Pareto efficiency for the concave order and multivariate comonotonicity

Guillaume Carlier (), Rose-Anne Dana () and Alfred Galichon
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Guillaume Carlier: CEREMADE - CEntre de REcherches en MAthématiques de la DEcision - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique
Rose-Anne Dana: CEREMADE - CEntre de REcherches en MAthématiques de la DEcision - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique

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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), 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.

Date: 2012
Note: View the original document on HAL open archive server: https://sciencespo.hal.science/hal-01053549v1
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Published in Journal of Economic Theory, 2012, 147 (1), pp.207-229. ⟨10.1016/j.jet.2011.11.011⟩

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Journal Article: Pareto efficiency for the concave order and multivariate comonotonicity (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01053549

DOI: 10.1016/j.jet.2011.11.011

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