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Identifier to cite or link to this item: https://hdl.handle.net/10086/25548

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Title
Optimal Risk Sharing in the Presence of Moral Hazard under Market Risk and Jump Risk
Creator
Creator Name
Misumi, Takashi Misumi, Takashi
三隅, 隆司 三隅, 隆司
Affiliation
Affiliation Name
Hitotsubashi University
Creator Name
Nakamura, Hisashi Nakamura, Hisashi
中村, 恒 中村, 恒
Affiliation
Affiliation Name
Hitotsubashi University
Creator Name
Takaoka, Koichiro Takaoka, Koichiro
髙岡, 浩一郎 髙岡, 浩一郎
Affiliation
Affiliation Name
Hitotsubashi University
Abstract
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 any 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.
Publisher
Hitotsubashi University Center for Financial Research
Issued Date
2013-03
Language
English(eng)
Resource Type
technical report
Version Type
VoR
Is Part OfRelation -
Related Title
Working Paper Series ; No. G-1-4
Number of Pages
18
Appears in Collections
Working Paper Series / Hitotsubashi University Center for Financial Research
URL
https://hdl.handle.net/10086/25548