The Comonotonic Sure-Thing Principle
This article identifies the common characterizing property, the comonotonic sure-thing principle, that underlies the rank-dependent direction in non-expected utility. This property 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.
|Keywords||Choquet integral, capacity, sure-thing principle, utility|
|Persistent URL||dx.doi.org/10.1007/BF00353328, hdl.handle.net/1765/23097|
Chew, S.H., & Wakker, P.P.. (1996). The Comonotonic Sure-Thing Principle. Journal of Risk and Uncertainty, 12(1), 7–28. doi:10.1007/BF00353328