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General dual measures of riskiness

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  • Klaas Schulze

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. Copyright Springer Science+Business Media New York 2015

Suggested Citation

  • Klaas Schulze, 2015. "General dual measures of riskiness," Theory and Decision, Springer, vol. 78(2), pages 289-304, February.
    • Handle: RePEc:kap:theord:v:78:y:2015:i:2:p:289-304
    DOI: 10.1007/s11238-014-9421-8
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    References listed on IDEAS

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