Modeling attitudes toward uncertainty through the use of the Sugeno integral

Alain Chateauneuf (1) , Michel Grabisch (1) , Agnès Rico (2)

1 CES - Centre d'économie de la Sorbonne
2 LIRIS - Laboratoire d'InfoRmatique en Image et Systèmes d'information

The aim of the paper is to present under uncertainty, and in an ordinal framework, an axiomatic treatment of the Sugeno integral in terms of preferences which parallels some earlier derivations devoted to the Choquet integral. Some emphasis is given to the characterization of uncertainty aversion.

Mots clés: Sugeno integral; uncertainty aversion; preference relations; ordinal information

Domaines: Economies et finances

Alain Chateauneuf, Michel Grabisch, Agnès Rico. Modeling attitudes toward uncertainty through the use of the Sugeno integral. Journal of Mathematical Economics, 2008, 44 (11), pp.1084-1099. ⟨10.1016/j.jmateco.2007.09.003⟩. ⟨halshs-00327700⟩