Optimization of contracts and investment through various continuous-time dynamic principal-agent models
Access Status
Open access
Authors
Lai, Chong
Date
2019Supervisor
Lishan Liu
Yong Wu
Type
Thesis
Award
PhD
Metadata
Show full item recordFaculty
Science and Engineering
School
School of Electrical Engineering, Computing and Mathematical Sciences
Collection
Abstract
In this thesis, three dynamic principal-agent models and a defined contribution (DC) pension model are investigated. Time-varying volatility, ability uncertainty, and time-varying shocks are considered in the three principal-agent models, respectively, from which we derive the optimal contracts under different assumptions. Two types of administrative fees and the return of premium clause are studied in the DC pension scheme. The effects of the two fees on optimal investment are analyzed.
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