Elyès Jouini () (CEREMADE - CEntre de REcherches en MAthématiques de la DEcision - CNRS : UMR7534 - Université Paris Dauphine - Paris IX) Clotilde Napp (DRM - Dauphine Recherches en Management - CNRS : UMR7088 - Université Paris Dauphine - Paris IX)
Additional information is available for the following
registered author(s):
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.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Publisher Info
Paper provided by HAL in its series Post-Print with number
halshs-00167158_v1.
Length: Date of creation: 2003 Date of revision: Publication status: Published, Insurance: Mathematics and Economics, 2003, 255-265 Handle: RePEc:hal:journl:halshs-00167158_v1
Note: View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00167158/en/ Contact details of provider: Web page: http://hal.archives-ouvertes.fr/
For technical questions regarding this item, or to correct its listing, contact: (CCSD).