Comonotonic Book-Making with Nonadditive Probabilities
نویسندگان
چکیده
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 rankdependent 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.
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