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Pareto efficiency for the concave order and multivariate comonotonicity

  • Carlier, G.
  • Dana, R.-A.
  • Galichon, A.

This paper studies efficient risk-sharing rules for the concave dominance order. For a univariate risk, it follows from a comonotone dominance principle, due to Landsberger and Meilijson (1994) [27], that efficiency is characterized by a comonotonicity condition. The goal of the paper is to generalize the comonotone dominance principle as well as the equivalence between efficiency and comonotonicity to the multidimensional case. The multivariate case is more involved (in particular because there is no immediate extension of the notion of comonotonicity), and it is addressed by using techniques from convex duality and optimal transportation.

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Article provided by Elsevier in its journal Journal of Economic Theory.

Volume (Year): 147 (2012)
Issue (Month): 1 ()
Pages: 207-229

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Handle: RePEc:eee:jetheo:v:147:y:2012:i:1:p:207-229
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/622869

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  1. Attanasio, Orazio & Davis, Steven J, 1996. "Relative Wage Movements and the Distribution of Consumption," Journal of Political Economy, University of Chicago Press, vol. 104(6), pages 1227-62, December.
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  13. Napp, Clotilde & Jouini, Elyès, 2004. "Conditional Comonotonicity," Economics Papers from University Paris Dauphine 123456789/344, Paris Dauphine University.
  14. Dana, Rose-Anne & Carlier, Guillaume, 2006. "Law invariant concave utility functions and optimization problems with monotonicity and comonotonicity constraints," Economics Papers from University Paris Dauphine 123456789/5392, Paris Dauphine University.
  15. E. Jouini & W. Schachermayer & N. Touzi, 2008. "Optimal Risk Sharing For Law Invariant Monetary Utility Functions," Mathematical Finance, Wiley Blackwell, vol. 18(2), pages 269-292.
  16. Dana, Rose-Anne & Carlier, Guillaume, 2008. "Two-Persons Efficient Risk-Sharing and Equilibria for Concave Law-Invariant Utilities," Economics Papers from University Paris Dauphine 123456789/2348, Paris Dauphine University.
  17. Townsend, Robert M, 1994. "Risk and Insurance in Village India," Econometrica, Econometric Society, vol. 62(3), pages 539-91, May.
  18. Ludkovski, Michael & Rüschendorf, Ludger, 2008. "On comonotonicity of Pareto optimal risk sharing," Statistics & Probability Letters, Elsevier, vol. 78(10), pages 1181-1188, August.
  19. Donald J. Brown & Rosa L. Matzkin, 1995. "Testable Restrictions on the Equilibrium Manifold," Cowles Foundation Discussion Papers 1109, Cowles Foundation for Research in Economics, Yale University.
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  25. Carlier Guillaume & Dana Rose-Anne, 2006. "Law invariant concave utility functions and optimization problems with monotonicity and comonotonicity constraints," Statistics & Risk Modeling, De Gruyter, vol. 24(1/2006), pages 26, July.
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