Conditioning capacities and Choquet integrals: the role of comonotony
type: Item
instance of: scholarly article
title: Conditioning capacities and Choquet integrals: the role of comonotony
zbMATH Open document ID: 1050.91023
DOI: 10.1023/A:1015567329595
author: Alain Chateauneuf
author: Robert Kast
author: André Lapied
published in: Theory and Decision
publication date: 2002-08-21T00:00:00Z
review text: 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.
Mathematics Subject Classification ID: 91B06
zbMATH DE Number: 1786829
zbMATH Keywords: Choquet integral
zbMATH Keywords: comonotony
zbMATH Keywords: time consistency
zbMATH Keywords: conditional capacities
MaRDI profile type: Publication
description: scientific article; zbMATH DE number 1786829