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    Optimization of contracts and investment through various continuous-time dynamic principal-agent models

    Lai C 2019.pdf (869.7Kb)
    Access Status
    Open access
    Authors
    Lai, Chong
    Date
    2019
    Supervisor
    Lishan Liu
    Yong Wu
    Type
    Thesis
    Award
    PhD
    
    Metadata
    Show full item record
    Faculty
    Science and Engineering
    School
    School of Electrical Engineering, Computing and Mathematical Sciences
    URI
    http://hdl.handle.net/20.500.11937/79915
    Collection
    • Curtin Theses
    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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