Optimization of contracts and investment through various continuous-time dynamic principal-agent models
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 unde...
| Main Author: | |
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| Format: | Thesis |
| Published: |
Curtin University
2019
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| Online Access: | http://hdl.handle.net/20.500.11937/79915 |
| _version_ | 1848764127403573248 |
|---|---|
| author | Lai, Chong |
| author_facet | Lai, Chong |
| author_sort | Lai, Chong |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-14T11:14:25Z |
| format | Thesis |
| id | curtin-20.500.11937-79915 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T11:14:25Z |
| publishDate | 2019 |
| publisher | Curtin University |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-799152022-07-15T04:06:22Z Optimization of contracts and investment through various continuous-time dynamic principal-agent models Lai, Chong 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. 2019 Thesis http://hdl.handle.net/20.500.11937/79915 Curtin University fulltext |
| spellingShingle | Lai, Chong Optimization of contracts and investment through various continuous-time dynamic principal-agent models |
| title | Optimization of contracts and investment through various continuous-time dynamic principal-agent models |
| title_full | Optimization of contracts and investment through various continuous-time dynamic principal-agent models |
| title_fullStr | Optimization of contracts and investment through various continuous-time dynamic principal-agent models |
| title_full_unstemmed | Optimization of contracts and investment through various continuous-time dynamic principal-agent models |
| title_short | Optimization of contracts and investment through various continuous-time dynamic principal-agent models |
| title_sort | optimization of contracts and investment through various continuous-time dynamic principal-agent models |
| url | http://hdl.handle.net/20.500.11937/79915 |