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dc.contributor.authorNapp, Clotilde
HAL ID: 741006
ORCID: 0000-0002-7008-5949
dc.contributor.authorJouini, Elyès
HAL ID: 6654
dc.date.accessioned2009-06-18T10:45:09Z
dc.date.available2009-06-18T10:45:09Z
dc.date.issued2003
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/343
dc.language.isoenen
dc.subjectPareto Optimal Allocationsen
dc.subjectRisk Sharing Schemeen
dc.subjectJump Processesen
dc.subjectComonotonic Processesen
dc.subjectComonotonicityen
dc.subject.ddc332en
dc.subject.classificationjelG32en
dc.titleComonotonic Processesen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWe 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.en
dc.relation.isversionofjnlnameInsurance Mathematics and Economics
dc.relation.isversionofjnlvol32en
dc.relation.isversionofjnlissue2en
dc.relation.isversionofjnldate2003-04
dc.relation.isversionofjnlpages255-265en
dc.relation.isversionofdoihttp://dx.doi.org/10.1016/S0167-6687(03)00110-0en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherElsevieren
dc.subject.ddclabelEconomie financièreen


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