Ambiguity, optimism, and pessimism in adverse selection models

• 成果类型: Article
• 署名作者: Giraud, Raphael; Thomas, Lionel
• 署名单位: Universite Marie et Louis Pasteur
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2017.06.004
• 发表日期: 2017
• 页码: 64-100
• 关键词: Adverse selection; ambiguity; ambiguity aversion; NEO-additive model; Non-expected utility models; behavioral economics

摘要

We investigate the effect of ambiguity and ambiguity attitude on the shape and properties of the optimal contract in an adverse selection model with a continuum of types, using the NEO-additive model. We show that it necessarily features efficiency and a jump at the top and pooling at the bottom of the distribution. Conditional on the degree of ambiguity, the pooling section may be supplemented by a separating section. As a result, ambiguity adversely affects the principal's ability to solve the adverse selection problem and therefore the least efficient types benefit from ambiguity with respect to risk. Conversely, ambiguity is detrimental to the most efficient types. (C) 2017 Elsevier Inc. All rights reserved.