From Ellsberg to Machina : Confronting decision models under ambiguity with experimental evidence.

Summary To what extent does the behavior of decision makers conform to the predictions of decision models in an uncertain environment? Economic behavior is often influenced by the informational structure of the decision context. In particular, the concomitance (juxtaposition or combination) of two sources of uncertainty - risk (known probabilities) and ambiguity (unknown probabilities of events) - gives rise to behaviors that are not compatible with the standard models of decision theory, the subjective expected utility model and its extension to non-additive probabilities, the Choquet expected utility model. The behavioral component at the basis of the uncertainty paradoxes is the fact that individuals have a (non-neutral) attitude towards ambiguity. This thesis proposes different empirical studies aiming at highlighting the heterogeneity of attitudes towards ambiguity in the light of the variability of uncertainty structures. These studies deal with two main cases: when the decision-maker is confronted with two separate sources of uncertainty (Ellsberg's two-color paradox) . when the decision-maker is confronted with a mix of uncertainties (Machina's paradox).