Principal-Agent problem in insurance: from discrete-to continuous-time.

Abstract: In this talk we present a contracting problem between an insurance buyer and the seller, subject to prevention efforts in the form of self-insurance and self-protection. We start with a static formulation, corresponding to an optimization problem with variational inequality constraint, and extend the main properties of the optimal contract to the continuous-time formulation, corresponding to a stochastic control problem in weak form under non-singular measures.

Date: Oct 07, 2020 at 10:00:00 h
Venue: Modalidad Vía Online
Speaker: Prof. Nicolás Hernández
Affiliation: Center for Mathematical Modeling (CMM), Universidad de Chile, Santiago, Chile
Coordinator: Abderrahim Hantoute & Fabián Flores Bazán
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Posted on Oct 5, 2020 in Optimization and Equilibrium, Seminars