@techreport{53ba39204cd947f2be13c9e64b026b0b,
title = "Comonotonic Book-Making with Nonadditive Probabilities",
abstract = "This paper shows how de Finetti's book-making principle, commonly used to justify additive subjective probabilities, can be modi-ed to agree with some nonexpected utility models.More precisely, a new foundation of the rank-dependent models is presented that is based on a comonotonic extension of the book-making principle.The extension excludes book-making only if all gambles considered induce a same rank-ordering of the states of nature through favorableness of their associated outcomes, and allows for nonadditive probabilities.Typical features of rank-dependence, hedging, ambiguity aversion, and pessimism and optimism, can be accommodated.",
keywords = "Book-making, comonotonic, Choquet expected utility, ambiguity aversion, ordered vector space",
author = "E. Diecidue and P.P. Wakker",
note = "Pagination: 22",
year = "2000",
language = "English",
volume = "2000-76",
series = "CentER Discussion Paper",
publisher = "Microeconomics",
type = "WorkingPaper",
institution = "Microeconomics",
}