Journal Article

A Truth Serum for Non-Bayesians: Correcting Proper Scoring Rules for Risk Attitudes

Theo Offerman, Joep Sonnemans, Gijs Van De Kuilen and Peter P. Wakker

in The Review of Economic Studies

Published on behalf of Review of Economic Studies Ltd

Volume 76, issue 4, pages 1461-1489
Published in print October 2009 | ISSN: 0034-6527
Published online October 2009 | e-ISSN: 1467-937X | DOI: http://dx.doi.org/10.1111/j.1467-937X.2009.00557.x
A Truth Serum for Non-Bayesians: Correcting Proper Scoring Rules for Risk Attitudes

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Proper scoring rules provide convenient and highly efficient tools for incentive-compatible elicitations of subjective beliefs. As traditionally used, however, they are valid only under expected value maximization. This paper shows how they can be generalized to modern (“non-expected utility”) theories of risk and ambiguity, yielding mutual benefits: users of scoring rules can benefit from the empirical realism of non-expected utility, and analysts of ambiguity attitudes can benefit from efficient measurements using proper scoring rules. An experiment demonstrates the feasibility of our generalization.

Keywords: D81; D83; G12

Journal Article.  14529 words.  Illustrated.

Subjects: Information, Knowledge, and Uncertainy ; Economics

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