Lorenzo Bastianello
Université Paris 2 Panthéon-Assas
Choquet expected utility across time without lotteries
Venue
IBD Salle 21
Îlot Bernard du Bois - Salle 21
AMU - AMSE
5-9 boulevard Maurice Bourdet
13001 Marseille
Date(s)
Thursday, May 31 2018| 12:00pm to 1:15pm
Contact(s)
Ugo Bolletta: ugo.bolletta[at]univ-amu.fr
Mathieu Faure: mathieu.faure[at]univ-amu.fr
Abstract
In this paper we axiomatise an inter-temporal version of the Choquet Expected Utility model by recasting Koopmans Discounted Utility model in a framework with uncertainty. A new axiom, called comonotonic stationarity, is proposed as a generalization of Koopmans stationarity axiom. Under other standard axioms used in the theory of inter-temporal choice, a decision maker will evaluate an ambiguous stream of income through the Choquet integral of discounted utilities. As a dividend, our setting allows to axiomatise the Discounted Expected Utility model.