{"title":"事故威胁下的金色降落伞","authors":"Dylan Possamaï, Chiara Rossato","doi":"arxiv-2312.02101","DOIUrl":null,"url":null,"abstract":"This paper addresses a continuous-time contracting model that extends the\nproblem introduced by Sannikov and later rigorously analysed by Possama\\\"{i}\nand Touzi. In our model, a principal hires a risk-averse agent to carry out a\nproject. Specifically, the agent can perform two different tasks, namely to\nincrease the instantaneous growth rate of the project's value, and to reduce\nthe likelihood of accidents occurring. In order to compensate for these costly\nactions, the principal offers a continuous stream of payments throughout the\nentire duration of a contract, which concludes at a random time, potentially\nresulting in a lump-sum payment. We examine the consequences stemming from the\nintroduction of accidents, modelled by a compound Poisson process that\nnegatively impact the project's value. Furthermore, we investigate whether\ncertain economic scenarii are still characterised by a golden parachute as in\nSannikov's model. A golden parachute refers to a situation where the agent\nstops working and subsequently receives a compensation, which may be either a\nlump-sum payment leading to termination of the contract or a continuous stream\nof payments, thereby corresponding to a pension.","PeriodicalId":501487,"journal":{"name":"arXiv - QuantFin - Economics","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2023-12-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Golden parachutes under the threat of accidents\",\"authors\":\"Dylan Possamaï, Chiara Rossato\",\"doi\":\"arxiv-2312.02101\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This paper addresses a continuous-time contracting model that extends the\\nproblem introduced by Sannikov and later rigorously analysed by Possama\\\\\\\"{i}\\nand Touzi. In our model, a principal hires a risk-averse agent to carry out a\\nproject. Specifically, the agent can perform two different tasks, namely to\\nincrease the instantaneous growth rate of the project's value, and to reduce\\nthe likelihood of accidents occurring. In order to compensate for these costly\\nactions, the principal offers a continuous stream of payments throughout the\\nentire duration of a contract, which concludes at a random time, potentially\\nresulting in a lump-sum payment. We examine the consequences stemming from the\\nintroduction of accidents, modelled by a compound Poisson process that\\nnegatively impact the project's value. Furthermore, we investigate whether\\ncertain economic scenarii are still characterised by a golden parachute as in\\nSannikov's model. A golden parachute refers to a situation where the agent\\nstops working and subsequently receives a compensation, which may be either a\\nlump-sum payment leading to termination of the contract or a continuous stream\\nof payments, thereby corresponding to a pension.\",\"PeriodicalId\":501487,\"journal\":{\"name\":\"arXiv - QuantFin - Economics\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2023-12-04\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"arXiv - QuantFin - Economics\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/arxiv-2312.02101\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"arXiv - QuantFin - Economics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/arxiv-2312.02101","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
This paper addresses a continuous-time contracting model that extends the
problem introduced by Sannikov and later rigorously analysed by Possama\"{i}
and Touzi. In our model, a principal hires a risk-averse agent to carry out a
project. Specifically, the agent can perform two different tasks, namely to
increase the instantaneous growth rate of the project's value, and to reduce
the likelihood of accidents occurring. In order to compensate for these costly
actions, the principal offers a continuous stream of payments throughout the
entire duration of a contract, which concludes at a random time, potentially
resulting in a lump-sum payment. We examine the consequences stemming from the
introduction of accidents, modelled by a compound Poisson process that
negatively impact the project's value. Furthermore, we investigate whether
certain economic scenarii are still characterised by a golden parachute as in
Sannikov's model. A golden parachute refers to a situation where the agent
stops working and subsequently receives a compensation, which may be either a
lump-sum payment leading to termination of the contract or a continuous stream
of payments, thereby corresponding to a pension.