Jouini, Elyès; Schachermayer, Walter; Touzi, Nizar - HAL - 2007
law-invariant monetary utility functions or equivalently, law-invariant risk measures. We first prove existence of an … characterization in the case where both agents' utility functions are comonotone. The general form of the optimal contracts turns out … the robustness of this type of contracts to more general utility functions, we introduce a new notion of strict risk …