Advanced Search
MyIDEAS: Login to save this paper or follow this series

New Tools to Better Model Behavior Under Risk and UNcertainty: An Oevrview

Contents:

Author Info

  • Chateauneuf, A.
  • Cohen, M.
  • Meilijson, I.

Abstract

Normative models of behaviour under risk in the framework of expected utility (EU) or under uncertainty in the framework of subjective expected utility (SEU) are very limited. In this survey paper, it is shown that non-expected utility (non-EU) models based on the Choquet integral allow for much more diversified behavior, both under risk and under uncertainty.

Download Info

To our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.

Bibliographic Info

Paper provided by Université Panthéon-Sorbonne (Paris 1) in its series Papiers d'Economie Mathématique et Applications with number 97.55.

as in new window
Length: 21 pages
Date of creation: 1997
Date of revision:
Handle: RePEc:fth:pariem:97.55

Contact details of provider:
Postal: France; Universite de Paris I - Pantheon- Sorbonne, 12 Place de Pantheon-75005 Paris, France
Phone: + 33 44 07 81 00
Fax: + 33 1 44 07 83 01
Web page: http://cermsem.univ-paris1.fr/
More information through EDIRC

Related research

Keywords: RISK ; UTILITY FUNCTION ; MODELS;

Find related papers by JEL classification:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Carlier, G. & Dana, R. A., 2003. "Core of convex distortions of a probability," Journal of Economic Theory, Elsevier, vol. 113(2), pages 199-222, December.
  2. Stanislaw Heilpern, 2002. "Using Choquet integral in economics," Statistical Papers, Springer, vol. 43(1), pages 53-73, January.
  3. Moez Abouda & Alain Chateauneuf, 2002. "Positivity of bid-ask spreads and symmetrical monotone risk aversion ," Theory and Decision, Springer, vol. 52(2), pages 149-170, March.
  4. Dana, Rose-Anne & Meilijson, Isaac, 2003. "Modelling agents’ preferences in complete markets by second order stochastic dominance," Economics Papers from University Paris Dauphine 123456789/6105, Paris Dauphine University.
  5. Thomas Augustin, 2002. "Expected utility within a generalized concept of probability — a comprehensive framework for decision making under ambiguity," Statistical Papers, Springer, vol. 43(1), pages 5-22, January.
  6. Grant, Simon & Quiggin, John, 2004. "Increasing Uncertainty: A Definition," Risk and Sustainable Management Group Working Papers 151163, University of Queensland, School of Economics.
  7. Bettzuge, Marc Oliver & Hens, Thorsten & Laitenberger, Marta & Siwik, Thomas, 2000. "On Choquet prices in a GEI-model with intermediation costs," Research in Economics, Elsevier, vol. 54(2), pages 133-152, June.
  8. Carlier, Guillaume & Dana, Rose-Anne, 2002. "Insurance Contracts with deductibles and upper limits," Economics Papers from University Paris Dauphine 123456789/6771, Paris Dauphine University.
  9. 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 25442, University Library of Munich, Germany.
  10. repec:hal:journl:halshs-00497444 is not listed on IDEAS
  11. repec:hal:journl:halshs-00492170 is not listed on IDEAS
  12. Fabio Maccheroni & Pietro Muliere & Claudio Zoli, 2005. "Inverse stochastic orders and generalized Gini functionals," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(3), pages 529-559.
  13. Fabio Maccheroni, 2004. "Yaari's dual theory without the completeness axiom," Economic Theory, Springer, vol. 23(3), pages 701-714, March.
  14. Grant, S. & Quiggin, J., 2001. "A Model-Free Definition of Increasing Uncertainty," Discussion Paper 2001-84, Tilburg University, Center for Economic Research.
  15. Carlier, Guillaume & Dana, Rose-Anne, 2003. "Core of convex distortions of a probability," Economics Papers from University Paris Dauphine 123456789/5446, Paris Dauphine University.
  16. Abouda, Moez & Chateauneuf, Alain, 2002. "Characterization of symmetrical monotone risk aversion in the RDEU model," Mathematical Social Sciences, Elsevier, vol. 44(1), pages 1-15, September.
  17. Pelletan, Jacques, 2009. "Comportement individuel face au risque : nouveaux apports dans le cadre de la Prospect Theory," Economics Papers from University Paris Dauphine 123456789/3480, Paris Dauphine University.
  18. Baz, J. & Briys, E. & Bronnenberg, B.J.J.A.M. & Cohen, M. & Kast, R. & Viala, P. & Wathieu, L. & Weber, M. & Wertenbroch, K., 1999. "Risk perception in the short run and in the long run," Open Access publications from Tilburg University urn:nbn:nl:ui:12-339935, Tilburg University.
  19. Dana, Rose-Anne, 2004. "Market behavior when preferences are generated by second-order stochastic dominance," Economics Papers from University Paris Dauphine 123456789/6697, Paris Dauphine University.
  20. repec:hal:journl:halshs-00348814 is not listed on IDEAS

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:fth:pariem:97.55. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Thomas Krichel).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.