Tuesday 30 January

A Simple Model to Update Choquet Beliefs

Hao Bai – University of Manchester

Abstract:

 A simple model to update Choquet beliefs in a uncertain world is developed. This paper provides an axiomatisation of Choquet expected utility and Bayesian updating in a conditional decision problem. The approach taken in this paper suggests a new and natural procedure for updating capacities by the application of Bayes’ rule in situations where Choquet expected utility has an equivalent rank-dependent utility representation. The idea is the following. Under certain conditions, a capacity can be expressed as a transformation of an additive probability measure. We can update an additive probability measure by using the Bayes’ rule and update the corresponding capacity by setting the capacity of each event equal to the transformation of the updated additive probability of the same event. A formalisation of this idea is provided. 

Registration, please contact robin@em-lyon.com

Room A2-117, Lyon campus