摘要翻译：
研究了一个风险中立的委托人和一个风险厌恶的代理人的有限时域最优契约问题，当代理人不能做出承诺时，该代理人得到了随机收益流。这个问题在世界的每一时刻和每一种状态下都涉及到无限多的约束条件。Miao和Zhang（2015）通过考虑拉格朗日方程发展了一种对偶方法，并导出了无限视界中的Hamilton-Jacobi-Bellman方程。我们在有限时域上考虑一个类似的拉格朗日问题，但将对偶问题转化为无穷多个最优停止问题。对于每一个最优停止问题，我们通过给出自由边界的积分方程表示，给出了一个解析解。给出了原主问题的值函数是最优停止问题值函数积分的Legender-Fenchel变换的一个验证定理。我们还提供了一些最优合同策略的数值模拟结果
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英文标题：
《Optimal Insurance with Limited Commitment in a Finite Horizon》
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作者：
Junkee Jeon, Hyeng Keun Koo, Kyunghyun Park
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最新提交年份：
2019
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分类信息：

一级分类：Economics        经济学
二级分类：Theoretical Economics        理论经济学
分类描述：Includes theoretical contributions to Contract Theory, Decision Theory, Game Theory, General Equilibrium, Growth, Learning and Evolution, Macroeconomics, Market and Mechanism Design, and Social Choice.
包括对契约理论、决策理论、博弈论、一般均衡、增长、学习与进化、宏观经济学、市场与机制设计、社会选择的理论贡献。
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英文摘要：
  We study a finite horizon optimal contracting problem of a risk-neutral principal and a risk-averse agent who receives a stochastic income stream when the agent is unable to make commitments. The problem involves an infinite number of constraints at each time and each state of the world. Miao and Zhang (2015) have developed a dual approach to the problem by considering a Lagrangian and derived a Hamilton-Jacobi-Bellman equation in an infinite horizon. We consider a similar Lagrangian in a finite horizon, but transform the dual problem into an infinite series of optimal stopping problems. For each optimal stopping problem we provide an analytic solution by providing an integral equation representation for the free boundary. We provide a verification theorem that the value function of the original principal's problem is the Legender-Fenchel transform of the integral of the value functions of the optimal stopping problems. We also provide some numerical simulation results of optimal contracting strategies
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PDF链接：
https://arxiv.org/pdf/1812.11669