Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/184802
Authors: 
Cubitt, Robin P.
van de Kuilen, Gijs
Mukerji, Sujoy
Year of Publication: 
2018
Series/Report no.: 
Working Paper 851
Abstract: 
We report an experiment where each subject's ambiguity sensitivity is measured by an ambiguity premium, a concept analogous to and comparable with a risk premium. In our design, some tasks feature known objective risks and others uncertainty about which subjects have imperfect, heterogeneous, information ("ambiguous tasks"). We show how the smooth ambiguity model can be used to calculate ambiguity premia. A distinctive feature of our approach is estimation of each subject's subjective beliefs about the uncertainty in ambiguous tasks. We find considerable heterogeneity among subjects in beliefs and ambiguity premia; and that, on average, ambiguity sensitivity is about as strong as risk sensitivity.
Subjects: 
Ambiguity sensitivity
ambiguity attitude
measuring strength of ambiguity sensitivity
smooth ambiguity model
ambiguity premium
JEL: 
C91
D01
D03
D80
G02
Document Type: 
Working Paper
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