Risk-sharing and optimal contracts with large exogenous risks
| العنوان: | Risk-sharing and optimal contracts with large exogenous risks |
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| المؤلفون: | Villeneuve, Stéphane, Martin, Jessica |
| المساهمون: | Institut de Mathématiques de Toulouse UMR5219 (IMT), Université Toulouse Capitole (UT Capitole), Université de Toulouse (UT)-Université de Toulouse (UT)-Institut National des Sciences Appliquées - Toulouse (INSA Toulouse), Institut National des Sciences Appliquées (INSA)-Université de Toulouse (UT)-Institut National des Sciences Appliquées (INSA)-Université Toulouse - Jean Jaurès (UT2J), Université de Toulouse (UT)-Université Toulouse III - Paul Sabatier (UT3), Université de Toulouse (UT)-Centre National de la Recherche Scientifique (CNRS), Toulouse School of Economics (TSE-R), Université de Toulouse (UT)-Université de Toulouse (UT)-École des hautes études en sciences sociales (EHESS)-Centre National de la Recherche Scientifique (CNRS)-Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement (INRAE) |
| المصدر: | Decisions in Economics and Finance Decisions in Economics and Finance, 2023, 46 (1), pp.1-43. ⟨10.1007/s10203-023-00386-1⟩ |
| سنة النشر: | 2023 |
| مصطلحات موضوعية: | Shutdown risk, JEL: C - Mathematical and Quantitative Methods/C.C6 - Mathematical Methods • Programming Models • Mathematical and Simulation Modeling/C.C6.C61 - Optimization Techniques • Programming Models • Dynamic Analysis, JEL: D - Microeconomics/D.D8 - Information, Knowledge, and Uncertainty/D.D8.D86 - Economics of Contract: Theory, Principal-Agent problems, JEL: D - Microeconomics/D.D8 - Information, Knowledge, and Uncertainty/D.D8.D81 - Criteria for Decision-Making under Risk and Uncertainty, Hamilton-Jacobi Bellman equations, [SHS.ECO]Humanities and Social Sciences/Economics and Finance, General Economics, Econometrics and Finance, B- ECONOMIE ET FINANCE, Finance |
| الوصف: | National audience; What type of delegation contract should be offered when facing a risk of the magnitude of the pandemic we are currently experiencing and how does the likelihood of an exogenous early termination of the relationship modify the terms of a full-commitment contract? We study these questions by considering a dynamic principal-agent model that naturally extends the classical Holmström-Milgrom setting to include a risk of shutdown before the maturity of the contract. We obtain an explicit characterization of the optimal wage along with the optimal action provided by the agent when the shutdown risk is independent of the inherent agency problem. The optimal contract is linear by offering both a fixed share of the output which is similar to the standard shutdown-free Holmström Milgrom model and a linear prevention mechanism that is proportional to the random lifetime of the contract. We then extend the model in two directions. We first allow the agent to control the intensity of the shutdown risk. We also consider a structural agency model where the shutdown risk materializes when the state process hits zero. |
| وصف الملف: | text |
| اللغة: | English |
| تدمد: | 1593-8883 1129-6569 |
| DOI: | 10.1007/s10203-023-00386-1⟩ |
| URL الوصول: | https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6697712bc4eaf176b587fdcb793cb25a https://publications.ut-capitole.fr/id/eprint/46751/ |
| Rights: | OPEN |
| رقم الانضمام: | edsair.doi.dedup.....6697712bc4eaf176b587fdcb793cb25a |
| قاعدة البيانات: | OpenAIRE |
| تدمد: | 15938883 11296569 |
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| DOI: | 10.1007/s10203-023-00386-1⟩ |