A life-cycle model with ambiguous survival beliefs

被引:11
作者
Groneck, Max [1 ]
Ludwig, Alexander [2 ]
Zimper, Alexander [3 ]
机构
[1] Stockholm Sch Econ, Dept Econ, POB 6501, SE-11383 Stockholm, Sweden
[2] Goethe Univ Frankfurt, SAFE, House Finance, Theodor W Adorno Pl 3, D-60629 Frankfurt, Germany
[3] Univ Pretoria, Dept Econ, Private Bag X20, ZA-0028 Hatfield, South Africa
关键词
Bayesian learning; Likelihood insensitivity; Ambiguity; Dynamic inconsistency; Subjective survival beliefs; Saving puzzles; EXPECTED UTILITY; UNCERTAINTY; CONSUMPTION; MORTALITY; EXPECTATIONS; PREFERENCES; DYNAMICS; CHOICE; WEALTH; HEALTH;
D O I
10.1016/j.jet.2015.12.008
中图分类号
F [经济];
学科分类号
02 ;
摘要
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. (C) 2015 Elsevier Inc. All rights reserved.
引用
收藏
页码:137 / 180
页数:44
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