Abstract
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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Hong, C.S., Wakker, P. The comonotonic sure-thing principle. Journal of Risk and Uncertainty 12, 5–27 (1996). https://doi.org/10.1007/BF00353328
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DOI: https://doi.org/10.1007/BF00353328