Zhang, Yuzhe (2012): Characterization of a Risk Sharing Contract with One-Sided Commitment. Published in: Journal of Economic Dynamics and Control (2013)
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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.
|Item Type:||MPRA Paper|
|Original Title:||Characterization of a Risk Sharing Contract with One-Sided Commitment|
|Keywords:||Limited commitment, Risk sharing, Stopping time, Value-function 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
|Depositing User:||Yuzhe Zhang|
|Date Deposited:||24. Nov 2012 17:42|
|Last Modified:||13. Feb 2013 04:18|
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