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

MAP20260001852

Multi-asset return risk measures / Christian Laudagé, Felix-Benedikt Liebrich and Jörn Sass

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

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 - 694

1. Gestión de riesgos . 2. Activos financieros . 3. Cálculo actuarial . 4. Distribución de riesgos . 5. Mercado de seguros . 6. Matemática del seguro . 7. Medición de resultados . 8. Rentabilidad ajustada al riesgo . I. Liebrich, Felix-Benedikt . II. Sass, Jörn . III. International Actuarial Association . IV. Título.