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The Price for Information about Probabilities and its Relation with Capacities

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  • Attanasi, Giuseppe
  • Montesano, Aldo

Abstract

In this paper ambiguity aversion is measured through the maximum price the decision maker is willing to pay in order to know the probability of an event. Two comparative problems are examined in which the decision maker faces an act: in one case buying information implies playing a lottery, while in the other case buying information gives also the option to avoid playing the lottery. In both decision settings, relying on Choquet expected utility model, we study how the decision maker’s risk and ambiguity attitudes affect the reservation price for information. These effects are analyzed for different levels of ambiguity of the act.

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File URL: http://www2.toulouse.inra.fr/lerna/travaux/cahiers2010/10.16.322.pdf
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Paper provided by LERNA, University of Toulouse in its series LERNA Working Papers with number 10.16.322.

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Date of creation: Oct 2010
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Handle: RePEc:ler:wpaper:10.16.322

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