Cardinal extensions of EU model based on the Choquet integral

Alain Chateauneuf and Michèle Cohen

Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne

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: Uncertainty; risk; comonotony; Choquet capacity; Choquet integral (search for similar items in EconPapers)
JEL-codes: D81 (search for similar items in EconPapers)
Pages: 33 pages
Date: 2008-12
New Economics Papers: this item is included in nep-upt
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Citations: View citations in EconPapers (1)

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ftp://mse.univ-paris1.fr/pub/mse/CES2008/V08087.pdf (application/pdf)

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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Persistent link: https://EconPapers.repec.org/RePEc:mse:cesdoc:v08087

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