SUBJECTIVE EXPECTED UTILITY WITH NONADDITIVE PROBABILITIES ON FINITE STATE-SPACES

Schmeidler and Gilboa's representation generalizes subjective expected utility to cope with the Ellsberg paradox, so that the probability measure over states of the world need not be additive. This paper examines a similar generalization in Savage's framework when the set of states is finite, while Savage's states are continuously divisible. Our axiomatization requires that the set X of consequences be infinite in contrast to Savage's arbitrary X. Three representational forms are axiomatized to give non-additivity, complementary additivity, and additivity of probability measures, respectively. © 1990.