Choquet rank-dependent utility

Abstract: We propose a new decision model under ambiguity, called the Choquet rank-dependent utility model. The model extends the Choquet expected utility model by allowing for the reduction to the rank-dependent utility model in the absence of ambiguity, rather than to the expected utility model. The model has three major components: a utility function $u$ and a probability distortion $g$, which together capture the risk component of the preferences, and generalized probabilistic beliefs $\nu$, which captures the ambiguity component of the preferences. The representation takes the form $X\succsim Y\iff \int_{\Omega} u(X)d(g\circ\nu)\iff \int_{\Omega} u(Y)d(g\circ\nu).$ To obtain the axiomatization, we work in the uncertainty setting of Savage with a non-ambiguous source. Afterwards, we discuss ambiguity attitudes and their representation with respect to the generalized probabilistic beliefs, along with conditions for a robust representation.