Pareto efficiency for the concave order and multivariate comonotonicity

• 成果类型: Article
• 署名作者: Carlier, G.; Dana, R. -A.; Galichon, A.
• 署名单位: Institut Polytechnique de Paris; Ecole Polytechnique; Universite PSL; Universite Paris-Dauphine; Centre National de la Recherche Scientifique (CNRS); CNRS - National Institute for Mathematical Sciences (INSMI)
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2011.11.011
• 发表日期: 2012
• 页码: 207-229
• 关键词: Concave order; stochastic dominance; Comonotonicity; EFFICIENCY; Multivariate risk-sharing

摘要

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. (C) 2011 Elsevier Inc. All rights reserved.