Coherence without Additivity.

Abstract

The Dutch book argument is a coherence condition for the existence of subjective probabilities. This note gives a general framework of analysis for this argument in a nonadditive probability setting. Particular cases are given by comonotonic and affinely related Dutch books that lead to Choquet expectations and Min expectations.Coherence; Dutch Book; Constant Linearity; Choquet Expectation; Multiple Priors