Random sets lotteries and decision theory
Marc-Arthur Diaye &
Gleb Koshevoy
(Russian Academy of Sciences)
We apply random sets theory to decision making under risk. This leads to a unifying concept which is compatible with some types of behavior like the Choquet Expected Utility and MaxMin Expected Utility. We show that the “expected utility” of a random set lottery is easy to calculate. Hence a decision making model with random sets is actually very tractable.
