Characterization of a Risk Sharing Contract with One-Sided Commitment

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.

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Year of publication:	2012-11
Authors:	Zhang, Yuzhe

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Zhang, Yuzhe (2012): Characterization of a Risk Sharing Contract with One-Sided Commitment. Published in: Journal of Economic Dynamics and Control (2013)
Classification:	D86 - Economics of Contract: Theory ; C63 - Computational Techniques
Source:	BASE

Persistent link: https://www.econbiz.de/10015234708