Integral representation with convex capacities that are squeeze of (additive) probability measures

Resumo

In this paper I will investigate the conditions under which a convex capacity (or a non-additive probability which exhibts uncertainty aversion) can be represented as a squeeze of a(n) (additive) probability measure associate to an uncertainty aversion function. Then I will present two alternatives forrnulations of the Choquet integral (and I will extend these forrnulations to the Choquet expected utility) in a parametric approach that will enable me to do comparative static exercises over the uncertainty aversion function in an easy way.

Ficha do documento

Tipo

Estudo

Ano

2003

Instituição

Fundação Getulio Vargas. Escola de Pós-graduação em Economia

Fonte

Repositório da FGV

Idioma

Inglês

Acesso

Não informado

Identificador

oai:repositorio.fgv.br:10438/12987

Temas

Economia

Palavras-chave

Ellsberg paradoxKnightian uncertaintyCapacity (non-additive probability)Uncertainty aversionChoquet integralChoquet expected utilityEconomiaIncerteza (Economia)Economia matemática