Proper scoring rules provide convenient and highly efficient tools for incentive-compatible elicitations of subjective beliefs. As traditionally used, however, they are valid only under expected value maximization. This paper shows how they can be generalized to modern (“non-expected utility”) theories of risk and ambiguity, yielding mutual benefits: users of scoring rules can benefit from the empirical realism of non-expected utility, and analysts of ambiguity attitudes can benefit from efficient measurements using proper scoring rules. An experiment demonstrates the feasibility of our generalization.
|Journal||Review of Economic Studies|
|Publication status||Published - 2009|
Offerman, T. J. S., Sonnemans, J., van de Kuilen, G., & Wakker, P. P. (2009). A truth serum for non-Bayesians: Correcting proper scoring rules for risk attitudes. Review of Economic Studies, 76(4), 1461-1489.