Article ID: | iaor20163721 |
Volume: | 81 |
Issue: | 2 |
Start Page Number: | 177 |
End Page Number: | 187 |
Publication Date: | Aug 2016 |
Journal: | Theory and Decision |
Authors: | Toquebeuf Pascal |
Keywords: | decision: studies |
This paper studies decisions under ambiguity when attention is paid to extreme outcomes. In a purely subjective framework, we propose an axiomatic characterization of affine capacities, which are Choquet capacities consisting in an affine transformation of a subjective probability. Our main axiom restricts the well‐known Savage’s Sure‐Thing Principle to a change in a common intermediate outcome. The representation result is then an affine combination of the expected utility of the valued act and its maximal and minimal utilities.