Theory and Decision

, Volume 78, Issue 2, pp 289–304

General dual measures of riskiness

Article

DOI: 10.1007/s11238-014-9421-8

Cite this article as:
Schulze, K. Theory Decis (2015) 78: 289. doi:10.1007/s11238-014-9421-8

Abstract

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.

Keywords

Risk measures Duality Riskiness Expected utility  Decision-making under risk 

Copyright information

© Springer Science+Business Media New York 2014

Authors and Affiliations

  1. 1.Deutsche BundesbankDepartment of Banking and Financial SupervisionFrankfurtGermany

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