Markov-perfect risk sharing, moral hazard and limited commitment
نویسندگان
چکیده
منابع مشابه
Markov-Perfect Risk Sharing, Moral Hazard and Limited Commitment
We define, characterize and compute Markov-perfect risk-sharing contracts in a dynamic stochastic economy with endogenous asset accumulation and simultaneous limited commitment and moral hazard frictions. We prove that Markov-perfect insurance contracts preserve standard properties of optimal insurance with private information and are not more restrictive than a longterm contract with one-sided...
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We consider an exchange economy with a continuum of agents, each of whom is subject to idiosyncratic endowment shocks. We study efficient allocations subject to two constraints: limited enforcement of financial contracts, and private information about the predictable component of the future endowment process. In our economy the immiseration result, common in this literature, does not hold, and ...
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A firm is subject to accident risk, which the manager can mitigate by exerting effort. An agency problem arises because effort is unobservable and the manager has limited liability. The occurrence of accidents is modelled as a Poisson process, whose intensity is controlled by the manager. We use martingale techniques to formulate the manager’s incentive compatibility constraints and to study th...
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A group of risk-averse agents repeatedly produce a perishable consumption good; individual outputs are observable but efforts are not. The contracting problem admits a recursive formulation, and the optimal value function is the fixed point of a contraction mapping. When the agents can be punished to the full extent in a single period, every continuation contract of an optimal contract is itsel...
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ژورنال
عنوان ژورنال: Journal of Economic Dynamics and Control
سال: 2018
ISSN: 0165-1889
DOI: 10.1016/j.jedc.2018.06.007