We discuss economic dispatch and system marginal prices in a single-settlement wholesale electricity pool under uncertainty. Agents with coherent risk measures maximize risk-adjusted profit in a market with complete risk trading. If agents' risk measures are known by the system operator then prices form a socially optimal dispatch which is revenue adequate and recovers agents' costs in risk-adjusted expectation. We construct a non-cooperative game to show that agents have incentives to misrepresent their risk measures to improve their risk-adjusted profit.