Elicitation of Subjective Probability Distributions and Von Neumann-Morgenstern Utility Functions

Abstract

In many situations, one individual (the "elicitor") would like to discover the precise form of a subjective probability distribution or of a von Neumann - Morgenstern utility function of another individual (the "subject"). This paper presents a general procedure-or "scoring rule" which can be used by the elicitor to induce the subject to reveal a probability distribution representing the subject's beliefs about some uncertain event. This procedure contains several other known scoring rules as special cases. By reversing the roles of probability and utility, this procedure can also be used to induce a risk averse subject to reveal a utility function representing the subject's choices in risky situations.