On Comonotonicity of Pareto Optimal Risk Sharing
نویسنده
چکیده
We prove comonotonicity of Pareto-optimal risk allocations using risk measures consistent with the stochastic convex order. This extends result of Landsberger and Meilijson (1994) to risks X ∈ L and general probability spaces.
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تاریخ انتشار 2007