Expected Utility with Lower Probabilities

An uncertain and not just risky situation may be modeled using so-called belief functions assigning lower probabilities to subsets of outcomes. In this article we extend the von Neumann-Morgenstern expected utility theory from probability measures to belief functions. We use this theory to character...

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Bibliographic Details
Published inJournal of risk and uncertainty Vol. 8; no. 2; pp. 197 - 216
Main Authors HENDON, EBBE, JACOBSEN, HANS JØRGEN, SLOTH, BIRGITTE, TRANÆS, TORBEN
Format Journal Article
LanguageEnglish
Published Kluwer Academic Publishers 01.03.1994
Subjects
Betting
Economic uncertainty
Economic utility
Expected utility
Game theory
Lotteries
Mathematical functions
Mathematical transformations
Probability
Risk
Uncertainty
Utility functions
Utility theory
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Summary:An uncertain and not just risky situation may be modeled using so-called belief functions assigning lower probabilities to subsets of outcomes. In this article we extend the von Neumann-Morgenstern expected utility theory from probability measures to belief functions. We use this theory to characterize uncertainty neutrality and different degrees of uncertainty aversion.
Bibliography:ObjectType-Article-2
SourceType-Scholarly Journals-1
ObjectType-Feature-1
content type line 23
ISSN:0895-5646
1573-0476
DOI:10.1007/BF01065372