The Comonotonic Sure-Thing Principle
| Authors |
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| Publication date | 1996 |
| Journal | Journal of Risk and Uncertainty |
| Volume | Issue number | 12 | 12 |
| Pages (from-to) | 5-26 |
| Organisations |
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| Abstract | This article identifies the common characterizing condition, the comonotonic sure-thing principle, that underlies the rank-dependent direction in non-expected utility. This condition restricts Savage's sure-thing principle to comonotonic acts, and is characterized in full generality by means of a new functional form -cumulative utility- that generalizes the Choquet integral. Thus, a common generalization of all existing rank-dependent forms is obtained, including rank-dependent expected utility, Choquet expected utility, and cumulative prospect theory. |
| Document type | Article |
| Published at |
https://doi.org/10.1007/BF00353328
(Final published version)
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