Efficiency of Valid Inferential Models: Choquet-risk Optimal Possibility Measures, and Direct Comparisons

Valid possibilistic inferential models provide exact finite-sample calibration, but validity alone does not determine which valid procedure results in the most informative inferential summary. This paper proposes Choquet risk as a decision-theoretic criterion for comparing valid possibility measures in finite samples. Given a non-negative penalty functional, Choquet loss is defined as the Choquet integral of that penalty with respect to the data-dependent possibility measure, and Choquet risk as its sampling expectation. A key reduction expresses this risk through the nested $\alpha$-cuts of the contour, linking procedure-level efficiency to the expected performance of calibrated confidence sets. For concentration penalties, the criterion reduces to integrated expected set size, equivalently expected contour volume, so levelwise optimal confidence sets induce Choquet-risk optimal valid contours.
The framework is developed along two classical routes to optimality. First, a possibilistic notion of unbiasedness is introduced and shown, under validity, to coincide with unbiasedness of the induced confidence sets and tests, allowing UMPU and most-accurate-unbiased results to be transferred to valid contours. Second, an equivariant minimax theory is developed, including a Gaussian-location result in which the Gaussian possibility contour is Choquet-risk minimax for radial distance-to-truth losses. The construction also extends confidence risk from additive confidence distributions to non-additive calibrated inferential-model output, with Choquet loss acting as a least-favourable confidence loss. Finally, the paper clarifies the penalty-dependence of efficiency comparisons and motivates invariant size criteria and divergence-based intrinsic losses connected locally to Fisher--Rao geometry.