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Du risque à l'incertitude dans les modèles de décisions

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  • Claude Henry

    (CECO - Laboratoire d'économétrie de l'École polytechnique - X - École polytechnique - CNRS - Centre National de la Recherche Scientifique)

Abstract

It is not common for a result in theory, expressed in mathematical terms, to bear upon economic analysis and its applications - specially in insurance and finance - as is the case with the von Neumann-Morgenstern model of decision - making under risk. However this model is dependent upon the existence of a probability distribution to describe the risk facing the decision-maker. In an increasing number of situations challenging the sustainability of development - consequences of climate change, public health issues, etc. - uncertainty doesn't boil down to risk, i.e. uncertainty may not be characterized with a probability distribution. However criteria have recently been found, that generalize the von Neumann-Morgenstern one, for an operational approach of decision-making under uncertainty.

Suggested Citation

  • Claude Henry, 2005. "Du risque à l'incertitude dans les modèles de décisions," Working Papers hal-00242967, HAL.
    • Handle: RePEc:hal:wpaper:hal-00242967
    Note: View the original document on HAL open archive server: https://hal.science/hal-00242967
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    References listed on IDEAS

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    1. Gajdos, Thibault & Tallon, Jean-Marc & Vergnaud, Jean-Christophe, 2004. "Decision making with imprecise probabilistic information," Journal of Mathematical Economics, Elsevier, vol. 40(6), pages 647-681, September.
    2. Paolo Ghirardato & Fabio Maccheroni & Massimo Marinacci, 2002. "Ambiguity from the Differential Viewpoint," ICER Working Papers - Applied Mathematics Series 17-2002, ICER - International Centre for Economic Research.
    3. Christian Gollier, 2004. "The Economics of Risk and Time," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262572249, December.
    4. Daniel Ellsberg, 1961. "Risk, Ambiguity, and the Savage Axioms," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 75(4), pages 643-669.
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