Cardinal extensions of EU model based on the Choquet integral

Alain Chateauneuf and Michèle Cohen

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

Abstract: This chapter of a collective book aims at presenting cardinal extensions of the EU model, based on the Choquet integral, which allow to take into account observed behaviors as in Allais' paradox under risk or Ellsberg's paradox under uncertainty, where the expected utility model is violated. Under a key axiom, the comonotonic independence axiom, Schmeidler under uncertainty, and Quiggin and Yaari under risk, succeeded to characterize preferences which generalize the EU model, by means of a functional that turned out to be a Choquet integral. These models not only explain most of the observed paradoxes but also allow for more diversified patterns of behavior under uncertainty as well under risk.

Keywords: Choquet integral; Uncertainty; risk; coomonotony; Choquet capacity; Choquet integral.; Incertain; risque; comonotonie; capacité de Choquet; intégrale de Choquet. (search for similar items in EconPapers)
Date: 2008-12
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00348822v1
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Published in 2008

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Related works:
Working Paper: Cardinal Extensions of the EU Model Based on the Choquet Integral (2009)
Working Paper: Cardinal Extensions of the EU Model Based on the Choquet Integral (2009)
Working Paper: Cardinal Extensions of the EU Model Based on the Choquet Integral (2009)
Working Paper: Cardinal extensions of EU model based on the Choquet integral (2008)
Working Paper: Cardinal extensions of EU model based on the Choquet integral (2008)
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