A life-cycle model with ambiguous survival beliefs
- 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.
Author: | Max GroneckORCiDGND, Alexander LudwigORCiDGND, Alexander ZimperORCiDGND |
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URN: | urn:nbn:de:hebis:30:3-393031 |
URL: | http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2515703 |
DOI: | https://doi.org/10.2139/ssrn.2515703 |
Parent Title (English): | SAFE working paper series ; No. 73 [version October 2, 2015] |
Series (Serial Number): | SAFE working paper (73 [ver 2015]) |
Publisher: | SAFE |
Place of publication: | Frankfurt am Main |
Document Type: | Working Paper |
Language: | English |
Date of Publication (online): | 2015/10/02 |
Year of first Publication: | 2015 |
Publishing Institution: | Universitätsbibliothek Johann Christian Senckenberg |
Release Date: | 2016/02/02 |
Tag: | Bayesian learning; Choquet expected utility; ambiguity; dynamic inconsistency; life-cycle hypothesis; likelihood insensitivity; saving puzzles |
Issue: | October 2, 2015 |
Page Number: | 60 |
HeBIS-PPN: | 372417728 |
Institutes: | Wirtschaftswissenschaften / Wirtschaftswissenschaften |
Wissenschaftliche Zentren und koordinierte Programme / House of Finance (HoF) | |
Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS) | |
Wissenschaftliche Zentren und koordinierte Programme / Sustainable Architecture for Finance in Europe (SAFE) | |
Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
Sammlungen: | Universitätspublikationen |
Licence (German): | Deutsches Urheberrecht |