ABSTRACT
Savage's (1954) subjective expected utility (SEU) theory has been widely adopted as the guide for rational decision making in the face of uncertainty. In SEU theory both the probabilities and the utilities are derived from preferences (see also Ramsey (1931)). This represents a hallmark contribution, as it avoids the reliance on introspection for quantifying tastes and beliefs. We continue in Savage's vein and extend his theory to derive a more general nonadditive expected utility representation, called Choquet expected utility (CEU). Schmeidler (1989, first version 1982) made the first contribution in providing a CEU representation and Gilboa (1987) extended this work. We develop this line of research further by providing an intuitive axiomatization of CEU.
