We analyze a notion of self-confirming equilibrium with non-neutral ambiguity attitudes that generalizes the traditional concept. We show that the set of equilibria expands as ambiguity aversion increases. The intuition is quite simple: by playing the same strategy in a stationary environment, an agent learns the implied distribution of payoffs, but alternative strategies yield payoffs with unknown distributions; increased aversion to ambiguity makes such strategies less appealing. In sum, a kind of “status quo bias” emerges; in the long run, the uncertainty related to tested strategies disappears, but the uncertainty implied by the untested ones does not. (JEL C72, C73, D81, D83)

We provide a new foundation of risk aversion by showing that this attitude is fully captured by the propensity to seize insurance opportunities. In our main results, we first characterize Arrow-Pratt (1963–1964) risk aversion in terms of propensity to full insurance and the stronger notion of risk aversion of Rothschild and Stiglitz (1970) in terms of propensity to partial insurance. We then extend the analysis to comparative risk aversion by showing that the classical notion of Yaari (1969) corresponds to comparative propensity to full insurance, while the stronger notion of Ross (1981) corresponds to comparative propensity to partial insurance. (JEL D81, G22, G52)