Answers are grounded in this paper and cite their sources.
In the case of the exponential family of distributions it is well known that the use of a prior distribution belonging to the natural conjugate family substantially simplifies the analysis whilst often being realistic in applications. The present paper explores the related idea of a conjugate family of utilities, and generally the notion of choosing a utility structure that is suitably "matched" to the probability structure and, at the same time, realistic in application.
No takes yet. Share an insight, caveat, or question.
D. V. Lindley (1976) studied this question.
Synapse has enriched 10 related papers. Consider them for comparative context: