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Symmetric, Coherent, Choquet Capacities

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journal contribution
posted on 01.04.1966, 00:00 authored by Larry Wasserman, Joseph B. Kadane
Choquet capacities are a generalization of probability measures that arise in robustness, decision theory and game theory. Many capacities that arise in robustness are symmetric or can be transformed into symmetric capacities. We characterize the extreme points of the set of upper distribution functions corresponding to coherent, symmetric Choquet capacities on [0,1]. We also show that the set of 2-alternating capacities is a simplex and we give a Choquet representation of this set.