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A stochastic model for assessing the utility of chance

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  • Bose, Sudip

Abstract

We consider the problem of assessing the utility of chance. One approach is based on offering a decision maker a choice between receiving a fixed chance and a gamble. We investigate theoretical properties of a class of models for the probability of preference of the gamble. We point out an alternative model that models behavior near the boundary more realistically.

Suggested Citation

  • Bose, Sudip, 2014. "A stochastic model for assessing the utility of chance," Statistics & Probability Letters, Elsevier, vol. 93(C), pages 72-77.
    • Handle: RePEc:eee:stapro:v:93:y:2014:i:c:p:72-77
    DOI: 10.1016/j.spl.2014.05.012
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    References listed on IDEAS

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    1. Peter H. Farquhar, 1984. "State of the Art---Utility Assessment Methods," Management Science, INFORMS, vol. 30(11), pages 1283-1300, November.
    2. Frederick Mosteller & Philip Nogee, 1951. "An Experimental Measurement of Utility," Journal of Political Economy, University of Chicago Press, vol. 59(5), pages 371-371.
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