An axiomatic approach to ε-contamination

Suppose that an economic agent is ( 1 - epsilon) x 100% certain that uncertainty she faces is characterized by a particular probability measure, but that she has a fear that, with e x 100% chance, her conviction is completely wrong and she is left perfectly ignorant about the true measure in the present as well as in the future. This situation is often called "epsilon-contamination of confidence." The purpose of this paper is to provide a simple set of behavioral axioms under which the decision-maker's preference is represented by the Choquet expected utility with the epsilon-contamination of confidence.