Comonotonic Processes

Elyès Jouini () and Clotilde Napp

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Abstract: 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, X_{t} is greater in one state of the world than in another if and only if the same is true for Y_{t}. 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.

Keywords: Comonotonicity; Comonotonic processes; Jump processes; Risk sharing schemes; Pareto optimal allocations (search for similar items in EconPapers)
Date: 2003
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00167158v1
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Published in Insurance: Mathematics and Economics, 2003, 32, pp.255-265

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Journal Article: Comonotonic processes (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00167158

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