Scoring Rules for Subjective Probability Distributions

Glenn Harrison, Jimmy Martínez-Correa, J. Swarthout and Eric Ulm
Authors registered in the RePEc Author Service: Jimmy Martínez-Correa ()

No 2012-18, Experimental Economics Center Working Paper Series from Experimental Economics Center, Andrew Young School of Policy Studies, Georgia State University

Abstract: The theoretical literature has a rich characterization of scoring rules for eliciting the subjective beliefs that an individual has for continuous events, but under the restrictive assumption of risk neutrality. It is well known that risk aversion can dramatically affect the incentives to correctly report the true subjective probability of a binary event. Alternatively, one must carefully calibrate inferences about true subjective probabilities from elicited subjective probabilities over binary events, recognizing the incentives that risk averse agents have to report the same probability for the two outcomes and reduce the variability of payoffs from the scoring rule. We characterize the comparable implications of the general case of a risk averse agent when facing a popular scoring rule over continuous events, and find that these concerns do not apply with anything like the same force. For empirically plausible levels of risk aversion, one can reliably elicit most important features of the latent subjective belief distribution without undertaking calibration for risk attitudes.

Pages: 26
Date: 2012-11, Revised 2013-04
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Citations: View citations in EconPapers (12)

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http://excen.gsu.edu/workingpapers/GSU_EXCEN_WP_2012-18.pdf First version, 2012 (application/pdf)
http://excen.gsu.edu/workingpapers/GSU_EXCEN_WP_2013-05.pdf Revised version, 2013 (application/pdf)

Related works:
Journal Article: Scoring rules for subjective probability distributions (2017)
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