Ambiguity, measurability and multiple priors

Summary.

The paper provides a notion of measurability for Multiple Prior Models characterized by nonatomic countably additive priors. A notable feature of our definition of measurability is that an event is measurable if and only if it is unambiguous in the sense of Ghirardato, Maccheroni and Marinacci [6]. In addition, the paper contains a thorough description of the basic properties of the family of measurable/unambiguous sets, of the measure defined on those and of the dependence of the class of measurable sets on the set of priors. The latter is obtained by means of an application of Lyapunov’s convexity theorem.