Trade credit,as an effective tool for integrating and coordinating material,information,and financial flows in supply chain management,is becoming increasingly widespread.We explore how a manufacturer can design optim...Trade credit,as an effective tool for integrating and coordinating material,information,and financial flows in supply chain management,is becoming increasingly widespread.We explore how a manufacturer can design optimal trade credit contracts when a risk-averse retailer hides its sales cost information(adverse selection)and selling effort level(moral hazard).We develop incentive models for a risk-averse supply chain when adverse selection and moral hazard coexist,which are then compared with the results under single information asymmetry(moral hazard).Moreover,we analyze the effects of private information and risk-aversion coefficient on contract parameters,selling effort level and the profit or utility of the supply chain.The study shows that when the degree of retailer’s risk aversion is within a certain range,reasonable trade credit contracts designed by the manufacturer can effectively induce the retailer to report its real sales cost and encourage it to exert appropriate effort.Furthermore,we find that the optimal trade credit period,optimal transfer payment,and retailer’s optimal sales effort level under dual information asymmetry are less than those under single information asymmetry.Numerical analysis are conducted to demonstrate the effects of the parameters on decisions and profits.展开更多
In this paper,we consider the price of catastrophe options with credit risk in a regime-switching model.We assume that the macroeconomic states are described by a continuous-time Markov chain with a finite state space...In this paper,we consider the price of catastrophe options with credit risk in a regime-switching model.We assume that the macroeconomic states are described by a continuous-time Markov chain with a finite state space.By using the measure change technique,we derive the price expressions of catastrophe put options.Moreover,we conduct some numerical analysis to demonstrate how the parameters of the model affect the price of the catastrophe put option.展开更多
基金supported by the Plan Project of Shanghai Philosophy and Social Science(2017BGL014)the National Natural Science Foundation of China(71832001)the Fundamental Research Funds for the Central Universities(2232020B-04,2232018H-07).
文摘Trade credit,as an effective tool for integrating and coordinating material,information,and financial flows in supply chain management,is becoming increasingly widespread.We explore how a manufacturer can design optimal trade credit contracts when a risk-averse retailer hides its sales cost information(adverse selection)and selling effort level(moral hazard).We develop incentive models for a risk-averse supply chain when adverse selection and moral hazard coexist,which are then compared with the results under single information asymmetry(moral hazard).Moreover,we analyze the effects of private information and risk-aversion coefficient on contract parameters,selling effort level and the profit or utility of the supply chain.The study shows that when the degree of retailer’s risk aversion is within a certain range,reasonable trade credit contracts designed by the manufacturer can effectively induce the retailer to report its real sales cost and encourage it to exert appropriate effort.Furthermore,we find that the optimal trade credit period,optimal transfer payment,and retailer’s optimal sales effort level under dual information asymmetry are less than those under single information asymmetry.Numerical analysis are conducted to demonstrate the effects of the parameters on decisions and profits.
基金supported by the Jiangsu University Philosophy and Social Science Research Project(Grant No.2019SJA1326).
文摘In this paper,we consider the price of catastrophe options with credit risk in a regime-switching model.We assume that the macroeconomic states are described by a continuous-time Markov chain with a finite state space.By using the measure change technique,we derive the price expressions of catastrophe put options.Moreover,we conduct some numerical analysis to demonstrate how the parameters of the model affect the price of the catastrophe put option.
