FOURTH INTERNATIONAL SYMPOSIUM ON
IMPRECISE PROBABILITIES AND THEIR APPLICATIONS
Carnegie Mellon University
Pittsburgh, PA, USA
July 20-23 2005

ISIPTA'05 ELECTRONIC PROCEEDINGS

Raphaël Giraud

Objective Imprecise Probabilistic Information, Second Order Beliefs and Ambiguity Aversion: an Axiomatization

Abstract

We axiomatize a model of decision under objective ambiguity described by multiple probability distributions. The decision maker forms a subjective (non necessarily additive) belief about the likelihood of probability distributions and computes the average expected utility of a given act with respect to this second order belief. We show that ambiguity aversion like the one revealed by the Ellsberg paradox requires that second order beliefs be nonadditive. Some properties of the model are examined.

Keywords. Imprecise probabilistic information, Ellsberg paradox, second order beliefs, ambiguity aversion, non-additive probabilities, Choquet integral.

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Authors addresses:

EUREQua Maison des Sciences Economiques 106-112 Bd de l'Hôpital 75005 Paris

E-mail addresses:

Raphaël Giraud Raphael.Giraud@univ-paris1.fr


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