Subjective ambiguity, expected utility and Choquet expected utility

Summary.

Using the Savage set up, this paper provides a simple axiomatization of the Choquet Expected Utility model where the capacity is an inner measure. Two attractive features of the model are its specificity and the transparency of its axioms. The key axiom states that the decision-maker uses unambiguous acts to approximate ambiguous ones. In addition, the notion of ‘ambiguity’ is subjective and derived from preferences.