모호성 회피성향이 보험 수요에 미치는 영향: 보험금 불확실성을 중심으로 = The Effects of Ambiguity Aversion on Insurance Demand: Focusing on Indemnity Uncertainty

다국어 초록 (Multilingual Abstract)

This study analyzes the effect of ambiguity aversion, along with risk aversion, on insurance demand when consumers are exposed to indemnity uncertainty. In particular, we show that an ambiguity aversion does not always decrease insurance demand while a risk aversion decreases insurance demand under indemnity uncertainty. When consumers are risk averse and ambiguity neutral as in the standard models, insurance demand depends on their prudence and the expected value of indemnity uncertainty. Prudent consumers purchase full insurance when the expected value of indemnity uncertainty is less than or equal to zero and the premium is fair, while imprudent ones purchase partial insurance. Partial insurance may also be optimal when the expected value of uncertainty is greater than zero. Given a risk aversion, we derive conditions under which ambiguity-averse consumers purchase more insurance than ambiguity-neutral ones, when indemnity uncertainty changes in terms of the first- and the second-stochastic dominances. The absolute risk aversion, relative risk aversion, absolute prudence and relative prudence would affect an increase in insurance demand under ambiguity aversion. Lastly, given a risk neutral case, insurance demand is not affected by ambiguity aversion. These findings imply that ambiguity aversion is closely linked to risk aversion.

참고문헌 (Reference)

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