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Choquet expected utility with affine capacities

Author

Listed:
  • Pascal Toquebeuf

    (GAEL - Laboratoire d'Economie Appliquée = Grenoble Applied Economics Laboratory - UPMF - Université Pierre Mendès France - Grenoble 2 - INRA - Institut National de la Recherche Agronomique - CNRS - Centre National de la Recherche Scientifique)

Abstract

This paper studies decisions under ambiguity when attention is paid to extreme outcomes. In a purely subjective framework, we propose an axiomatic characterization of affine capacities, which are Choquet capacities consisting in an affine transformation of a subjective probability. Our main axiom restricts the well-known Savage's Sure-Thing Principle to a change in a common intermediate outcome. The representation result is then an affine combination of the expected utility of the valued act and its maximal and minimal utilities.

Suggested Citation

  • Pascal Toquebeuf, 2015. "Choquet expected utility with affine capacities," Post-Print hal-04476902, HAL.
    • Handle: RePEc:hal:journl:hal-04476902
    DOI: 10.1007/s11238-015-9529-5
    as

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