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

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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.

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Bibliographic Info

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

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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/
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Related research

Keywords: RISK ; UTILITY FUNCTION ; MODELS;

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Cited by:
  1. repec:hal:journl:halshs-00348814 is not listed on IDEAS
  2. Carlier, Guillaume & Dana, Rose-Anne, 2003. "Core of convex distortions of a probability," Economics Papers from University Paris Dauphine 123456789/5446, Paris Dauphine University.
  3. Grant, Simon & Quiggin, John, 2005. "Increasing uncertainty: a definition," Mathematical Social Sciences, Elsevier, vol. 49(2), pages 117-141, March.
  4. 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.
  5. repec:hal:journl:halshs-00492170 is not listed on IDEAS
  6. repec:hal:journl:halshs-00497444 is not listed on IDEAS
  7. Fabio Maccheroni, 2000. "Yaari dual theory without the completeness axiom," ICER Working Papers - Applied Mathematics Series 30-2001, ICER - International Centre for Economic Research, revised Oct 2001.
  8. Stanislaw Heilpern, 2002. "Using Choquet integral in economics," Statistical Papers, Springer, vol. 43(1), pages 53-73, January.
  9. Grant, S. & Quiggin, J., 2001. "A Model-Free Definition of Increasing Uncertainty," Discussion Paper 2001-84, Tilburg University, Center for Economic Research.
  10. 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.
  11. Carlier, Guillaume & Dana, Rose-Anne, 2002. "Insurance Contracts with deductibles and upper limits," Economics Papers from University Paris Dauphine 123456789/6771, Paris Dauphine University.
  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. 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.
  14. 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.
  15. 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.
  16. 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.
  17. 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.
  18. 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.
  19. 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.
  20. 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.

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