The Price for Information about Probabilities and its Relation with Capacities

Giuseppe Attanasi and Aldo Montesano

No 10-193, TSE Working Papers from Toulouse School of Economics (TSE)

Abstract: In this paper ambiguity aversion is measured through the maximum price the decision maker is willing to pay in order to know the probability of an event. Two comparative problems are examined in which the decision maker faces an act: in one case buying information implies playing a lottery, while in the other case buying information gives also the option to avoid playing the lottery. In both decision settings, relying on Choquet expected utility model, we study how the decision maker’s risk and ambiguity attitudes affect the reservation price for information. These effects are analyzed for different levels of ambiguity of the act.

Keywords: Ambiguity aversion; Choquet expected utility; Information about probabilities (search for similar items in EconPapers)
JEL-codes: C91 D81 D83 (search for similar items in EconPapers)
Date: 2010-09
New Economics Papers: this item is included in nep-exp and nep-upt
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Related works:
Working Paper: The Price for Information about Probabilities and its Relation with Capacities (2010)
Working Paper: The Price for Information about Probabilities and its Relation with Capacities (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:tse:wpaper:23343

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