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Maxmin expected utility in Savage's framework
Journal of Economic Theory, 2023 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Dino Borie
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Optimal insurance under maxmin expected utility [PDF]
Finance and Stochastics, 2023 We examine a problem of demand for insurance indemnification, when the insured is sensitive to ambiguity and behaves according to the Maxmin-Expected Utility model of Gilboa and Schmeidler (1989), whereas the insurer is a (risk-averse or risk-neutral) Expected-Utility maximizer.
Corina Birghila +2 more
semanticscholar +6 more sources
Optimal allocations with α‐MaxMin utilities, Choquet expected utilities, and prospect theory
Theoretical Economics, 2023 The analysis of optimal risk sharing has been thus far largely restricted to nonexpected utility models with concave utility functions, where concavity is an expression of ambiguity aversion and/or risk aversion. This paper extends the analysis to α‐maxmin expected utility, Choquet expected utility, and cumulative prospect theory, which ...
Patrick Beißner, Jan Werner
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α - Maxmin Expected Utility with Non-Unique Prior
SSRN Electronic Journal, 2021 Preferences over acts have an α-Maxmin Expected Utility (α-MEU) representation if they can be represented by an α-mix between the worst and the best expected utility over a set or priors. The case α=1 is characterized in Gilboa and Schmeidler (1989). Inspired by their representation result, two novel types of axioms are introduced: α-Monotonicity and α-
Lorenz Hartmann
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Ambiguous events and maxmin expected utility
Journal of Economic Theory, 2006 We study the properties associated to various definitions of ambiguity ([8], [9], [18] and [23]) in the context of Maximin Expected Utility (MEU). We show that each definition of unambiguous events produces certain restrictions on the set of priors, and completely characterize each definition in terms of the properties it imposes on the MEU functional.
Massimiliano Amarante, Emel Filiz
semanticscholar +5 more sources
Dynamically consistent alpha‐maxmin expected utility [PDF]
Mathematical Finance, 2019 AbstractThe alpha‐maxmin model is a prominent example of preferences under Knightian uncertainty as it allows to distinguish ambiguity and ambiguity attitude. These preferences are dynamically inconsistent for nontrivial versions of alpha. In this paper, we derive a recursive, dynamically consistent version of the alpha‐maxmin model.
Patrick Beißner, Qian Lin, Frank Riedel
semanticscholar +8 more sources
Evaluating ambiguous random variables from Choquet to maxmin expected utility
Journal of Economic Theory, 2020 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Faruk Gül, Wolfgang Pesendorfer
semanticscholar +4 more sources
The North American Journal of Economics and FinanceChen Ya, Wei Liu, Zhen Zhao
semanticscholar +4 more sources
A reformulation of the maxmin expected utility model with application to agency theory
Journal of Mathematical Economics, 2008 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Edi Karni
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Maxmin expected utility with non-unique prior [PDF]
Journal of Mathematical Economics, 2010 An axiomatic foundation of the maxmin expected utility decision rule is proposed here. The main difference among the model of \textit{F. J. Anscombe} and \textit{R. J. Aumann} [Ann. Math. Stat. 34, 199--205 (1963; Zbl 0114.07204)] and the present one lies in the phrasing of the independence axiom. Uncertainty aversion is additionally assumed.
Itzhak Gilboa, David Schmeidler
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