We propose a new method to elicit individuals' risk preferences. Similar to Holt and Laury
(2002), we use a simple multiple price-list format. However, our method is based on a general
notion of increasing risk, which allows classifying individuals as more or less risk-averse
without assuming a specic utility framework. In a laboratory experiment we compare both
methods. Each classies individuals almost identically as risk-averse, -neutral, or -seeking.
However, classications of individuals as more or less risk-averse dier substantially. Moreover,
our approach yields higher measures of risk aversion, and only with our method these
measures are robust toward increasing stakes
