Conditioning Capacities and Choquet Integrals: The Role of Comonotony
Alain Chateauneuf (),
Robert Kast and
André Lapied ()
Theory and Decision, 2001, vol. 51, issue 2, 367-386
Choquet integrals and capacities play a crucial role in modern decision theory. Comonotony is a central concept for these theories because the main property of a Choquet integral is its additivity for comonotone functions. We consider a Choquet integral representation of preferences showing uncertainty aversion (pessimism) and propose axioms on time consistency which yield a candidate for conditional Choquet integrals. An other axiom characterizes the role of comonotony in the use of information. We obtain two conditioning rules for capacities which amount to the well-known Bayes' and Dempsterâ€“Schafer's updating rules. We are allowed to interpret both of them as a lack of confidence in information in a dynamic extension of pessimism. Copyright Kluwer Academic Publishers 2001
Keywords: Choquet integral; Comonotony; Time consitency; Conditionnal capacities (search for similar items in EconPapers)
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