This paper shows how the signed Choquet integral, a generalization of the regular Choquet integral, can model violations of separability and monotonicity. Applications to intertemporal preference, asset pricing, and welfare evaluations are discussed.

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Journal of Mathematical Economics
Erasmus School of Economics

de Waegenaere, A., & Wakker, P. (2001). Nonmonotonic Choquet integrals. Journal of Mathematical Economics, 36(1), 45–60. doi:10.1016/S0304-4068(01)00064-7