We study a continuous-time version of the optimal risk-sharing problem with one-sided commitment. In the optimal contract, the agentʼs consumption is a time-invariant, strictly increasing function of a single state variable: the maximal level of the agentʼs income realized to date. We...

This paper provides a necessary and sufficient condition for the existence of nonautarkic contract in a risk sharing model with two-sided lack of commitment. Verifying the condition takes just one Gaussian elimination of a matrix.

In this paper I provide a stopping-time-based solution to a long-term contracting problem between a risk-neutral principal and a risk-averse agent. The agent faces a stochastic income stream and cannot commit to the long-term contracting relationship. To compute the optimal contract, I also...

In this paper I provide a stopping-time-based solution to a long-term contracting problem between a risk-neutral principal and a risk-averse agent. The agent faces a stochastic income stream and cannot commit to the long-term contracting relationship. To compute the optimal contract, I also...

This paper provides a necessary and sufficient condition for the existence of nonautarkic contract in a risk sharing model with two-sided lack of commitment. Verifying the condition takes just one Guassian elimination of a matrix.