On comonotonicity of Pareto optimal risk sharing

Michael Ludkovski and Ludger Rüschendorf

Statistics & Probability Letters, 2008, vol. 78, issue 10, 1181-1188

Abstract: We establish various extensions of the comonotone improvement result of Landsberger and Meilijson [Landsberger, M., Meilijson, I., 1994. Co-monotone allocations, Bickel-Lehmann dispersion and the Arrow-Pratt measure of risk aversion. Annals of Operations Research 52, 97-106] which are of interest for the risk sharing problem. As a consequence we obtain general results of the comonotonicity of Pareto optimal risk allocations using risk measures consistent with the stochastic convex order.

Date: 2008
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