Subjective Independence and Concave Expected Utility

We take a different approach to independence and present the subjective codecomposable independence axiom that determines when the decision maker exhibits ambiguity neutrality. This axioms is shared by a large class of decision making models, referred to as event-separable,  based on a non-additive probability and on a general integration scheme. The new approach allows us to: (a) introduce  the Concave Expected Utility model of decision making, adhering to ambiguity aversion where uncertainty is captured through a non-additive belief; and (b) provide sufficient conditions, weaker than those employed by previous formulations hinging on the independence axiom, to subjective and Choquet expected utility models

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