In many problems of risk analysis, failure is equivalent to the event of a random risk factor exceeding a given threshold. Failure probabilities can be controlled if a decision maker is able to set the threshold at an appropriate level. This abstract situation applies for example to...

Machina amp; Schmeidler (1992) show that probabilistic sophistication can be obtained in a Savage setting without imposing expected utility by dropping Savage's axiom P2 (sure-thing principle) and strengthening his axiom P4 (weak comparative probability). Their stronger axiom, however, embodies...

When making important decisions such as choosing health insurance or a school, people are often uncertain what levels of attributes will suit their true preference. After choice, they might realize that their uncertainty resulted in a mismatch: choosing a sub-optimal alternative, while another...

We introduce a dynamical model for the time evolution of probability density functions incorporating uncertainty in the parameters. The uncertainty follows stochastic processes, thereby defining a new class of stochastic processes with values in the space of probability densities. The purpose is...