Comonotonicity axioms and rank-dependent expected utility theory for arbitrary consequences (Q1304441)
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scientific article
| Language | Label | Description | Also known as |
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| English | Comonotonicity axioms and rank-dependent expected utility theory for arbitrary consequences |
scientific article |
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Comonotonicity axioms and rank-dependent expected utility theory for arbitrary consequences (English)
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14 November 2000
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A characterization of rank dependent utility is given by continuity, monotonicity and the comonotonic sure thing principle. Rank dependent expected utility is characterized by one additional axiom: the comonotonic mixture independence. Finally an axiom on risk aversion is introduced exhibiting attraction for sure lotteries. The results hold for the set of simple probability distributions over a connected compact metric space.
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rank dependent expected utility
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comonotonic mixture independence
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risk aversion
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sure lotteries
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