Optimization of contracts and investment through various continuous-time dynamic principal-agent models
dc.contributor.author | Lai, Chong | |
dc.contributor.supervisor | Lishan Liu | en_US |
dc.contributor.supervisor | Yong Wu | en_US |
dc.date.accessioned | 2020-07-07T07:54:01Z | |
dc.date.available | 2020-07-07T07:54:01Z | |
dc.date.issued | 2019 | en_US |
dc.identifier.uri | http://hdl.handle.net/20.500.11937/79915 | |
dc.description.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. | en_US |
dc.publisher | Curtin University | en_US |
dc.title | Optimization of contracts and investment through various continuous-time dynamic principal-agent models | en_US |
dc.type | Thesis | en_US |
dcterms.educationLevel | PhD | en_US |
curtin.department | School of Electrical Engineering, Computing and Mathematical Sciences | en_US |
curtin.accessStatus | Open access | en_US |
curtin.faculty | Science and Engineering | en_US |