Distorted probabilities and choice under risk
The monograph reviews the existing axiomatic utility theories, such as the classical von Neumann-Morgenstern theory and its modifications. Quiggin's anticipated utility theory or Yaari's dual theory and presents some new facts concerning general rank-dependent utility theory in which a utility \(v(x,p)\) is orginally ascribed to elementary lotteries (i.e. ones giving a win of \(x\) with probability \(p\) and status quo with probability \(1-p\)) and then extended to arbitrary distributions. These results extend those due to Green and Jullien. Especially analyzed is the case where \(v(x,p)\) has the form \(u(x)p^{g(x)}\), in particular, the author offers then an explanation of the Allais paradox. In a separate chapter, the author considers the problem of risk aversion in this framework and discusses relations to earlier models due to Arrow and Pratt or Friedman and Savage.
- Risk and rationality: uncovering heterogeneity in probability distortion
- The bounded rationality of probability distortion
- Preference under risk in the presence of indistinguishable probabilities
- Probability weighting in choice under risk: An empirical test
- Distortion risk measures, ambiguity aversion and optimal effort
- Choquet utility from distorted probabilities: a characterization
- Cumulative prospect theory and imprecise risk
- Risk Exchange with Distorted Probabilities
- A possibilistic approach to risk aversion
- Constraints on the representation of gambles in prospect theory
- Similarity and decision-making under risk (Is there a utility theory resolution to the Allais paradox?)
- Axiomatic utility theory under risk. Non-Archimedean representations and application to insurance economics
- A rank-dependent generalization of zero utility principle.
- An extension of a theorem of von Neumann and Morgenstern with an application to social choice theory
- Preference functionals with prize-dependent distortion of probabilities
- Two errors in the `Allais impossibility theorem'
- Utility theory with probability dependent outcome valuation: Extensions and applications
- Robust spectral risk optimization when the subjective risk aversion is ambiguous: a moment-type approach
- Concave/convex weighting and utility functions for risk: a new light on classical theorems
- Underestimation of probabilities modifications: characterization and economic implications
- On probabilities and loss aversion
- Consistent modeling of risk averse behavior with spectral risk measures
- Preference under risk in the presence of indistinguishable probabilities
- Pfanzagl exchanges diagnose an anomaly in expected utility decision theory
- Products of capacities on separate spaces through additive measures
- Utility function under risk: an ergodic approach
- Prospect theory. For risk and ambiguity.
- The economics of insurance: a review and some recent developments
- Risk Exchange with Distorted Probabilities
- Lottery Dependent Utility
- scientific article; zbMATH DE number 52350 (Why is no real title available?)
- Insurance Premium Calculations with Anticipated Utility Theory
- scientific article; zbMATH DE number 1495508 (Why is no real title available?)
- Risk perception, risk attitude, and decision: a rank-dependent analysis
- The Dual Theory of Choice under Risk
- Probabilistic risk attitudes and local risk aversion: a paradox
- Preference Robust Optimization for Choice Functions on the Space of CDFs
- Robust spectral risk optimization when information on risk spectrum is incomplete
- Realistic utility versus game utility: a proposal for dealing with the spread of uncertain prospects
- On the statistical foundations of nonlinear utility theory: the case of status quo-dependent preferences.
- A new axiomatization of rank-dependent expected utility with tradeoff consistency for equally likely outcomes
- Bargaining and boldness
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