A behavioral interpretation of belief functions

Abstract: Shafer's belief functions were introduced in the seventies of the previous century as a mathematical tool in order to model epistemic probability. One of the reasons that they were not picked up by mainstream probability was the lack of a behavioral interpretation. In this paper we provide such a behavioral interpretation, and re-derive Shafer's belief functions via a betting interpretation reminiscent of the classical Dutch Book Theorem for probability distributions. We relate our betting interpretation of belief functions to the existing literature.