Pareto efficiency for the concave order and multivariate comonotonicity

G. Carlier; R. A. Dana; A. Galichon

doi:10.1016/j.jet.2011.11.011

Pareto efficiency for the concave order and multivariate comonotonicity

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

Research output: Contribution to journal › Article › peer-review

Abstract

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.

Original language	English (US)
Pages (from-to)	207-229
Number of pages	23
Journal	Journal of Economic Theory
Volume	147
Issue number	1
DOIs	https://doi.org/10.1016/j.jet.2011.11.011
State	Published - Jan 2012

Keywords

Comonotonicity
Concave order
Efficiency
Multivariate risk-sharing
Stochastic dominance

ASJC Scopus subject areas

Economics and Econometrics

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10.1016/j.jet.2011.11.011

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abstract = "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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AB - 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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KW - Stochastic dominance

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Pareto efficiency for the concave order and multivariate comonotonicity

Abstract

Keywords

ASJC Scopus subject areas

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