Offerman, T., Sonnemans, J., van de Kuilen, G., and Wakker, P. (2009a). A truth serum for non-Bayesians : correcting proper scoring rules for risk attitudes. The Review of Economic Studies, 76(4):1461-1489.
JournalReview of Economic Studies
Proper scoring rules provide convenient and highly efficient tools for incentive-compatible elicitations of subjective beliefs. As traditionally used, however, they are valid only under expected value maximization. This paper shows how they can be generalized to modern ('non-expected utility') theories of risk and ambiguity, yielding mutual benefits: users of scoring rules can benefit from the empirical realism of non-expected utility, and analysts of ambiguity attitudes can benefit from efficient measurements using proper scoring rules. An experiment demonstrates the feasibility of our generalization.