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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
Nom de la revue
Insurance Mathematics and Economics
Volume
32
Numéro
2
Éditeur
Elsevier
Pages
255-265
Identifiant publication
Métadonnées
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Auteur(s)
Napp, Clotilde cc
Jouini, Elyès
Résumé (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.
Mots-clés
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