모호성과 모호성 회피성향의 증가가 보험 수요에 미치는 영향: 배경위험을 중심으로

This article analyzes the effect of ambiguity aversion on insurance demand when the distribution of background risk is uncertain. In particular, this article analyzes the effect of increase in ambiguity aversion and ambiguity which were not covered in the previous studies on insurance demand with background risk. We find that first, the conditions that ambiguity averse individual purchases more insurance than ambiguity neutral one are as follows: (i) the expected utility with insurance is increasing for the state of the distribution and (ii) marginal expected utility with insurance is decreasing for the state of the distribution. The sufficient conditions to hold these conditions are as follows: (iii) the distribution follows the first-order stochastic dominance, or (iv) the distribution follows the second-order stochastic dominance and the utility function is prudent. When conditions (i) and (ii) hold, greater ambiguity aversion increases insurance demand. Lastly, in case that the ambiguity increases for ambiguity averse individual, the relative ambiguity aversion and the relative prudence of ambiguity preference affect the sufficient condition to increase insurance demand.