Optimal Risk Sharing in the Presence of Moral Hazard under Market Risk and Jump Risk

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<p>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.</p>

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Details 詳細情報について

  • CRID
    1390282763128909952
  • NII Article ID
    130007676189
  • DOI
    10.32184/jjmfe.2.1_59
  • ISSN
    2187560X
  • Text Lang
    en
  • Data Source
    • JaLC
    • CiNii Articles
    • KAKEN
  • Abstract License Flag
    Disallowed

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