Exact capacities and star-shaped distorted probabilities

DOI10.1016/J.MATHSOCSCI.2008.01.006MaRDI QIDQ943581zbMATH OpenOpenAlexFDO

Authors Zaier Aouani, Alain Chateauneuf

Publication date 10 September 2008

Published in Mathematical Social Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.mathsocsci.2008.01.006

zbMATH Keywords

balancedcapacityexactrisk aversionstar-shaped function

Mathematics Subject Classification ID

Review text

Properties of distorted probabilities are transferred to capacities, together with applications to Yaari's model of choice under risk.

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Cites work

• Choosing Between Risky Prospects: The Characterization of Comparative Statics Results, and Location Independent Risk
• Convex games and extreme points
• Cores of exact games. I
• Countably additive measures in cores of games
• Diversification, convex preferences and non-empty core in the Choquet expected utility model.
• Expected utility with purely subjective non-additive probabilities
• Four notions of mean-preserving increase in risk, risk attitudes and applications to the rank-dependent expected utility model
• scientific article; zbMATH DE number 3121285 (Why is no real title available?)
• Non-additive measure and integral
• Subjective Probability and Expected Utility without Additivity
• The Dual Theory of Choice under Risk
• The value of information -- an axiomatic approach

Cited in

(7)

• Decomposable capacities, distorted probabilities and concave capacities
• Law-invariant functionals that collapse to the mean: beyond convexity
• Generalization of Portmanteau theorem for a sequence of interval-valued pseudo-probability measures
• Star-Shaped Risk Measures
• Equimeasurable rearrangements with capacities
• An axiomatic approach to default risk and model uncertainty in rating systems
• Distortion risk measures: prudence, coherence, and the expected shortfall

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