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


Author Info

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


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

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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


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