Safety‐First Criteria and Their Measures of Risk

Abstract

Abstract A cardinal measure of risk which represents the safety‐first criteria is defined. The functional form of that measure is determined for a subgroup of risk‐averse agents that do not have money illusion. An empirical illustration of possible applications of that measure shows a method of identifying the subgroup of agents for which a given alternative dominates the others—in a group of risky alternatives when none of these alternatives dominates any of the others according to the first and the second criteria of stochastic dominance.

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