Comonotonic Processes

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.
Document type :
Journal articles
Complete list of metadatas

Cited literature [8 references]  Display  Hide  Download

https://halshs.archives-ouvertes.fr/halshs-00167158
Contributor : Elyès Jouini <>
Submitted on : Tuesday, August 21, 2007 - 3:16:51 AM
Last modification on : Thursday, January 11, 2018 - 6:17:40 AM
Long-term archiving on : Friday, April 9, 2010 - 12:46:44 AM

File

33-comoIME_Napp_Comonotonic_Pr...
Files produced by the author(s)

Identifiers

  • HAL Id : halshs-00167158, version 1

Collections

Citation

Elyès Jouini, Clotilde Napp. Comonotonic Processes. Insurance: Mathematics and Economics, Elsevier, 2003, pp.255-265. ⟨halshs-00167158⟩

Share

Metrics

Record views

225

Files downloads

217