Exact capacities and star-shaped distorted probabilities |
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| Authors: | Zaier Aouani Alain Chateauneuf |
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| Institution: | aUniversity of Kansas, Economics Department, 415 Snow Hall, Lawrence, KS 66045, USA;bUniversité Paris I, PSE-CES, 106-112 boulevard de l’Hopital, 75647 Paris Cedex 13, France |
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| Abstract: | We are interested in capacities which are deformations of probability, i.e. v=f P. We characterize balanced, totally balanced, and exact capacities by properties concerning the probability transformation function, f. These results allow us to obtain simple new characterizations of a large pattern of risk aversions relevant to Yaari’s dual theory of choice under risk. |
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| Keywords: | Capacity Exact Balanced Star-shaped function Risk aversion |
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