General dual measures of riskiness
Klaas Schulze ()
Theory and Decision, 2015, vol. 78, issue 2, 289-304
Aumann and Serrano (J Political Econ 116(5):810–836, 2008 ) introduce the axiom of duality, which ensures that risk measures respect comparative risk aversion. This paper characterizes all dual risk measures by a simple equivalent condition. This equivalence provides a decomposition result and a construction method, which is used to analyze concrete dual measures. Moreover, this paper aims to extend this characterization to the most general setting. Compared with Aumann and Serrano ( 2008 ), it, therefore, relaxes the axiom of positive homogeneity, and allows for risk-neutral and risk-seeking agents, as well as for all integrable gambles. Copyright Springer Science+Business Media New York 2015
Keywords: Risk measures; Duality; Riskiness; Expected utility; Decision-making under risk (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:kap:theord:v:78:y:2015:i:2:p:289-304
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