Uncertainty with Partial Information on the Possibility of the Events

Aldo Montesano

Theory and Decision, 2001, vol. 51, issue 2, 183-195

Abstract: The Choquet expected utility model deals with nonadditive probabilities (or capacities). Their dependence on the information the decision-maker has about the possibility of the events is taken into account. Two kinds of information are examined: interval information (for instance, the percentage of white balls in an urn is between 60% and 100%) and comparative information (for instance, the information that there are more white balls than black ones). Some implications are shown with regard to the core of the capacity and to two additive measures which can be derived from capacities: the Shapley value and the nucleolus. Interval information bounds prove to be satisfied by all probabilities in the core, but they are not necessarily satisfied by the nucleolus (when the core is empty) and the Shapley value. We must introduce the constrained nucleolus in order for these bounds to be satisfied, while the Shapley value does not seem to be adjustable. On the contrary, comparative information inequalities prove to be not necessarily satisfied by all probabilities in the core and we must introduce the constrained core in order for these inequalities be satisfied. However, both the nucleolus and the Shapley value satisfy the comparative information inequalities, and the Shapley value does it more strictly than the nucleolus. Copyright Kluwer Academic Publishers 2001

Keywords: Partial information on probabilities; Choquet expected utility theory; Uncertainty aversion; Nucleolus of a capacity; Shapley value of a capacity (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (2)

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DOI: 10.1023/A:1015503010031

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