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Expected Utility with Lower Probabilities

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  • Hendon, Ebbe
  • Jacobsen, Hans JØrgen
  • Sloth, Birgitte
  • TranÆs, Torben

Abstract

An uncertain and not just risky situation may be modeled using so-called belief functions assigning lower probabilities to subsets of outcomes. In this article we extend the von Neumann-Morgenstern expected utility theory from probability measures to belief functions. We use this theory to characterize uncertainty neutrality and different degrees of uncertainty aversion. Coauthors are Hans Jorgen Jacobsen, Birgitte Sloth, and Torben Tranaes. Copyright 1994 by Kluwer Academic Publishers

Suggested Citation

  • Hendon, Ebbe & Jacobsen, Hans JØrgen & Sloth, Birgitte & TranÆs, Torben, 1994. "Expected Utility with Lower Probabilities," Journal of Risk and Uncertainty, Springer, vol. 8(2), pages 197-216, March.
    • Handle: RePEc:kap:jrisku:v:8:y:1994:i:2:p:197-216
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    Citations

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    Cited by:

    1. Luca Rigotti & Matthew Ryan & Rhema Vaithianathan, 2016. "Throwing good money after bad," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 39(2), pages 175-202, November.
    2. Philippe, Fabrice, 2000. "Cumulative prospect theory and imprecise risk," Mathematical Social Sciences, Elsevier, vol. 40(3), pages 237-263, November.
    3. Hendon, Ebbe & Jacobsen, Hans Jorgen & Sloth, Birgitte & Tranaes, Torben, 1996. "The product of capacities and belief functions," Mathematical Social Sciences, Elsevier, vol. 32(2), pages 95-108, October.
    4. Cerqueti, Roy & Lupi, Claudio, 2015. "Consistent Risk Acceptance Criteria through Networks," Economics & Statistics Discussion Papers esdp15076, University of Molise, Department of Economics.
    5. Ebbe Groes & Hans Jørgen Jacobsen & Birgitte Sloth & Torben Tranaes, 1998. "Nash Equilibrium with Lower Probabilities," Theory and Decision, Springer, vol. 44(1), pages 37-66, January.
    6. Asheim, G.B. & Dufwenberg, M., 1996. "Admissibility and Common Knowledge," Discussion Paper 1996-16, Tilburg University, Center for Economic Research.
    7. Fredrik Andersson, 1999. "Uncertainty aversion in a simple insurance model," Finnish Economic Papers, Finnish Economic Association, vol. 12(1), pages 16-27, Spring.
    8. Luca Rigotti & Matthew Ryan & Rhema Vaithianathan, 2011. "Optimism and firm formation," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 46(1), pages 1-38, January.
    9. Klaus Nehring, 2000. "A Theory of Rational Choice under Ignorance," Theory and Decision, Springer, vol. 48(3), pages 205-240, May.
    10. Ghirardato, Paolo, 1997. "On Independence for Non-Additive Measures, with a Fubini Theorem," Journal of Economic Theory, Elsevier, vol. 73(2), pages 261-291, April.

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