The article explores how to measure and manage risk in finance models. By using nested risk measures, the researchers show that risk aversion leads to unique risk premiums similar to dividends. They connect coherent risk measures with the Sharpe ratio and Z-spread to hedge risk. The study extends European option pricing to risk-averse American options, analyzing how risk affects prices and optimal exercise times. Additionally, they adapt Merton's optimal consumption problem to a risk-averse context.