Ranked-Weighted Utilities and Qualitative Convolution

A A J Marley and R Duncan Luce

Journal of Risk and Uncertainty, 2001, vol. 23, issue 2, 135-63

Abstract: For gambles--non-numerical consequences attached to uncertain chance events--analogues are proposed for the sum of independent random variables and their convolution. Joint receipt of gambles is the analogue of the sum of random variables. Because it has no unique expansion as a first-order gamble analogous to convolution, a definition of qualitative convolution is proposed. Assuming ranked, weighted-utility representations (RWU) over gains (and, separately, over losses, but not mixtures of both), conditions are given for the equivalence of joint receipt, qualitative convolution, and a utility expression like expected value. As background, some properties of RWU are developed. Copyright 2001 by Kluwer Academic Publishers

Date: 2001
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