On a Generalised Form of Risk Measure

This paper surveys risk measures and proposes a generalised form of risk measure which covers most of the risk measures in literature such as volatility, Value-at-Risk, ruin probability, scenario-based risk measures, utility-based risk measures and risk function in decision theory. The generalised form of risk measure is defined based on three components of risk, namely uncertainty, exposure to uncertainty and the attitude toward risk of a consumer of risk information. The nature of risk and basic properties satisfied by the generalised form of risk measure are discussed. Keywords: generalised form of risk measure, generalised scenarios, risk information, exposure to uncertainty, decision theory.