Multi-asset return risk measures

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<dc:creator>Laudagé, Christian</dc:creator>
<dc:creator>Liebrich, Felix-Benedikt</dc:creator>
<dc:creator>Sass, Jörn</dc:creator>
<dc:creator>International Actuarial Association</dc:creator>
<dc:date>2025-09-15</dc:date>
<dc:description xml:lang="es">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.</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/189413.do</dc:identifier>
<dc:language>eng</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Gestión de riesgos</dc:subject>
<dc:subject xml:lang="es">Activos financieros</dc:subject>
<dc:subject xml:lang="es">Cálculo actuarial</dc:subject>
<dc:subject xml:lang="es">Distribución de riesgos</dc:subject>
<dc:subject xml:lang="es">Mercado de seguros</dc:subject>
<dc:subject xml:lang="es">Matemática del seguro</dc:subject>
<dc:subject xml:lang="es">Medición de resultados</dc:subject>
<dc:subject xml:lang="es">Rentabilidad ajustada al riesgo</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Multi-asset return risk measures</dc:title>
<dc:relation xml:lang="es">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</dc:relation>
</rdf:Description>
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