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Maxmin expected utility with non-unique prior. (English) Zbl 0675.90012
An axiomatic foundation of the maxmin expected utility decision rule is proposed here. The main difference among the model of F. J. Anscombe and R. J. Aumann [Ann. Math. Stat. 34, 199–205 (1963; Zbl 0114.07204)] and the present one lies in the phrasing of the independence axiom. Uncertainty aversion is additionally assumed. The considered model extends the classical expected utility but it cannot be represented in the non-additive expected utility theory. A concept of independence in the case of non-unique prior is proposed.

MSC:
91B16 Utility theory
91B06 Decision theory
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