This paper empirically assesses how financial risk aversion reacts to a change in individuals’ wealth and health and to the introduction of both financial and health risks using the Survey of Health, Ageing, and Retirement in Europe (SHARE). Individuals in our sample exhibit financial risk aversion decreasing both in wealth and health. Financial risk aversion is also found to increase in the presence of both background financial and health risks. Interestingly, the sensitivity of financial risk aversion to wealth, respectively to health, is shown to depend on the presence of a financial background risk, respectively health background risk, but in opposite directions. Such findings can help to better understand various economic decisions in a risky environment.