Comonotonic processes

DOI10.1016/S0167-6687(03)00110-0zbMath1028.60089OpenAlexW4240384308MaRDI QIDQ1413395

Elyès Jouini, Clotilde Napp

Publication date: 16 November 2003

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6687(03)00110-0

zbMATH Keywords

Pareto optimal allocationsComonotonicityJump processesComonotonic processesRisk sharing schemes

Mathematics Subject Classification ID

Markov processes (60J99)

Related Items

Nonlinear bivariate comovements of asset prices: methodology, tests and applications ⋮ Comonotonicity for sets of probabilities ⋮ Co-monotonicity of optimal investments and the design of structured financial products ⋮ Pareto efficiency for the concave order and multivariate comonotonicity ⋮ A new characterization of distortion premiums via countable additivity for comonotonic risks ⋮ Pareto optimal allocations and dynamic programming ⋮ Multivariate comonotonicity ⋮ Efficient allocations under law-invariance: a unifying approach

Cites Work

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• Comonotonicity, correlation order and premium principles
• Non-additive measure and integral
• Co-monotone allocations, Bickel-Lehmann dispersion and the Arrow-Pratt measure of risk aversion
• The concept of comonotonicity in actuarial science and finance: theory.
• The concept of comonotonicity in actuarial science and finance: applications.
• The Dual Theory of Choice under Risk

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