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Query: faculty: "FEB" and publication year: "1992"

AuthorsP.P. Wakker, R.K. Sarin
TitleA simple axiomatization of nonadditive expected utility
JournalEconometrica
Volume60
Year1992
Issue60
Pages1255-1272
ISSN00129682
FacultyFaculty of Economics and Business
Institute/dept.FEB: Amsterdam School of Economics Research Institute (ASE-RI)
KeywordsDecision-making; Utility; Mathematical methods
AbstractThis paper provides an extension of Savage's subjective expected utility theory for decisions under uncertainty. It includes in the set of events both unambiguous events for which probabilities are additive as well as ambiguous events for which probabilities are permitted to be nonadditive. The main axiom is cumulative dominance which adapts stochastic dominance to decision making under uncertainty. We derive a Choquet expected utility representation and show that a modification of cumulative dominance leads to the classical expected utility representation. The relationship of our approach with that of Schmeidler who uses a two-stage formulation to derive Choquet expected utility is also explored.
Document typeArticle
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