Updating Choquet Integrals, Consequentialism and Dynamic Consistency

Robert Kast (), André Lapied () and Pascal Toquebeuf ()

ICER Working Papers - Applied Mathematics Series from ICER - International Centre for Economic Research

Abstract: Choquet capacities have been used to represent decision makers’ beliefs in order to generalise the expected utility approach. Conditional capacities have to be defined for dynamic choice situations where information may modify the decision maker future beliefs. Several updating rules have been proposed in the literature. We derive them from a general approach based on conditional Choquet expectations. Conversely, depending on the updating rule adopted, the conditional Choquet integral can take different values. Conditional Choquet Expected Utility are derived from axioms on preferences. However, it is now well-known in decision theory that if preferences satisfy simultaneously dynamic consistency and consequentialism axioms their representation is restricted to classical Expected Utility. We show that the rule proposed by Chateauneuf, Kast and Lapied (2001) is the only one to satisfy dynamic consistency with a nonnecessary additive capacity

Keywords: Conditional Choquet expectation; Conditional capacity; Updating rules; Choquet Expected Utility; Dynamic consistency; Consequentialism. (search for similar items in EconPapers)
JEL-codes: D81 D83 (search for similar items in EconPapers)
Pages: 25 pages
Date: 2008-06
New Economics Papers: this item is included in nep-upt
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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