Munich Personal RePEc Archive

Characterization of a Risk Sharing Contract with One-Sided Commitment

Zhang, Yuzhe (2012): Characterization of a Risk Sharing Contract with One-Sided Commitment. Published in: Journal of Economic Dynamics and Control (2013)

[img]
Preview
PDF
MPRA_paper_42820.pdf

Download (282Kb) | Preview

Abstract

In this paper I provide a stopping-time-based solution to a long-term contracting problem between a risk-neutral principal and a risk-averse agent. The agent faces a stochastic income stream and cannot commit to the long-term contracting relationship. To compute the optimal contract, I also design an algorithm that is more efficient than value-function iteration.

UB_LMU-Logo
MPRA is a RePEc service hosted by
the Munich University Library in Germany.