Comonotonicity axioms and rank-dependent expected utility theory for arbitrary consequences
A characterization of rank dependent utility is given by continuity, monotonicity and the comonotonic sure thing principle. Rank dependent expected utility is characterized by one additional axiom: the comonotonic mixture independence. Finally an axiom on risk aversion is introduced exhibiting attraction for sure lotteries. The results hold for the set of simple probability distributions over a connected compact metric space.
scientific article; zbMATH DE number 1339890