Conditioning capacities and Choquet integrals: the role of comonotony (Q1611610)

The authors propose a time consistency condition for a decision maker using Choquet integrals for valuing random outcomes. They consider a Choquet integral representation of preferences showing uncertainty aversion (pessimism) and propose axioms on time consistency which yield a candidate for conditional Choquet integrals. Another axiom characterizes the role of comonotony in the use of information. The authors obtain two conditioning rules for capacities which amount to Bayes' and Dempster-Schafer's updating rules. The authors interpret both of them as a lack of confidence in information in a dynamic extension of pessimism.