Increasing uncertainty: A definition

Simon Grant*, John Quiggin

*Corresponding author for this work

    Research output: Contribution to journalArticlepeer-review

    18 Citations (Scopus)

    Abstract

    We present a definition of increasing uncertainty, in which an elementary increase in the uncertainty of any act corresponds to the addition of an 'elementary bet' that increases consumption by a fixed amount in (relatively) 'good' states and decreases consumption by a fixed (and possibly different) amount in (relatively) 'bad' states. This definition naturally gives rise to a dual definition of comparative aversion to uncertainty. We characterize this definition for a popular class of generalized models of choice under uncertainty.

    Original languageEnglish
    Pages (from-to)117-141
    Number of pages25
    JournalMathematical Social Sciences
    Volume49
    Issue number2
    DOIs
    Publication statusPublished - Mar 2005

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