Utilité espérée généralisée – vers une règle de décision universelle

In order to capture a larger range of decision rules, this paper extends [6, 2, 3]’s work about Generalized Expected Utility. The notion of algebraic mass function (and of algebraic M¨obius transform) is introduced and a new algebraic expression based on such functions is provided. This utility, that we call “XEU”, generalizes Chu and Halpern’s GEU to non-decomposable measures and allows for the representation of rules that could not be captured up to this point, and noticeably, of the Choquet integral. A representation theorem is provided that shows that only a very weak condition is needed for a rule in order to be representable as an XEU.