Ugo Bolletta : ugo.bolletta[at]univ-amu.fr
Mathieu Faure : mathieu.faure[at]univ-amu.fr
In this paper we axiomatise an inter-temporal version of the Choquet Expected Utility model by recasting Koopmans Discounted Utility model in a framework with uncertainty. A new axiom, called comonotonic stationarity, is proposed as a generalization of Koopmans stationarity axiom. Under other standard axioms used in the theory of inter-temporal choice, a decision maker will evaluate an ambiguous stream of income through the Choquet integral of discounted utilities. As a dividend, our setting allows to axiomatise the Discounted Expected Utility model.