Characterizing Optimism and Pessimism Directly through Comonotonicity

摘要

Schmeidler (1982) introduced 'comonotonic independence' to characterize nonadditivity of probabilities. The present note obtains natural and very simple characterizations of convexity (and additivity) of nonadditive probabilities, by relating these to the pessimism and optimism inherent in comonotonicity.