모호성 회피성향이 자가보험 노력에 미치는 영향: 2기간 모형을 중심으로

This study investigates the effect of ambiguity aversion on self-insurance effort in a two-period model when background risk exists with uncertain distribution. The results are as follows. At first, in a two-period model, the sufficient and necessary condition that a risk averse and ambiguity neutral individual makes more self insurance effort in the presence of background risk than in its absence is prudence of utility. Second, the sufficient condition that a risk averse and ambiguity averse individual makes more effort than a risk averse and ambiguity neutral one is as follows. (1) The distribution of background risk changes following the first order stochastic dominance and the absolute ambiguity aversion is non-increasing. (2) The distribution of background risk changes following the second order stochastic dominance, the absolute ambiguity aversion is non-increasing and the utility function shows prudence. Third, the effect of absolute ambiguity aversion is only observed in a two-period model. Fourth, in case of non-increasing absolute ambiguity aversion, a risk neutral and ambiguity averse individual makes more effort than a risk neutral and ambiguity neutral one.