Conditioning Capacities and Choquet Integrals: The Role of Comonotony
AbstractChoquet integrals and capacities play a crucial role in modern decision theory. Comonotony is a central concept for these theories because the main property of a Choquet integral is its additivity for comonotone functions. We consider a Choquet integral representation of preferences showing uncertainty aversion (pessimism) and propose axioms on time consistency which yield a candidate for conditional Choquet integrals. An other axiom characterizes the role of comonotony in the use of information. We obtain two conditioning rules for capacities which amount to the well-known Bayes' and Dempsterâ€“Schafer's updating rules. We are allowed to interpret both of them as a lack of confidence in information in a dynamic extension of pessimism. Copyright Kluwer Academic Publishers 2001
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Bibliographic InfoArticle provided by Springer in its journal Theory and Decision.
Volume (Year): 51 (2001)
Issue (Month): 2 (December)
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Web page: http://www.springerlink.com/link.asp?id=100341
Choquet integral; Comonotony; Time consitency; Conditionnal capacities;
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