ABSTRACT
Tools designed to provide adequate risk measurements are needed by both decision making agents and regulatory agents, who require information about potential losses within a probabilistic framework. As such, the choice of a risk measure plays a central role in decision making in many areas including health, safety, environmental, adversarial and catastrophic risks [Cox Jr., L.A., 2013; MacKenzie, 2014]. Many different risk measures are available to practitioners, but the selection of the most suitable risk measure to be used in a given context is generally controversial. A key element in characterizing a risk measure is the underlying risk attitude that is assumed when this measure is used for risk assessment. Therefore, in selecting the best measure, the practitioner is concerned with how a particular measure matches up with the alternatives. However, this simple question only has a complex answer.
