Multi-attribute non-expected utility

Gebhard Geiger ()

Annals of Operations Research, 2012, vol. 196, issue 1, 263-292

Abstract: In management applications of risk theory, planning and decision making are typically concerned with complex multi-dimensional attributes of risk and utility trade-offs between them. This paper presents a novel approach to multi-attribute non-expected utility which is especially designed to serve application and risk management purposes. It is based on a recently developed non-expected utility model that accommodates systematic violations of expected utility of various kinds observed in risky choice experiments. In the model, the possible outcomes of risky decisions are assumed to be multi-dimensional, that is, classified, measured, compared and assessed from different economic and non-economic perspectives simultaneously. Of the risk attributes to be jointly evaluated in a decision problem, each is supposed to be utility independent of the complementary set of all the other attributes also considered. Mutual utility independence and additive independence are particularly pronounced forms of utility independence. An order-preserving preference functional exists if the agent’s risk preferences satisfy familiar rationality requirements. The functional provides a consistently scaled, multi-linear representation in terms of single-attribute probability-dependent utility functions. Finally, the formalism is applied to explain observed trade-offs between monetary benefits obtained, and fatalities incurred, in the operation of large-scale industrial systems. Copyright Springer Science+Business Media, LLC 2012

Keywords: Multi-attribute utility theory; Non-expected utility; Rational choice under risk; Multi-criteria decision making; Utility independence (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://hdl.handle.net/10.1007/s10479-012-1153-y (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:annopr:v:196:y:2012:i:1:p:263-292:10.1007/s10479-012-1153-y

Ordering information: This journal article can be ordered from
http://www.springer.com/journal/10479

DOI: 10.1007/s10479-012-1153-y

Access Statistics for this article

Annals of Operations Research is currently edited by Endre Boros

More articles in Annals of Operations Research from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().