An axiomatic approach to <InlineEquation ID="Equ1"> <EquationSource Format="TEX">$\boldsymbol{\varepsilon}$</EquationSource> </InlineEquation>-contamination

Suppose that an economic agent is <InlineEquation ID="Equ2"> <EquationSource Format="TEX">$(1-\varepsilon) \times$</EquationSource> </InlineEquation>100% certain that uncertainty she faces is characterized by a particular probability measure, but that she has a fear that, with <InlineEquation ID="Equ3"> <EquationSource Format="TEX">$\varepsilon \times$</EquationSource> </InlineEquation>100% chance, her conviction is completely wrong and she is left perfectly ignorant about the true measure in the present as well as in the future. This situation is often called “<InlineEquation ID="Equ4"> <EquationSource Format="TEX">$\varepsilon$</EquationSource> </InlineEquation>-contamination of confidence.” The purpose of this paper is to provide a simple set of behavioral axioms under which the decision-maker’s preference is represented by the Choquet expected utility with the <InlineEquation ID="Equ5"> <EquationSource Format="TEX">$\varepsilon$</EquationSource> </InlineEquation>-contamination of confidence. Copyright Springer-Verlag Berlin/Heidelberg 2006