Subjective Probability and Expected Utility without Additivity
提出共单调独立性公理，弱化冯·诺依曼-摩根斯坦独立性公理，证明其可导出非可加概率和冯·诺依曼-摩根斯坦效用，并通过Choquet积分计算期望效用，解释埃尔斯伯格悖论等违背可加期望效用的现象。
An act maps states of nature to outcomes: deterministic outcomes, as well as random outcomes, are included. Two acts f and g are comonotonic, by definition, if it never happens that f(s) > f(t) and g(t) > g(s) for some states of nature s and t. An axiom of comonotonic independence is introduced here. It weakens the von Neumann-Morgenstern axiom of independence as follows: If f > g and if f, g and h are comonotonic then $f + (1 - $)h > $g + (1 - $)h. If a nondegenerate, continuous, and monotonic (state independent) weak order over acts satisfies comonotonic independence, then it induces a unique non-(necessarily-) additive probability and a von Neumann-Morgenstern utility. Furthermore, one can compute the expected utility of an act with respect to the nonadditive probability, using the Choquet integral. This extension of the expected utility theory covers situations, such as the Ellsberg paradox, which are inconsistent with additive expected utility. The concept of uncertainty aversion and interpretation of comonotonic independence in the context of social welfare functions are included. Copyright 1989 by The Econometric Society.(This abstract was borrowed from another version of this item.)