TY  - UNPD
A1  - Groneck, Max
A1  - Ludwig, Alexander
A1  - Zimper, Alexander
T1  - A life-cycle model with ambiguous survival beliefs
T2  - SAFE working paper series ; No. 73 [version October 2, 2015]
N2  - Based on a cognitive notion of neo-additive capacities reflecting likelihood insensitivity with respect to survival chances, we construct a Choquet Bayesian learning model over the life-cycle that generates a motivational notion of neo-additive survival beliefs expressing ambiguity attitudes. We embed these neo-additive survival beliefs as decision weights in a Choquet expected utility life-cycle consumption model and calibrate it with data on subjective survival beliefs from the Health and Retirement Study. Our quantitative analysis shows that agents with calibrated neo-additive survival beliefs (i) save less than originally planned, (ii) exhibit undersaving at younger ages, and (iii) hold larger amounts of assets in old age than their rational expectations counterparts who correctly assess their survival chances. Our neo-additive life-cycle model can therefore simultaneously accommodate three important empirical findings on household saving behavior.
T3  - SAFE working paper - 73 [ver 2015] 
KW  - Bayesian learning
KW  - likelihood insensitivity
KW  - ambiguity
KW  - Choquet expected utility
KW  - dynamic inconsistency
KW  - life-cycle hypothesis
KW  - saving puzzles
Y1  - 2015
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/39303
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-393031
UR  - http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2515703
IS  - October 2, 2015
PB  - SAFE
CY  - Frankfurt am Main
ER  -