Non-expected Utility Risk Premiums: The Cases of Probability Ambiguity and Outcome Uncertainty.

B-Tier
Journal: Journal of Risk and Uncertainty
Year: 1988
Volume: 1
Issue: 3
Pages: 333-47

Authors (2)

Segal, Uzi (Boston College) Spivak, Avia (not in RePEc)

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

This paper discusses two problems. (1) What happens to the conditional risk premium that a decisionmarker is willing to pay out of the middle prize in a lottery to avoid uncertainty concerning the middle prize outcome, when the probabilities of other prizes change? (2) What happens to the increase that a decisionmaker is willing to accept in the probability of an unpleasant outcome in order to avoid ambiguity concerning this probability, when this probability increases? We discuss both problems by using anticipated utility theory, and show that the same conditions on this functional predict behavioral patterns that are consistent both with a natural extension of the concept of diminishing risk aversion and with some experimental findings. Copyright 1988 by Kluwer Academic Publishers

Technical Details

RePEc Handle
repec:kap:jrisku:v:1:y:1988:i:3:p:333-47
Journal Field
Theory
Author Count
2
Added to Database
2026-01-29