Thank you for this great idea! Based on the suggestion about the wait-event parameter I played a little round and found a solution with capture-tethered and the hook scripts. As a result I take a picture with the camera and the raspberry pi takes the other 4 pictures afterwards.
For anyone who is interested, I used the above setup and modified following scripts:
/etc/rc.local added the line
/usr/local/bin/HDR.sh &

The file /usr/local/bin/HDR.sh:

!/bin/sh

loop forever

cd /tmp
while [ true ]
do

Wait for camera to be turned on

by checking USB

DEVICE=$(gphoto2 --auto-detect | grep usb | cut -b 36-42 | sed 's/,/\//')
while [ -z ${DEVICE} ]
do
sleep 1
DEVICE=$(gphoto2 --auto-detect | grep usb | cut -b 36-42 | sed 's/,/\//')
done

loop for all photos to be taken until camera is switched off or so

until [ $? -ne 0 ]
do

wait for the first photo

gphoto2 --capture-tethered --hook-script /usr/local/bin/hook.sh

do the other photos

gphoto2 --set-config capturetarget=1 \
--set-config-value /main/capturesettings/exposurecompensation=-2000 \
--capture-image \
--set-config-value /main/capturesettings/exposurecompensation=-4000 \
--capture-image \
--set-config-value /main/capturesettings/exposurecompensation=2000 \
--capture-image \
--set-config-value /main/capturesettings/exposurecompensation=4000 \
--capture-image \
--set-config-value /main/capturesettings/exposurecompensation=0

done
done

and finally the file /usr/local/bin/hook.sh:

!/bin/sh

case "$ACTION" in

delete downloaded file and kill gphoto, so original script can continue

download)
rm $ARGUMENT
kill $(pidof gphoto2)
;;
*)
;;

esac
exit 0