A note on proper scoring rules and risk aversion

When risk averse forecasters are presented with risk neutral proper scoring rules, they report probabilities whose ratios are shaded towards 1. If elicited probabilities are used as inputs to decision-making, naive elicitors may violate first-order stochastic dominance.

► Analyze how risk-averse forecasters react to proper scoring rules. ► Consider a large class of utility functions and proper scoring rules. ► Optimal reports are compressed relative to forecaster's true beliefs. ► Naïve use of reports can lead to violations of first-order stochastic dominance.