Decision under risk : The classical Expected Utility model

This chapter of a collective book aims at presenting the basics of decision making under risk. We first define notions of risk and increasing risk and recall definitions and classifications (that are valid independently of any representation) of behavior under risk. We then review the classical model of expected utility due to von Neumann and Morgenstern andd its main properties. Issues raised by this model are then discussed and two models generalizing the expected utility model are briefly discussed.