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Choquet expected utility with affine capacities

Author

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  • Pascal Toquebeuf

    (University of Grenoble-Alpes, GAEL)

Abstract

This paper studies decisions under ambiguity when attention is paid to extreme outcomes. In a purely subjective framework, we propose an axiomatic characterization of affine capacities, which are Choquet capacities consisting in an affine transformation of a subjective probability. Our main axiom restricts the well-known Savage’s Sure-Thing Principle to a change in a common intermediate outcome. The representation result is then an affine combination of the expected utility of the valued act and its maximal and minimal utilities.

Suggested Citation

  • Pascal Toquebeuf, 2016. "Choquet expected utility with affine capacities," Theory and Decision, Springer, vol. 81(2), pages 177-187, August.
    • Handle: RePEc:kap:theord:v:81:y:2016:i:2:d:10.1007_s11238-015-9529-5
    DOI: 10.1007/s11238-015-9529-5
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