Multi-asset return risk measures
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| Tag | 1 | 2 | Value |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20260001852 | ||
| 003 | MAP | ||
| 005 | 20260202112243.0 | ||
| 008 | 260130e20250915bel|||p |0|||b|eng d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 100 | $0MAPA20260001425$aLaudagé, Christian | ||
| 245 | 1 | 0 | $aMulti-asset return risk measures$cChristian Laudagé, Felix-Benedikt Liebrich and Jörn Sass |
| 520 | $aThis paper extends the concept of return risk measures (RRMs) by allowing risk evaluation relative to multiple eligible assets, introducing the class of Multi-Asset Return Risk Measures (MARRMs). MARRMs provide a new framework for multiplicative risk sharing and establish a direct link with multi-asset risk measures (MARMs). Using insurance loss data and continuous-time financial markets, the study compares RRMs, MARMs, and MARRMs, highlighting material differences in risk-mitigation costs. The paper also analyzes key theoretical properties of MARRMs, including convexity conditions, consistency requirements, and dual representations. These results broaden the applicability of return-based risk assessment in multi-asset environments. | ||
| 650 | 4 | $0MAPA20250003316$aGestión de riesgos | |
| 650 | 4 | $0MAPA20080588816$aActivos financieros | |
| 650 | 4 | $0MAPA20080579258$aCálculo actuarial | |
| 650 | 4 | $0MAPA20080610319$aDistribución de riesgos | |
| 650 | 4 | $0MAPA20080586294$aMercado de seguros | |
| 650 | 4 | $0MAPA20080602437$aMatemática del seguro | |
| 650 | 4 | $0MAPA20210021718$aMedición de resultados | |
| 650 | 4 | $0MAPA20130006116$aRentabilidad ajustada al riesgo | |
| 700 | 1 | $0MAPA20260001432$aLiebrich, Felix-Benedikt | |
| 700 | 1 | $0MAPA20260001449$aSass, Jörn | |
| 710 | 2 | $0MAPA20100017661$aInternational Actuarial Association | |
| 773 | 0 | $wMAP20077000420$g15/09/2025 Volume 55 Issue 3 - September 2025 , p. 668 - 694$x0515-0361$tAstin bulletin$dBelgium : ASTIN and AFIR Sections of the International Actuarial Association |