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Hidden insurance in a moral hazard economy
Bertola, Giuseppe; Koeniger, Winfried - 2013
with effort-determined probability. We show that if insurance against a negative shock is sufficiently incomplete, then … standard functional form restrictions ensure that individual objective functions are optimized by an effort and insurance … combination that is unique and satisfies first- and second-order conditions. Modeling insurance incompleteness in terms of costly …
Persistent link: https://www.econbiz.de/10010225898
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Hidden Insurance in a Moral Hazard Economy
Bertola, Giuseppe; Koeniger, Winfried - 2013
with effort-determined probability. We show that if insurance against a negative shock is sufficiently incomplete, then … standard functional form restrictions ensure that individual objective functions are optimized by an effort and insurance … combination that is unique and satisfies first- and second-order conditions. Modeling insurance incompleteness in terms of costly …
Persistent link: https://www.econbiz.de/10010329137
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Variation margins, fire sales, and information-constrained optimality
Biais, Bruno; Heider, Florian; Hoerova, Marie - 2018
Protection buyers use derivatives to share risk with protection sellers, whose assets are only imperfectly pledgeable because of moral hazard. To mitigate moral hazard, privately optimal derivative contracts involve variation margins. When margins are called, protection sellers must liquidate...
Persistent link: https://www.econbiz.de/10012142035
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Hidden Insurance in a Moral Hazard Economy
Bertola, Giuseppe; Koeniger, Winfried - Institute for the Study of Labor (IZA) - 2013
with effort-determined probability. We show that if insurance against a negative shock is sufficiently incomplete, then … standard functional form restrictions ensure that individual objective functions are optimized by an effort and insurance … combination that is unique and satisfies first- and second-order conditions. Modeling insurance incompleteness in terms of costly …
Persistent link: https://www.econbiz.de/10010722701
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Inefficiency of competitive equilibrium with hidden action and financial markets
Luca, PANACCIONE - Institut de Recherche Économique et Sociale (IRES), … - 2006
In this paper, we study a pure exchange economy with idiosyncratic uncertainty, hidden action and multiple consumption goods. We consider two different market structures : contingent markets on the one hand, and financial and spot markets on the other hand. We propose a competitive equilibrium...
Persistent link: https://www.econbiz.de/10004984748
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Inefficiency of competitive equilibrium with hidden action and financial markets
PANACCIONE, Luca - Center for Operations Research and Econometrics (CORE), … - 2006
In this paper, we study a pure exchange economy with idiosyncratic uncertainty, hidden action and multiple consumption goods.We consider two different market structures: contingent markets on the one hand, and financial and spot markets on the otherhand. We propose a competitive equilibrium...
Persistent link: https://www.econbiz.de/10005008147
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Efficiency of competitive equilibria with hidden action : the role of separable preferences
PANACCIONE, Luca - Center for Operations Research and Econometrics (CORE), … - 2004
In the present paper we study the efficiency properties of competitive equilibria in economies with hidden action and multiple goods. We borrow the description of the economy from Lisboa [3] and we apply a method of proof close in spirit to the one used in the literature on incomplete financial...
Persistent link: https://www.econbiz.de/10005008655
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When Borch’s Theorem does not apply: some key implications of market incompleteness, with policy relevance today
DREZE, Jacques - Center for Operations Research and Econometrics (CORE), … - 2013
Markets are incomplete when the assets available to the agents do not span the space of future contingencies. Efficiency is then assessed by the weak criterion of "constrained efficiency" (efficiency relative to the set of allocations compatible with the asset structure). That criterion requires...
Persistent link: https://www.econbiz.de/10010662664
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Variation margins, fire sales, and information-constrained optimality
Biais, Bruno; Heider, Florian; Hoerova, Marie - 2018
Protection buyers use derivatives to share risk with protection sellers, whose assets are only imperfectly pledgeable because of moral hazard. To mitigate moral hazard, privately optimal derivative contracts involve variation margins. When margins are called, protection sellers must liquidate...
Persistent link: https://www.econbiz.de/10011921489