An operational interpretation and existence of the Aumann–Serrano index of riskiness

Ulrich Homm and Christian Pigorsch

Economics Letters, 2012, vol. 114, issue 3, 265-267

Abstract: In this note we provide an operational interpretation of the economic index of riskiness of Aumann and Serrano (2008) and discuss its existence in the case of non-finite gambles.

Keywords: Aumann–Serrano index of riskiness; Adjustment coefficient; Ruin probability (search for similar items in EconPapers)
JEL-codes: D81 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (19)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:114:y:2012:i:3:p:265-267

DOI: 10.1016/j.econlet.2011.10.030

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