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Comonotonic Processes

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

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Type
Article accepté pour publication ou publié
Date
2003
Journal name
Insurance Mathematics and Economics
Volume
32
Number
2
Publisher
Elsevier
Pages
255-265
Publication identifier
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Author(s)
Napp, Clotilde cc
Jouini, Elyès
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 / Keywords
Pareto Optimal Allocations; Risk Sharing Scheme; Jump Processes; Comonotonic Processes; Comonotonicity
JEL
G32 - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill