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Conditional comonotonicity

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  • Elyès Jouini
  • Clotilde Napp

Abstract

In this paper we propose a generalization of the comonotonicity notion by introducing and exploring the concept of conditional comonotonicity. We characterize this notion and we show on examples that conditional comonotonicity is the natural extension of the concept of comonotonicity to dynamic settings.
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Suggested Citation

  • Elyès Jouini & Clotilde Napp, 2004. "Conditional comonotonicity," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 27(2), pages 153-166, December.
    • Handle: RePEc:spr:decfin:v:27:y:2004:i:2:p:153-166
    DOI: 10.1007/s10203-004-0049-y
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    Cited by:

    1. Takao Asano & Hiroyuki Kojima, 2019. "Consequentialism and dynamic consistency in updating ambiguous beliefs," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 68(1), pages 223-250, July.
    2. Graham, Bryan S. & Hahn, Jinyong & Poirier, Alexandre & Powell, James L., 2018. "A quantile correlated random coefficients panel data model," Journal of Econometrics, Elsevier, vol. 206(2), pages 305-335.
    3. Cheung, Ka Chun, 2008. "Improved convex upper bound via conditional comonotonicity," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 651-655, April.
    4. repec:spo:wpecon:info:hdl:2441/5rkqqmvrn4tl22s9mc0p00hch is not listed on IDEAS
    5. Carlier, G. & Dana, R.-A. & Galichon, A., 2012. "Pareto efficiency for the concave order and multivariate comonotonicity," Journal of Economic Theory, Elsevier, vol. 147(1), pages 207-229.
    6. Cheung, Ka Chun, 2009. "Applications of conditional comonotonicity to some optimization problems," Insurance: Mathematics and Economics, Elsevier, vol. 45(1), pages 89-93, August.
    7. Cheung, K.C. & Rong, Yian & Yam, S.C.P., 2014. "Borch’s Theorem from the perspective of comonotonicity," Insurance: Mathematics and Economics, Elsevier, vol. 54(C), pages 144-151.
    8. Elyès Jouini & Walter Schachermayer & Nizar Touzi, 2006. "Law Invariant Risk Measures Have the Fatou Property," Post-Print halshs-00176522, HAL.
    9. Puccetti, Giovanni & Scarsini, Marco, 2010. "Multivariate comonotonicity," Journal of Multivariate Analysis, Elsevier, vol. 101(1), pages 291-304, January.
    10. Guillaume Carlier & Rose-Anne Dana & Alfred Galichon, 2012. "Pareto efficiency for the concave order and multivariate comonotonicity," SciencePo Working papers Main hal-01053549, HAL.
    11. Guillaume Carlier & Rose-Anne Dana & Alfred Galichon, 2012. "Pareto efficiency for the concave order and multivariate comonotonicity," SciencePo Working papers hal-01053549, HAL.
    12. Marc Rieger, 2011. "Co-monotonicity of optimal investments and the design of structured financial products," Finance and Stochastics, Springer, vol. 15(1), pages 27-55, January.
    13. repec:dau:papers:123456789/9713 is not listed on IDEAS
    14. S. Hochrainer-Stigler & N. Lugeri & M. Radziejewski, 2014. "Up-scaling of impact dependent loss distributions: a hybrid convolution approach for flood risk in Europe," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 70(2), pages 1437-1451, January.
    15. repec:hal:wpspec:info:hdl:2441/5rkqqmvrn4tl22s9mc0p00hch is not listed on IDEAS
    16. Wu, Xianyi & Zhou, Xian, 2006. "A new characterization of distortion premiums via countable additivity for comonotonic risks," Insurance: Mathematics and Economics, Elsevier, vol. 38(2), pages 324-334, April.
    17. repec:hal:spmain:info:hdl:2441/5rkqqmvrn4tl22s9mc0p00hch is not listed on IDEAS
    18. Tahir Choulli & Christophe Stricker & Jia Li, 2007. "Minimal Hellinger martingale measures of order q," Finance and Stochastics, Springer, vol. 11(3), pages 399-427, July.

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