Generalizations of risk-weighted expected utility

Abstract Buchak’s risk-weighted expected utility considers not just the probability of an outcome, but also the probability of getting a strictly better outcome, when weighting the contribution that outcome gives to the evaluation of a gamble. It uses a risk-weighting function $R$ sending probabilities in $\left[ {0,1} \right]$ to decision weights $\left[ {0,1} \right]$ . I adapt this to allow weights in any real interval. Finite intervals yield nothing new, but if the interval is infinite, then the resulting rule can incorporate maximin or maximax preferences (or both!) while still satisfying stochastic dominance. There are advantages to working with marginal risk-weighting, $R$ ’s derivative, $r$ .

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Publication Details

Journal
Economics and Philosophy
Published
2026-01-02
DOI
https://doi.org/10.1017/s0266267125100618
Primary Topic
Health Systems, Economic Evaluations, Quality of Life
Type
article
Field-Weighted Citation Impact
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article

Generalizations of risk-weighted expected utility

Kenny Easwaran
Economics and Philosophy
Health Systems, Economic Evaluations, Quality of Life
article

Generalizations of risk-weighted expected utility

Kenny Easwaran
article en

Abstract

Abstract Buchak’s risk-weighted expected utility considers not just the probability of an outcome, but also the probability of getting a strictly better outcome, when weighting the contribution that outcome gives to the evaluation of a gamble. It uses a risk-weighting function $R$ sending probabilities in $\left[ {0,1} \right]$ to decision weights $\left[ {0,1} \right]$ . I adapt this to allow weights in any real interval. Finite intervals yield nothing new, but if the interval is infinite, then the resulting rule can incorporate maximin or maximax preferences (or both!) while still satisfying stochastic dominance. There are advantages to working with marginal risk-weighting, $R$ ’s derivative, $r$ .

Economics and Philosophy
University of California System (US)
Openalex Percentile: Top 99%
Health Systems, Economic Evaluations, Quality of Life
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