Characterization of a risk sharing contract with one-sided commitment Academic Article

abstract

• 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. 2012 Elsevier B.V.

authors

• Zhang, Yuzhe

published proceedings

• JOURNAL OF ECONOMIC DYNAMICS & CONTROL

altmetric score

• 3

author list (cited authors)

• Zhang, Y.

citation count

• 9

publication date

• April 2013

publisher

• Elsevier  Publisher

keywords

• Limited Commitment
• Risk Sharing
• Stopping Time
• Value-function Iteration

Digital Object Identifier (DOI)

• 10.1016/j.jedc.2012.11.005

start page

• 794

end page

• 809

volume

• 37

issue

• 4

URL

• http://dx.doi.org/10.1016/j.jedc.2012.11.005