Economic indices of absolute and relative riskiness (Q2249576)

In this paper riskiness depends on return rate. The author proposes a new index of relative security riskiness index which satisfies axioms given by the Aumann-Serrano axioms of riskiness [\textit{R. J. Aumann} and \textit{R. Serrano}, J. Polit. Econ. 116, No. 5, 810--836 (2008; Zbl 1341.91040)]. The proposed index is not equivalent to the absolute security riskiness index introduced by Serrano et al. Some properties of these indices are studied. Moreover, the considered riskiness indices are related to the Arrow-Pratt risk aversion. All necessary proofs are given.