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L'apport des modèles non-additifs en théorie de la décision dans le risque et l'incertain

Author

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  • Jean-Pascal Gayant

Abstract

[fre] Dans cet article, nous tentons de montrer que le modèle d'espérance non-additive d'utilité est une généralisation naturelle du modèle d'espérance d'utilité, tout comme le modèle d'espérance d'utilité fut, en son temps, une généralisation natu- relle du « modèle » d'espérance de gains. Nous insistons sur le parallélisme remarquable des généralisations ayant spontanément vu le jour, dans le risque d'une part, et dans l'incertain non nécessairement probabilisé d'autre part. Nous présentons les grandes lignes des modifications axiomatiques qui ont permis ces généralisations. Nous précisons le lien unissant les généralisations apparues dans les deux contextes. Nous répertorions enfin quelques unes des applications nées de ces généralisations et suggérons que la notion d'aversion pour le risque est plus complexe que ce que le modèle d'espérance d'utilité laisse paraître. [eng] The purpose of this paper is to show that the Choquet Expected Utility Model is a natural generalization of the Expected Utility Model in the same way as the Expected Utility Model was a natural generalization of the Expected Gain « Model ». We exhibit the similarities of the generalizations under risk and under uncertainty. We also emphasize the main axiomatic changes that lead to these generalizations. Finally we depict some of the economic applications of the Choquet Expected Utility Model and suggest that the notion of risk aversion is more complex than it seems under the Expected Utility Model.

Suggested Citation

  • Jean-Pascal Gayant, 1998. "L'apport des modèles non-additifs en théorie de la décision dans le risque et l'incertain," Revue Française d'Économie, Programme National Persée, vol. 13(1), pages 199-227.
  • Handle: RePEc:prs:rfreco:rfeco_0769-0479_1998_num_13_1_1044
    Note: DOI:10.3406/rfeco.1998.1044
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    Cited by:

    1. Courtault, Jean-Michel & Gayant, Jean-Pascal, 2002. "Écarts entre prix d’achat et prix de vente d’une variable aléatoire : une clarification," L'Actualité Economique, Société Canadienne de Science Economique, vol. 78(2), pages 243-256, Juin.

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