The Comonotonic Sure-Thing Principle
Journal of Risk and Uncertainty , Volume 12 - Issue 1 p. 7- 28
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.
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|ERIM Article Series (EAS)|
|Journal of Risk and Uncertainty|
|Organisation||Erasmus Research Institute of Management|
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