Centro de Documentacion de Fundación MAPFRE - Multi-asset return risk measures

Notas: Sumario: This 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.Registros relacionados: En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 15/09/2025 Volume 55 Issue 3 - September 2025 , p. 668 - 694Materia / lugar / evento: Gestión de riesgos Activos financieros Cálculo actuarial Distribución de riesgos Mercado de seguros Matemática del seguro Medición de resultados Rentabilidad ajustada al riesgo Otros autores: Liebrich, Felix-Benedikt
Sass, Jörn
International Actuarial Association
Outras classificações: 6

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