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7 mai 2020
- handle: 10670/1.yiy80n
- hal: hal-02566942
- ARXIV: 2005.05147
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info:eu-repo/semantics/altIdentifier/arxiv/2005.05147
info:eu-repo/semantics/OpenAccess
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D - Microeconomics/D.D8 - Information, Knowledge, and Uncertainty/D.D8.D86 - Economics of Contract: Theory C - Mathematical and Quantitative Methods/C.C6 - Mathematical Methods • Programming Models • Mathematical and Simulation Modeling/C.C6.C61 - Optimization Techniques • Programming Models • Dynamic AnalysisSujets proches
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Jessica Martin, « The Risk-Sharing problem under limited liability constraints in a single-period model », HAL-SHS : économie et finance, ID : 10670/1.yiy80n
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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.