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Cardinal Extensions of the EU Model Based on the Choquet Integral

Author

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  • Alain Chateauneuf

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, PSE - Paris School of Economics - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris Sciences et Lettres - EHESS - École des hautes études en sciences sociales - ENPC - École nationale des ponts et chaussées - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement)

  • Michèle Cohen

    (PSE - Paris School of Economics - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris Sciences et Lettres - EHESS - École des hautes études en sciences sociales - ENPC - École nationale des ponts et chaussées - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement, CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)

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.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Alain Chateauneuf & Michèle Cohen, 2009. "Cardinal Extensions of the EU Model Based on the Choquet Integral," Post-Print hal-00671302, HAL.
    • Handle: RePEc:hal:journl:hal-00671302
    DOI: 10.1002/9780470611876.ch10
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    Cited by:

    1. Albrecht, Peter & Huggenberger, Markus, 2017. "The fundamental theorem of mutual insurance," Insurance: Mathematics and Economics, Elsevier, vol. 75(C), pages 180-188.
    2. Issouf Abdou & Philibert Andriamanantena & Mamy Raoul Ravelomanana & Rivo Rakotozafy, 2021. "Choquet utility depending on the state of nature [Utilité à la Choquet dépendante de l'état de la nature]," Working Papers hal-02344256, HAL.
    3. Didier Dubois, 2010. "Representation, Propagation, and Decision Issues in Risk Analysis Under Incomplete Probabilistic Information," Risk Analysis, John Wiley & Sons, vol. 30(3), pages 361-368, March.

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    Keywords

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    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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