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Modeling attitudes towards uncertainty and risk through the use of choquet integral

  • Modeling Beliefs and Preferences
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Abstract

The aim of this paper is to present in a unified framework a survey of some results related to Choquet Expected Utility (CEU) models, a promising class of models introduced separately by Quiggin [35], Yaari [48] and Schmeidler [40, 41] which allow to separate attitudes towards uncertainty (or risk) from attitudes towards wealth, while respecting the first order stochastic dominance axiom.

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  1. Cermsem, Université Paris I, F-75634, Paris cedex 13, France

    Alain Chateauneuf

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Chateauneuf, A. Modeling attitudes towards uncertainty and risk through the use of choquet integral. Ann Oper Res 52, 1–20 (1994). https://doi.org/10.1007/BF02032158

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