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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

Abstract: 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 Dempster–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)
Date: 2001
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