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Arguments graphiques simples pour comprendre la spécification du modèle d’espérance non additive d’utilité et l’intégrale de Choquet

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  • Gayant, Jean-Pascal

    (CEME - Université de Paris I)

Abstract

The Choquet expected utility model (Schmeidler, 1989) is a generalization of the expected utility model introducing a non-additive measure (or capacity) and refering to the concept of Choquet integral. The aim of this paper is to present such an integral with help of simple graphical arguments and to clarify the existing link between risk and uncertainty from a formal viewpoint. Le modèle d’espérance non additive d’utilité ou Choquet Expected Utility (Schmeidler, 1989) est une généralisation du modèle d’espérance d’utilité mettant en oeuvre une mesure de vraisemblance non nécessairement additive et faisant appel au concept d’intégrale de Choquet. L’objectif de cet article est de présenter ce type d’intégrales à l’aide d’arguments graphiques simples et de clarifier l’articulation existant entre les spécifications rencontrées dans l’incertain probabilisé et celles rencontrées dans l’incertain non nécessairement probabilisé.

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  • Gayant, Jean-Pascal, 1998. "Arguments graphiques simples pour comprendre la spécification du modèle d’espérance non additive d’utilité et l’intégrale de Choquet," L'Actualité Economique, Société Canadienne de Science Economique, vol. 74(2), pages 183-195, juin.
    • Handle: RePEc:ris:actuec:v:74:y:1998:i:2:p:183-195
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    References listed on IDEAS

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    1. Yaari, Menahem E, 1987. "The Dual Theory of Choice under Risk," Econometrica, Econometric Society, vol. 55(1), pages 95-115, January.
    2. Sarin, Rakesh K & Wakker, Peter, 1992. "A Simple Axiomatization of Nonadditive Expected Utility," Econometrica, Econometric Society, vol. 60(6), pages 1255-1272, November.
    3. Quiggin, John, 1982. "A theory of anticipated utility," Journal of Economic Behavior & Organization, Elsevier, vol. 3(4), pages 323-343, December.
    4. Schmeidler, David, 1989. "Subjective Probability and Expected Utility without Additivity," Econometrica, Econometric Society, vol. 57(3), pages 571-587, May.
    5. Machina, Mark J, 1982. ""Expected Utility" Analysis without the Independence Axiom," Econometrica, Econometric Society, vol. 50(2), pages 277-323, March.
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    Cited by:

    1. Alain Chateauneuf & Michèle Cohen, 2008. "Cardinal extensions of EU model based on the Choquet integral," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00348822, HAL.
    2. Paugam, Luc, 2011. "Valorisation et reporting du goodwill : enjeux théoriques et empiriques," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/8007 edited by Casta, Jean-François.

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