This note gives a simple proof of the existence and monotonicity of optimal debt contracts in simple models of borrowing and lending with ex-post asymmetric information, risk-averse agents and heterogeneous beliefs. Our argument is based on the concept of nondecreasing rearrangement and on a...

We consider a simple model of lending and borrowing combining two informational problems: adverse selection and costly state verification. Our analysis highlights the interaction between these two informational problems. We notably show that the higher the monitoring cost, the less...

SUMMARY 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,...

We consider the problem of efficient insurance contracts when the cost structure includes a fixed cost per claim. We prove existence of efficient insurance contracts and that the indemnity function in such contracts is non-decreasing in the damage. We further show that either there is no...

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...

An exchange economy in which agents have convex incomplete preferences defined by families of concave utility functions is considered. Sufficient conditions for the set of efficient allocations and equilibria to coincide with the set of efficient allocations and equilibria that result when each...

A simple procedure to map two probability measures in Rd is the so-called Knothe-Rosenblatt rearrangement, which consists in rearranging monotonically the marginal distributions of the last coordinate, and then the conditional distributions, iteratively. We show that this mapping is the limit of...

We consider an evolution equation similar to that introduced by Vese in [10] and whose solution converges in large time to the convex envelope of the initial datum. We give a stochastic control representation for the solution from which we deduce, under quite general assumptions that the...