The Comonotonic Sure-Thing Principle
January 1996
Article
volume 12, issue 1 pp 7-28.
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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
Automatically Extracted Terms
- comonotonic
- outcome
- utility
- comonotonic independence
- wakker
- independence
- representation
- theorem
- continuity
- partition
- event
- equivalent
- condition
- monotonicity
- lemma
- theory
- principle
- proof
- sure-thing
- function
