New tools to better model behavior under risk and uncertainty: an overview

Nouveaux outils pour une meilleure modélisation des comportements dans le risque et dans l'incertain: une synthèse

Alain Chateauneuf, Michèle Cohen and Isaac Meilijson ()
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Isaac Meilijson: TAU - School of Mathematical Sciences [Tel Aviv] - TAU - Raymond and Beverly Sackler Faculty of Exact Sciences [Tel Aviv] - TAU - Tel Aviv University

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

Abstract: Normative models of behavior under risk in the framework of expected utility (EU) or under uncertainty in the framework of subjective expected utility (SEU) are very limited. In this survey paper, it is shown that non-expected utility (non-EU) models based on the Choquet integral allow for much more diversified behavior, both under risk and under uncertainty. Some illustrations by economic applications to insurance and finance are provided.

Keywords: Non-additive expected utility; risk aversion; uncertainty aversion; insurance; finance; assurance; espérance d'utilité non-additive; aversion pour le risque; aversion pour l'incertain (search for similar items in EconPapers)
Date: 1997-10
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-04406025v1
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Published in 1997

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Related works:
Working Paper: New Tools to Better Model Behavior Under Risk and UNcertainty: An Oevrview (1997)
Working Paper: New tools to better model behavior under risk and uncertainty: an overview (1997)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:cesptp:halshs-04406025

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