Probabilistic risk aversion with an arbitrary outcome set

► The definition of risk aversion is provided for arbitrary (not monetary) outcomes. ► Risk aversion is defined when people choose in a probabilistic manner. ► Comparative risk aversion is characterized for probabilistic choice with trembles. ► A discrete analog of the Arrow-Pratt coefficient is shown to measure local risk aversion. ► We prove that comparative risk aversion cannot be defined in a strong utility model.