Decision under Uncertainty : the Classical Models

Abstract

This chapiter of a collective book is dedicated to classical decision models under uncertainty, i.e. under situations where events do not have "objective" probabilities with which the Decision Marker agrees. We present successively the two main theories, their axiomatic, the interpretation and the justification of their axioms and their main properties : first, the general model of Subjective Expected Utility due to Savage (Savage, 1954), second, the Anscombe-Aumann (1963) theory, in a different framework. Both theories enforce the universal use of a probabilistic representation. We then discuss this issue in connection with the experimental result known as the Ellsberg paradox.Uncertainty, subjective probability, Subjective Expected Utility, Savage, Anscombe and Aumann, Ellsberg paradox.