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| Home > Research literature > Working papers > Dynamic stackelberg game with risk-averse players : |
| Date: | 2010 |
| Description: | 26 p. |
| Abstract: | The objective of this paper is to clarify the interactive nature of the leader-follower relationship when both players are endogenously risk-averse. The analysis is placed in the context of a dynamic closed-loop Stackelberg game with private information. The case of a risk-neutral leader, very often discussed in the literature, is only a borderline possibility in the present study. Each player in the game is characterized by a risk-averse type which is unknown to his opponent. The goal of the leader is to implement an optimal incentive compatible risk-sharing contract. The proposed approach provides a qualitative analysis of adaptive risk behavior profiles for asymmetrically informed players in the context of dynamic strategic interactions modelled as incentive Stackelberg games. |
| Rights: | Aquest document està subjecte a una llicència d'ús Creative Commons. Es permet la reproducció total o parcial, la distribució, i la comunicació pública de l'obra, sempre que no sigui amb finalitats comercials, i sempre que es reconegui l'autoria de l'obra original. No es permet la creació d'obres derivades.  |
| Language: | Anglès |
| Series: | Departament d'Economia i d'Història Econòmica. Unitat de Fonaments de l'Anàlisi Econòmica / Institut d'Anàlisi Econòmica (CSIC). Working papers |
| Series: | Working papers ; 797.09 |
| Document: | Working paper |
| Subject: | Risc, Gestió del |
