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On comonotonicity of Pareto optimal risk sharing

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  • Ludkovski, Michael
  • Rüschendorf, Ludger

Abstract

We establish various extensions of the comonotone improvement result of Landsberger and Meilijson [Landsberger, M., Meilijson, I., 1994. Co-monotone allocations, Bickel-Lehmann dispersion and the Arrow-Pratt measure of risk aversion. Annals of Operations Research 52, 97-106] which are of interest for the risk sharing problem. As a consequence we obtain general results of the comonotonicity of Pareto optimal risk allocations using risk measures consistent with the stochastic convex order.

Suggested Citation

  • Ludkovski, Michael & Rüschendorf, Ludger, 2008. "On comonotonicity of Pareto optimal risk sharing," Statistics & Probability Letters, Elsevier, vol. 78(10), pages 1181-1188, August.
    • Handle: RePEc:eee:stapro:v:78:y:2008:i:10:p:1181-1188
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