On Aumann and Serrano's Economic Index of Risk

Minqiang Li

MPRA Paper from University Library of Munich, Germany

Abstract: We study the risk index of an additive gamble proposed in Aumann and Serrano (2008).We establish a generalized duality result for this index and use it to prove Yaari's (1969) alternative characterization of DARA utilities. A new characterization result for the risk index is obtained through essentially monotonic risk aversion utilities. We also extend the domain of gambles by introducing a price for gambles. We then develop a theory on the risk index for multiplicative gambles. Relative risk aversion functions for multiplicative gambles play the same role as absolute risk aversion functions for additive gambles.

Keywords: Risk; index; Attractiveness; index; Duality; Additive; gambles; Multiplicative; gambles (search for similar items in EconPapers)
JEL-codes: C00 D80 D81 (search for similar items in EconPapers)
Date: 2013
New Economics Papers: this item is included in nep-mic
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/47466/1/MPRA_paper_47466.pdf original version (application/pdf)

Related works:
Journal Article: On Aumann and Serrano’s economic index of risk (2014)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:47466

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().