We consider in this paper two Markovian processes X and Y, solutions of a stochastic differential equation with jumps, that are comonotonic, i.e., that are such that for all t, almost surely, X_{t} is greater in one state of the world than in another if and only if the same is true for Y_{t}....

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...