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Cardinal extensions of EU model based on the Choquet integral

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Abstract

This chapter of a collective book aims at presenting cardinal extensions of the EU model, based on the Choquet integral, which allow to take into account observed behaviors as in Allais' paradox under risk or Ellsberg's paradox under uncertainty, where the expected utility model is violated. Under a key axiom, the comonotonic independence axiom, Schmeidler under uncertainty, and Quiggin and Yaari under risk, succeeded to characterize preferences which generalize the EU model, by means of a functional that turned out to be a Choquet integral. These models not only explain most of the observed paradoxes but also allow for more diversified patterns of behavior under uncertainty as well under risk.

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File URL: ftp://mse.univ-paris1.fr/pub/mse/CES2008/V08087.pdf
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Paper provided by Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne in its series Documents de travail du Centre d'Economie de la Sorbonne with number v08087.

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Length: 33 pages
Date of creation: Dec 2008
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Handle: RePEc:mse:cesdoc:v08087

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Keywords: Uncertainty; risk; comonotony; Choquet capacity; Choquet integral.;

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