The Risk-Sharing problem under limited liability constraints in a single-period model - Archive ouverte HAL Accéder directement au contenu
Pré-Publication, Document De Travail Année : 2020

The Risk-Sharing problem under limited liability constraints in a single-period model

Résumé

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. First the effect of the extra constraints on optimal contract existence is analyzed and leads to conditions on utilities under which an optimum may be attained. Solution characterization is then provided along with the derivation of a Borch rule for Limited Liability. Finally the CARA utility case is considered and a closed form optimal wage and action are obtained. This allows for analysis of the classical CARA utility and gaussian setting.
Fichier principal
Vignette du fichier
Limited_Liability_vCourte.pdf (526.23 Ko) Télécharger le fichier
Origine Fichiers produits par l'(les) auteur(s)
Loading...

Dates et versions

hal-02566942 , version 1 (07-05-2020)

Identifiants

Citer

Jessica Martin. The Risk-Sharing problem under limited liability constraints in a single-period model. 2020. ⟨hal-02566942⟩
25 Consultations
139 Téléchargements

Altmetric

Partager

Gmail Mastodon Facebook X LinkedIn More