Applications of Choquet Expected Utility Model to some Atypical Preferences

In recent decades, two theories which seems contradictory, claim that they can provide a basis for the behaviour of economic agents, i.e the theory of decision and the behavioural economics. We have tried, in this thesis to unite these two points of view by mobilizing the concept of incomplete preference. We develop in the first part a model of time varying risk aversion: we show that the Decision Maker anticipates that the passage of time will have an effect on him outlook. By modeling the notion of well-being with a incomplete prefe- rence, we show that the welfare of the decision maker is represented by two contradictory psychologies. The first reflects the risk aversion in the long term and is represented by the model of expected utility, the second describes a more emotional response to risk, and is characterized by the model of Choquet expected utility. In the second part, we identify the behavioural conditions, both necessary and sufficient, in which an incomplete prefe- rence relation could be represented by the intersection of a set of complete and transitive preference relation satisfying the axiom of comonotone independence.