Napp, Clotilde; Jouini, Elyès (2003), Comonotonic Processes, Insurance Mathematics and Economics, 32, 2, p. 255-265. http://dx.doi.org/10.1016/S0167-6687(03)00110-0
TypeArticle accepté pour publication ou publié
Journal nameInsurance Mathematics and Economics
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Abstract (EN)We consider in this paper two Markovian processes X and Y , solutions of a stochastic differential equation with jumps, that are comonotonic, i.e., that are such that for all t , almost surely, Xt is greater in one state of the world than in another if and only if the same is true for Yt . This notion of comonotonicity can be of great use for finance, insurance and actuarial issues.We show here that the assumption of comonotonicity imposes strong constraints on the coefficients of the diffusion part of X and Y.
Subjects / KeywordsPareto Optimal Allocations; Risk Sharing Scheme; Jump Processes; Comonotonic Processes; Comonotonicity
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