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A Truth Serum for Non-Bayesians: Correcting Proper Scoring Rules for Risk Attitudes

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  • Theo Offerman
  • Joep Sonnemans
  • Gijs Van De Kuilen
  • Peter P. Wakker

Abstract

Proper scoring rules provide convenient and highly efficient tools for incentive-compatible elicitations of subjective beliefs. As traditionally used, however, they are valid only under expected value maximization. This paper shows how they can be generalized to modern ("non-expected utility") theories of risk and ambiguity, yielding mutual benefits: users of scoring rules can benefit from the empirical realism of non-expected utility, and analysts of ambiguity attitudes can benefit from efficient measurements using proper scoring rules. An experiment demonstrates the feasibility of our generalization. Copyright 2009, Wiley-Blackwell.

Suggested Citation

  • Theo Offerman & Joep Sonnemans & Gijs Van De Kuilen & Peter P. Wakker, 2009. "A Truth Serum for Non-Bayesians: Correcting Proper Scoring Rules for Risk Attitudes ," Review of Economic Studies, Oxford University Press, vol. 76(4), pages 1461-1489.
  • Handle: RePEc:oup:restud:v:76:y:2009:i:4:p:1461-1489
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    File URL: http://hdl.handle.net/10.1111/j.1467-937X.2009.00557.x
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