We axiomatize a model of decision under objective ambiguity described by multiple probability distributions. The decision maker forms a subjective (non necessarily additive) belief about the likelihood of probability distributions and computes the average expected utility of a given act with respect to this second order belief. We show that ambiguity aversion like the one revealed by the Ellsberg paradox requires that second order beliefs be nonadditive. Some properties of the model are examined.
Keywords. Imprecise probabilistic information, Ellsberg paradox, second order beliefs, ambiguity aversion, non-additive probabilities, Choquet integral.
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