In this paper, a stochastic model of a closed-loop supply chain (CLSC) with one risk-averse manufacturer, one risk-averse retailer and one risk-averse third party is developed. To analyze how the members make decisions about wholesale price, collection rate, retail price and sales effort under different decision-making structures, the optimal decision problem under uncertain price and sales effort-dependent demand is studied through development of four game theoretical models. The equilibrium results between various models are compared and the optimal decisions from each member’s perspective are investigated. According to the results, the third party-led model has better performance than manufacturer-led model. The cooperation mode of manufacturer and retailer is beneficial for the whole chain and customers and the cooperation mode of manufacturer and third party is the most effective model to collect the used-product. Finally, to increase the performance of decentralized CLSC compared with the centralized CLSC, a coordination contract is developed. The results indicate that this contract is advantageous for the members of CLSC, the customers, and the environmental issues.