Cahiers du CEREMADE

Unité Mixte de Recherche du C.N.R.S. N°7534
 
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.
 
 
Conditional comonotonicity
JOUINI Elyès, NAPP Clotilde
2004-64
23-11-2004
 
Université de PARIS - DAUPHINE
Place du Maréchal de Lattre De Tassigny - 75775 PARIS CEDEX 16 - FRANCE
Téléphone : +33 (0)1 44-05-49-23 - fax : +33 (0)1 44-05-45-99