We study incentive-compatible labour contracts in the case where individual productivity, preference for leisure and time preference rate are unobservable by the principal in a two-period model. We first reduce this three-dimensional problem to a standard one-dimensional screening problem....

We study incentive-compatible labor contracts in the case where both individual productivity and subjective discount rate are unobservable by the rm. We rst show that unidimensional manifolds of agents group on the same contract. High , low agents may choose the same contract as low , high...

Using a substitution property of worker’s types (productivity and time preference), we propose an explanation for both fixed-wages and wage differentials. Fixed-wages result in bunching at the optimum. Equally productive workers with different time preference accept different wages.

This paper analyses the qualitative properties of optimal contracts when agents have multiple priors and are uncertainty averse in an infinite state space framework. The case of the epsilon-contamination of a given prior, a basic tool in robustness theory is fully developped. It is shown that if...

This paper considers a class of one dimensional calculus of variations problems with monotonicity and comonotonicity constraints arising in economic and financial models where law invariant concave criteria (or law invariant convex measures of risk) are used. Existence solutions, optimality...

We consider a problem of derivatives design under asymmetry of information: the principal sells a contingent claim to an agent, the type of whom he does not know. More precisely, the principal designs a contingent claim and prices it for each possible agent type, in such a way that each agent...

We study the differentiability properties of concave functionals defined as integrals of the quantile. These functionals generalize the rank dependent expected utility and are called rank-linear utilities in decision theory. Their superdifferential is described as well as the set of random...

Efficient risk-sharing rules and equilibria between two agents with utilities in a class that contains the Rank Dependent Expected Util- ity (RDU) are fully characterized. Specific attention is given to the RDU. Call-spreads and contracts with mixed regimes are shown to be efficient....

We consider H expected utility maximizers that have to share a risky aggregate multivariate endowment X∈RN and address the following two questions: does efficient risk-sharing imply restrictions on the form of individual consumptions as a function of X ? Can one identify the individual utility...

In this article, we study a class of functions defined by a system of linear inequalities which arises naturally in at least four different economic issues: redistribution, spatial economics, theory of incentives and utility theory. The main tool used to study solutions of those inequalities...