Comonotonic Processes - HAL-SHS - Sciences de l'Homme et de la Société Accéder directement au contenu
Article Dans Une Revue Insurance: Mathematics and Economics Année : 2003

Comonotonic Processes

Résumé

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.
Fichier principal
Vignette du fichier
33-comoIME_Napp_Comonotonic_Processes.pdf (184.82 Ko) Télécharger le fichier
Origine : Fichiers produits par l'(les) auteur(s)
Loading...

Dates et versions

halshs-00167158 , version 1 (21-08-2007)

Identifiants

  • HAL Id : halshs-00167158 , version 1

Citer

Elyès Jouini, Clotilde Napp. Comonotonic Processes. Insurance: Mathematics and Economics, 2003, 32, pp.255-265. ⟨halshs-00167158⟩
391 Consultations
141 Téléchargements

Partager

Gmail Facebook X LinkedIn More