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Exact capacities and star-shaped distorted probabilities

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Author Info
Aouani, Zaier
Chateauneuf, Alain

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Abstract

We are interested in capacities which are deformations of probability, i.e. v=foP. We characterize balanced, totally balanced, and exact capacities by properties concerning the probability transformation function, f. These results allow us to obtain simple new characterizations of a large pattern of risk aversions relevant to Yaari's dual theory of choice under risk.

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File URL: http://www.sciencedirect.com/science/article/B6V88-4RTW3M2-1/2/d9378d3f87dd357ee737553055d2de3d
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Publisher Info
Article provided by Elsevier in its journal Mathematical Social Sciences.

Volume (Year): 56 (2008)
Issue (Month): 2 (September)
Pages: 185-194
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Handle: RePEc:eee:matsoc:v:56:y:2008:i:2:p:185-194

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Web page: http://www.elsevier.com/locate/inca/505565

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Related research
Keywords: Capacity Exact Balanced Star-shaped function Risk aversion;

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Itzhak Gilboa & David Schmeidler, 1992. "Canonical Representation of Set Functions," Discussion Papers 986, Northwestern University, Center for Mathematical Studies in Economics and Management Science. [Downloadable!]
  2. Chateauneuf, Alain, 1991. "On the use of capacities in modeling uncertainty aversion and risk aversion," Journal of Mathematical Economics, Elsevier, vol. 20(4), pages 343-369. [Downloadable!] (restricted)
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This page was last updated on 2009-12-3.

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