An overview of conditional comonotonicity and its applications

摘要

Comonotonicity has proved to be a powerful and useful tool in financial economics and actuarial science. Jouini and Napp [Decision in Economics and Finance 27(2) (2004), 153-166] generalized it to a new concept called conditional comonotonicity. While preserving the advantage of being analytically tractable, the extra freedom of the choice of the conditioning map or sigma-field makes this new concept more flexible than the classical concept of comonotonicity. This article serves to provide a systemic overview, together with some of its applications, of this relatively new notion.