Pareto efficiency for the concave order and multivariate comonotonicity

G. Carlier, Rose-Anne Dana and Alfred Galichon

Journal of Economic Theory, 2012, vol. 147, issue 1, 207-229

Abstract: This paper studies efficient risk-sharing rules for the concave dominance order. For a univariate risk, it follows from a comonotone dominance principle, due to Landsberger and Meilijson (1994) [27], that efficiency is characterized by a comonotonicity condition. The goal of the paper is to generalize the comonotone dominance principle as well as the equivalence between efficiency and comonotonicity to the multidimensional case. The multivariate case is more involved (in particular because there is no immediate extension of the notion of comonotonicity), and it is addressed by using techniques from convex duality and optimal transportation.

Keywords: Concave order; Stochastic dominance; Comonotonicity; Efficiency; Multivariate risk-sharing (search for similar items in EconPapers)
JEL-codes: C61 D61 D81 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (52)

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Working Paper: Pareto efficiency for the concave order and multivariate comonotonicity (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jetheo:v:147:y:2012:i:1:p:207-229

DOI: 10.1016/j.jet.2011.11.011

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