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Généralisation de l'espérance d'utilité en univers risqué : représentation et estimation

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  • Jean-Pascal Gayant

Abstract

[eng] The classical criterion for decision making under risk, maximizing expected utility, has been generalized to improve its descriptive power. This generalization allows the deci­sion maker to distort the probabilities. This paper proposes a representative diagram of the decision process and an expérimental study to estimate the distortion function. [fre] Le critère classique de décision individuelle en univers risqué, l'espérance d'utilité, a été généralisé en réponse aux « paradoxes » expérimentaux. Cette généralisation équivaut à permettre aux agents de « déformer » les probabilités. On montre que la décision d'un agent fidèle au critère généralisé peut être repré­sentée à l'aide d'un diagramme apte à illustrer des applications économiques. En outre, une estimation de la fonction de déformation des probabilités est menée auprès d'un échantillon d'agents.

Suggested Citation

  • Jean-Pascal Gayant, 1995. "Généralisation de l'espérance d'utilité en univers risqué : représentation et estimation," Revue Économique, Programme National Persée, vol. 46(4), pages 1047-1061.
    • Handle: RePEc:prs:reveco:reco_0035-2764_1995_num_46_4_409721
    DOI: 10.3406/reco.1995.409721
    Note: DOI:10.3406/reco.1995.409721
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    References listed on IDEAS

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    2. Trabelsi, Mohamed Ali, 2008. "Les nouveaux modèles de décision dans le risque et l’incertain : quel apport ? [The new models of decision under risk or uncertainty: What approach?]," MPRA Paper 83347, University Library of Munich, Germany, revised 2008.
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    4. Trabelsi, Mohamed Ali, 2019. "The new models of decision in risk: A review of the critical literature," MPRA Paper 92693, University Library of Munich, Germany, revised 2019.
    5. Trabelsi, Mohamed Ali, 2006. "Les Nouveaux Modèles de Décision dans le Risque et l’Incertain : Quel Apport ? [The New Models of Decision Under Risk or Uncertainty : What Approach?]," MPRA Paper 76954, University Library of Munich, Germany.

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