Optimal Risk Sharing in the Presence of Moral Hazard under Market Risk and Jump Risk
Optimal Risk Sharing in the Presence of Moral Hazard under Market Risk and Jump Risk
复制标题
DOI：
--
复制
发表时间：
2013-03
期刊：
影响因子：
--
通讯作者：
Takashi Misumi;Hisashi Nakamura;Koichiro Takaoka
中科院分区：
文献类型：
--
作者：
Takashi Misumi;Hisashi Nakamura;Koichiro Takaoka
本文提供了一个易于处理的框架来研究在市场风险和跳跃风险下存在道德风险的情况下投资者和企业之间的最优风险分担。我们证明了，对于两天离散时间道德风险模型，存在一个连续时间模型，它得到了相同的最优结果。此外，我们明确地刻画了最优风险分担，特别是跳跃风险对最优配置的结构性影响。
This paper provides a tractable framework to study optimal risk sharing between an investor and a firm with general utility forms in the presence of moral hazard under market risk and jump risk. We show that, for a two-date discrete-time moral hazard model, there exists a continuous-time model that obtains the same optimal result. Moreover, we characterize the optimal risk sharing explicitly, in particular, the structural effect of jump risk on the optimal allocations.