论文标题
单期模型中有限责任限制下的风险分享问题
The Risk-Sharing problem under limited liability constraints in a single-period model
论文作者
论文摘要
这项工作提供了单个时期设置中风险共享主体代理问题的变体的分析，其工资支付给代理商的工资上有额外的恒定下限和上限。首先，分析了额外限制对最佳合同存在的影响，并导致对实用程序的条件，在该实用程序中可以达到最佳效果。然后提供解决方案表征，以及针对有限责任的鲍尔奇规则的推导。最后，考虑了卡拉公用事业案例，并获得了封闭形式的最佳工资和行动。这允许分析经典的Cara实用程序和高斯环境。
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.
