UNCERTAIN EQUIVALENCE METHOD FOR CONTINUOUS ONE-DIMENSIONAL UTILITY ELICITATION

The paper proposes a new risk-risk method for elicitation of utility over a continuous one-dimensional set of prizes, called uncertain equivalence method. The method adapts the probability equivalence – certainty equivalence transition over the lottery equivalence method, and on the other hand it adapts the probability equivalence-lottery equivalence transition over the certainty equivalence method. A modified midpoint chaining uncertain equivalence recurrent method is developed, which improves the elicitation procedure on the expense of accumulation of error. A generic theoretical representation of the elicitation techniques is presented, and seven methods are analyzed as its special cases. Three requirements for the elicitation procedures of one-dimensional utility are formulated. The proposed methods are compared with the existing techniques against these requirements.