Issouf Abdou ; Philibert Andriamanantena ; Mamy Raoul RAVELOMANANA ; Rivo Rakotozafy - Choquet utility depending on the state of nature

arima:5898 - Revue Africaine de Recherche en Informatique et Mathématiques Appliquées, December 17, 2021, Volume 32 - 2019 - 2021 - https://doi.org/10.46298/arima.5898
Choquet utility depending on the state of nature

Authors: Issouf Abdou ; Philibert Andriamanantena ; Mamy Raoul RAVELOMANANA ; Rivo Rakotozafy

    This article, which is part of the general framework of mathematics applied to economics, is a decision-making model in total ignorance. Such an environment is characterized by the absence of a law of distribution of the states of nature allowing having good forecasts or anticipations. Based primarily on the integral of Choquet, this model allows aggregating the different states of nature in order to make a better decision. This integral of Choquet imposes itself with respect to the complexity of the environment and also by its relevance of aggregation of the interactive or conflicting criteria. The present model is a combination of the Schmeidler model and the Brice Mayag algorithm for the determination of Choquet 2-additive capacity. It fits into the framework of subjective models and provides an appropriate response to the Ellsberg paradox.


    Volume: Volume 32 - 2019 - 2021
    Published on: December 17, 2021
    Accepted on: October 27, 2021
    Submitted on: November 7, 2019
    Keywords: Choquet Integral,Utility,Subjective Preferences,Intégrale de Choquet,Utilité,Préférences Subjectives,Incertitude,Mesure floue,Uncertainty,Fuzzy measure,[QFIN]Quantitative Finance [q-fin],[QFIN.RM]Quantitative Finance [q-fin]/Risk Management [q-fin.RM]

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