Risk attitudes for nonlinear measurable utility

This paper concerns SSB utility theory in the monetary context. It introduces a measure of risk aversion and establishes necessary and sufficient conditions for comparative risk aversion. Non-separable decompositions of an SSB utility function that have the form ℝlsquo;(x,y)=w(x)w(y)f(x-y) are examined. Risk properties such as constant risk aversion and a delta property are shown to give specific functional forms for an SSB utility function.