This paper explores risk-sharing and equilibrium in a general equilibrium set-up wherein agents are non … the convex transform of some probability distribution. comonotonicity of Pareto-optima is also shown to be true in the two … the two-agent, two-state case. This comonotonicity result does not generalize to more than two states as we show with a …

Considering that a natural way of sharing risks in insurance companies is to require risk by risk Pareto optimality, we … offer in case of strong risk aversion, a simple computable method for deriving all Pareto optima. More importantly all …

This paper explores risk-sharing and equilibrium in a general equilibrium set-up wherein agents are non … convex transform of some probability distribution. comonotonicity of Pareto-optima is also shown to be true in the two … the two-agent, two-state case. This comonotonicity result does not generalize to more than two states as we show with a …

examples as strictly risk averse expected utility maximizers with same priors. The contribution of the paper is to show that … Lansberger and Meilijson that states that attention may be restricted to comonotone allocations of aggregate risk. Efficient …

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. …

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 …

We consider the problem of optimal risk sharing of some given total risk between two economic agents characterized by … law-invariant monetary utility functions or equivalently, law-invariant risk measures. We first prove existence of an … optimal risk sharing allocation which is in addition increasing in terms of the total risk. We next provide an explicit …

measures as maximal correlation functionals. This involves an extension of the notion of comonotonicity to random vectors …We propose a multivariate extension of a well-known characterization by S. Kusuoka of regular and coherent risk … comonotonicity axioms by an equivalent property we call strong coherence and that we argue has more natural economic interpretation …