Chambers, Christopher P and Liu, Peng and Wang, Ruodu (2025) A duality between utility transforms and probability distortions. Theory and Decision. DOI https://doi.org/10.1007/s11238-025-10073-9 (In Press)
Chambers, Christopher P and Liu, Peng and Wang, Ruodu (2025) A duality between utility transforms and probability distortions. Theory and Decision. DOI https://doi.org/10.1007/s11238-025-10073-9 (In Press)
Chambers, Christopher P and Liu, Peng and Wang, Ruodu (2025) A duality between utility transforms and probability distortions. Theory and Decision. DOI https://doi.org/10.1007/s11238-025-10073-9 (In Press)
Abstract
In this paper, we establish a mathematical duality between utility transforms and probability distortions. These transforms play a central role in decision under risk by forming the foundation for the classic theories of expected utility, dual utility, and rank-dependent utility. Our main results establish that probability distortions are characterized by commutation with utility transforms, and utility transforms are characterized by commutation with probability distortions. These results require no additional conditions, and hence each class can be axiomatized with only one property. Moreover, under monotonicity, rank-dependent utility transforms can be characterized by set commutation with either utility transforms or probability distortions.
Item Type: | Article |
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Uncontrolled Keywords: | Distributional transforms; Probability distortions; Utility transforms; Rank-dependent-utility transforms; Quantiles |
Divisions: | Faculty of Science and Health Faculty of Science and Health > Mathematics, Statistics and Actuarial Science, School of |
SWORD Depositor: | Unnamed user with email elements@essex.ac.uk |
Depositing User: | Unnamed user with email elements@essex.ac.uk |
Date Deposited: | 26 Aug 2025 16:20 |
Last Modified: | 26 Aug 2025 16:58 |
URI: | http://repository.essex.ac.uk/id/eprint/41497 |
Available files
Filename: s11238-025-10073-9.pdf
Licence: Creative Commons: Attribution 4.0