Expected utility with lower probabilities

Ebbe Hendon; Hans Jørgen Jacobsen; Birgitte Sloth; Torben Tranæs

doi:10.1007/BF01065372

Expected utility with lower probabilities

Ebbe Hendon, Hans Jørgen Jacobsen, Birgitte Sloth, Torben Tranæs

Department of Economics

18 Citations (Scopus)

Abstract

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

Original language	English
Journal	Journal of Risk and Uncertainty
Volume	8
Issue number	2
Pages (from-to)	197-216
ISSN	0895-5646
DOIs	https://doi.org/10.1007/BF01065372
Publication status	Published - 1994

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10.1007/BF01065372

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title = "Expected utility with lower probabilities",

abstract = "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",

author = "Ebbe Hendon and Jacobsen, {Hans J{\o}rgen} and Birgitte Sloth and Torben Tran{\ae}s",

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T1 - Expected utility with lower probabilities

AU - Hendon, Ebbe

AU - Jacobsen, Hans Jørgen

AU - Sloth, Birgitte

AU - Tranæs, Torben

N1 - JEL clasification: D81

PY - 1994

Y1 - 1994

N2 - 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

AB - 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

U2 - 10.1007/BF01065372

DO - 10.1007/BF01065372

M3 - Journal article

SN - 0895-5646

VL - 8

SP - 197

EP - 216

JO - Journal of Risk and Uncertainty

JF - Journal of Risk and Uncertainty

IS - 2

ER -

Expected utility with lower probabilities

Abstract

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