3 papers
math.OC2021
A Class of Explicit optimal contracts in the face of shutdown
Jessica Martin, Stéphane Villeneuve
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 ear…
math.OC2020
The Risk-Sharing problem under limited liability constraints in a single-period model
Jessica Martin
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…
q-fin.RM2018
Analysis of the Risk-Sharing Principal-Agent problem through the Reverse-H{ö}lder inequality
Jessica Martin, Anthony Réveillac
In this paper we provide an alternative framework to tackle the first-best Principal-Agent problem under CARA utilities. This framework leads to both a proof of existence and uniqu…