Li, Minqiang (2013): On Aumann and Serrano's Economic Index of Risk.

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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.
Item Type:  MPRA Paper 

Original Title:  On Aumann and Serrano's Economic Index of Risk 
Language:  English 
Keywords:  Risk index Attractiveness index Duality Additive gambles Multiplicative gambles 
Subjects:  C  Mathematical and Quantitative Methods > C0  General > C00  General D  Microeconomics > D8  Information, Knowledge, and Uncertainty > D80  General D  Microeconomics > D8  Information, Knowledge, and Uncertainty > D81  Criteria for DecisionMaking under Risk and Uncertainty 
Item ID:  47466 
Depositing User:  Minqiang Li 
Date Deposited:  10 Jun 2013 14:37 
Last Modified:  26 Sep 2019 13:40 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/47466 