This paper presents an axiomatic model of probabilistic choice under risk. In this model, when it comes to choosing one lottery over another, each alternative has a chance of being selected, unless one lottery stochastically dominates the other. An individual behaves as if he compares lotteries...

This paper presents a new two-parameter probability weighting function for Tversky and Kahneman (1992) cumulative prospect theory as well as its special cases — Quiggin (1981) rank-dependent utility and Yaari (1987) dual model. The proposed probability weighting function can be inverse...