Scientific article 1994
Expected utility with lower probabilities
Authors:
- Ebbe Hendon
- Hans Jørgen Jacobsen
- Birgitte Sloth
- Torben Tranæs
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.
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Published in
Journal of Risk and Uncertainty