英文标题：
《Analysis of the Risk-Sharing Principal-Agent problem through the
Reverse-H{\\\"o}lder inequality》
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作者：
Jessica Martin (INSA Toulouse, IMT), Anthony R\\\'eveillac (INSA
Toulouse, IMT)
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最新提交年份：
2019
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英文摘要：
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 uniqueness of the solution to the Risk-Sharing problem under very general assumptions on the underlying contract space. Our analysis relies on an optimal decomposition of the expected utility of the Principal in terms of the reservation utility of the Agent and works both in a discrete time and continuous time setting. As a by-product this approach provides a novel way of characterizing the optimal contract in the CARA setting, which is as an alternative to the widely used Lagrangian method, and some analysis of the optimum.
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中文摘要：
在本文中，我们提供了一个替代框架来解决CARA效用下的第一最佳委托代理问题。该框架在基本契约空间的一般假设下，证明了风险分担问题解的存在性和唯一性。我们的分析依赖于委托人的期望效用在代理的保留效用方面的最优分解，并在离散时间和连续时间环境下工作。作为一种副产品，该方法提供了一种在CARA环境中描述最优契约的新方法，作为广泛使用的拉格朗日方法的替代方法，并提供了一些最优分析。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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