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

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Abstract
In this paper I provide a stoppingtimebased solution to a longterm contracting problem between a riskneutral principal and a riskaverse agent. The agent faces a stochastic income stream and cannot commit to the longterm contracting relationship. To compute the optimal contract, I also design an algorithm that is more efficient than valuefunction iteration.
Item Type:  MPRA Paper 

Original Title:  Characterization of a Risk Sharing Contract with OneSided Commitment 
Language:  English 
Keywords:  Limited commitment, Risk sharing, Stopping time, Valuefunction iteration 
Subjects:  D  Microeconomics > D8  Information, Knowledge, and Uncertainty > D86  Economics of Contract: Theory C  Mathematical and Quantitative Methods > C6  Mathematical Methods; Programming Models; Mathematical and Simulation Modeling > C63  Computational Techniques; Simulation Modeling 
Item ID:  42820 
Depositing User:  Yuzhe Zhang 
Date Deposited:  24. Nov 2012 17:42 
Last Modified:  13. Feb 2013 04:18 
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URI:  http://mpra.ub.unimuenchen.de/id/eprint/42820 