Nicolás Hernández Santibáñez

Nicolás Hernández Santibáñez
University of Chile · Centro de Modelamiento Matemático (CMM)

Doctor of Philosophy

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7
Publications
649
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26
Citations
Citations since 2016
7 Research Items
26 Citations
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201620172018201920202021202202468

Publications

Publications (7)
Preprint
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We study a general contracting problem between the principal and a finite set of competitive agents, who perform equivalent changes of measure by controlling the drift of the output process and the compensator of its associated jump measure. In this setting, we generalize the dynamic programming approach developed by Cvitani\'c, Possama\"i, and Tou...
Preprint
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In this paper we study a pollution regulation problem in an electricity market with a network structure. The market is ruled by an independent system operator (ISO for short) who has the goal of reducing the pollutant emissions of the providers in the network, by encouraging the use of cleaner technologies. The problem of the ISO formulates as a co...
Article
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This paper studies an equilibrium model between an insurance buyer and an insurance seller, where both parties’ risk preferences are given by convex risk measures. The interaction is modeled through a Stackelberg type game, where the insurance seller plays first by offering prices, in the form of safety loadings. Then the insurance buyer chooses hi...
Article
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In this paper, we extend the optimal securitization model of Pag\`es [41] and Possama\"i and Pag\`es [42] between an investor and a bank to a setting allowing both moral hazard and adverse selection. Following the recent approach to these problems of Cvitani\'c, Wan and Yang [12], we characterize explicitly and rigorously the so-called credible set...
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In this paper we investigate a Principal-Agent problem with moral hazard under Knightian uncertainty. We extend the seminal framework of Holmstr\"om and Milgrom by combining a Stackelberg equilibrium with a worst-case approach. We investigate a general model in the spirit of Cvitani\'c, Possama\"i and Touzi (2018). We show that optimal contracts de...
Article
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We study the optimal design of electricity contracts among a population of consumers with different needs. This question is tackled within the framework of Principal-Agent problem in presence of adverse selection. The particular features of electricity induce an unusual structure on the production cost, with no decreasing return to scale. We are ne...

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Projects

Projects (2)
Project
This project regroups some works on principal-agent problems with application to energy sector.
Project
We are currently trying to understand how to solve general moral hazard and adverse selection problem in continuous time, involving one, several, or infinitely many interacting agents. We aim at applying the theory to numerous examples in energy, finance, economics, regulation...