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New tools to better model behavior under risk and uncertainty: an overview
[Nouveaux outils pour une meilleure modélisation des comportements dans le risque et dans l'incertain : une synthèse]

Author

Listed:
  • Alain Chateauneuf

    (CERMSEM - CEntre de Recherche en Mathématiques, Statistique et Économie Mathématique - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)

  • Michèle Cohen

    (CEME - Centre d'Economie Mathématique et d'Econométrie - UP1 - Université Paris 1 Panthéon-Sorbonne)

  • Isaac Meilijson

    (TAU - School of Mathematical Sciences [Tel Aviv] - TAU - Raymond and Beverly Sackler Faculty of Exact Sciences [Tel Aviv] - TAU - Tel Aviv University)

Abstract

Normative models of behavior 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. Some illustrations by economic applications to insurance and finance are provided.

Suggested Citation

  • Alain Chateauneuf & Michèle Cohen & Isaac Meilijson, 1997. "New tools to better model behavior under risk and uncertainty: an overview [Nouveaux outils pour une meilleure modélisation des comportements dans le risque et dans l'incertain : une synthèse]," Post-Print halshs-04406025, HAL.
    • Handle: RePEc:hal:journl:halshs-04406025
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-04406025
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