...Jimin Hong This study investigates insurance demand in a two-period model when a decision-maker (DM) is averse to the ambiguity of loss distributions. This study derives sufficient conditions such that the ambiguity-averse DM purchases more insurance than an ambiguity-neutral one when the DM...

... model under ambiguity, and provides an empirical test of its result as well. We assume that in the Grossman and Stiglitz (1980), uninformed liquidity traders face ambiguity about the distribution of asset payoffs, and that their attitudes toward ambiguity vary depending on the state of the economy...