Year: 2015
Type: article
Abstract: Foster and Hart propose a measure of riskiness for discrete random variables. Their defining equation has no solution for many common continuous distributions. We show how to extend consistently the definition of riskiness to continuous random variables. For many continuous random variables, the risk measure is equal to the worst-case risk measure, i.e., the maximal possible loss incurred by that gamble. For many discrete gambles with a large number of values, the Foster–Hart riskiness is close to the maximal loss. We give a simple characterization of gambles whose riskiness is or is close to the maximal loss.
Source: Theoretical Economics
DOI: 10.3982/te1499
Authors: Frank Riedel, Tobias Hellmann
Institution: Bielefeld University
Language: English
Subfield: General Decision Sciences
Field: Decision Sciences
Domain: Social Sciences
Open Access status: diamond
OpenAlex ID: W1581207436