A general solution method for moral hazard problems

• 成果类型: Article
• 署名作者: Ke, Rongzhu; Ryan, Christopher Thomas
• 署名单位: Hong Kong Baptist University; University of Chicago
• 刊物名称: THEORETICAL ECONOMICS
• ISSN/ISSBN: 1555-7561
• DOI: 10.3982/TE2167
• 发表日期: 2018-09-01
• 页码: 1425-1481
• 关键词: Principal-agent; moral hazard; solution method

摘要

Principal-agent models are pervasive in theoretical and applied economics, but their analysis has largely been limited to the first-order approach (FOA), where incentive compatibility is replaced by a first-order condition. This paper presents a new approach to solving a wide class of principal-agent problems that satisfy the monotone likelihood ratio property but may fail to meet the requirements of the FOA. Our approach solves the problem via tackling a max-min-max formulation over agent actions, alternate best responses by the agent, and contracts.