有限時域有限承諾的最優(yōu)保險

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摘要翻譯：
研究了一個風(fēng)險中立的委托人和一個風(fēng)險厭惡的代理人的有限時域最優(yōu)契約問題，當(dāng)代理人不能做出承諾時，該代理人得到了隨機收益流。這個問題在世界的每一時刻和每一種狀態(tài)下都涉及到無限多的約束條件。Miao和Zhang（2015）通過考慮拉格朗日方程發(fā)展了一種對偶方法，并導(dǎo)出了無限視界中的Hamilton-Jacobi-Bellman方程。我們在有限時域上考慮一個類似的拉格朗日問題，但將對偶問題轉(zhuǎn)化為無窮多個最優(yōu)停止問題。對于每一個最優(yōu)停止問題，我們通過給出自由邊界的積分方程表示，給出了一個解析解。給出了原主問題的值函數(shù)是最優(yōu)停止問題值函數(shù)積分的Legender-Fenchel變換的一個驗證定理。我們還提供了一些最優(yōu)合同策略的數(shù)值模擬結(jié)果
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英文標(biāo)題：
《Optimal Insurance with Limited Commitment in a Finite Horizon》
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作者：
Junkee Jeon, Hyeng Keun Koo, Kyunghyun Park
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最新提交年份：
2019
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分類信息：

一級分類：Economics        經(jīng)濟學(xué)
二級分類：Theoretical Economics        理論經(jīng)濟學(xué)
分類描述：Includes theoretical contributions to Contract Theory, Decision Theory, Game Theory, General Equilibrium, Growth, Learning and Evolution, Macroeconomics, Market and Mechanism Design, and Social Choice.
包括對契約理論、決策理論、博弈論、一般均衡、增長、學(xué)習(xí)與進(jìn)化、宏觀經(jīng)濟學(xué)、市場與機制設(shè)計、社會選擇的理論貢獻(xiàn)。
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英文摘要：
  We study a finite horizon optimal contracting problem of a risk-neutral principal and a risk-averse agent who receives a stochastic income stream when the agent is unable to make commitments. The problem involves an infinite number of constraints at each time and each state of the world. Miao and Zhang (2015) have developed a dual approach to the problem by considering a Lagrangian and derived a Hamilton-Jacobi-Bellman equation in an infinite horizon. We consider a similar Lagrangian in a finite horizon, but transform the dual problem into an infinite series of optimal stopping problems. For each optimal stopping problem we provide an analytic solution by providing an integral equation representation for the free boundary. We provide a verification theorem that the value function of the original principal's problem is the Legender-Fenchel transform of the integral of the value functions of the optimal stopping problems. We also provide some numerical simulation results of optimal contracting strategies
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PDF鏈接：
https://arxiv.org/pdf/1812.11669

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關(guān)鍵詞：Presentation Contribution Verification Theoretical CONTRACTING 時域 承諾 模擬 horizon 函數(shù)