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The Risk-Sharing Problem Under Limited Liability Constraints in a Single-Period Model
Journal of Optimization Theory and Applications ( IF 1.9 ) Pub Date : 2021-04-23 , DOI: 10.1007/s10957-021-01861-8
Jessica Martin

This work provides analysis of a variant of the Risk-Sharing Principal-Agent problem in a single period setting with additional constant lower and upper bounds on the wage paid to the Agent. The effect of the extra constraints on optimal contract existence is studied and leads to conditions on the underlying utility functions under which an optimum may be attained. Solution characterization is then provided along with the derivation of a Borch rule for Limited Liability. Finally, some applications, including the CARA utility case, are discussed.



中文翻译:

单期模型下有限责任约束下的风险分担问题

这项工作提供了在单个期间设置中对风险分担委托代理问题的一种变体的分析,并附加了支付给代理人的工资的上,下限。研究了额外约束对最优合同存在的影响,并导致了潜在效用函数的条件,在该条件下可以实现最优。然后提供解决方案特征以及有限责任的Borch规则的推导。最后,讨论了一些应用程序,包括CARA实用程序案例。

更新日期:2021-04-23
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