To compare different schemes for preserving privacy, it is important to be able to gauge loss of privacy. Since loss of privacy means that we gain new information about a person, it seems natural to measure the loss of privacy by the amount of information that we gained. However, this seemingly natural definition is not perfect: when we originally know that a person's salary is between $10,000 and $20,000 and later learn that the salary is between $10,000 and $15,000, we gained exactly as much information (one bit) as when we learn that the salary is an even number -- however, intuitively, in the first case, we have a substantial privacy loss while in the second case, the privacy loss is minimal. In this paper, we propose a new definition of privacy loss that is in better agreement with our intuition. This new definition is based on estimating worst-case financial losses caused by the loss of privacy.