Abstract : A new explanation of the Allais paradox is suggested. A decision rule representable by an increasing function of the expected utility and the minimum utility is axiomatized. The lexicographic separability of this function is also discussed and axiomatized.
Itzhak Gilboa. A Combination of Expected Utility and Maxmin Decision Criteria. Journal of Mathematical Psychology, Elsevier, 1988, vol. 32, issue 4, pp. 405-420. ⟨10.1016/0022-2496(88)90020-X⟩. ⟨hal-00753244⟩