Under the condition of the risk measurement criteria, a supply chain system consisting of one risk-averse retailer and one risk-averse supplier is considered. The optimal order strategy of the risk-averse retailer and the optimal production strategy of the risk-averse supplier in the two production mode are discussed. Through numerical experiments, main conclusions are obtained as followed: A smaller retailer’s risk aversion will lead to a larger first optimal order quantity and a greater risk profit of the retailer; the supplier’s first optimal manufacturing quantity increases as the risk aversion of the supplier decreases; the smaller the risk aversion of the retailer is, the more unfavorable the production speculation behavior of the supplier will be.