Nonlinear incentive provision in Walrasian markets: a Cournot convergence approach

• 成果类型: Article
• 署名作者: Hellwig, MF
• 署名单位: Max Planck Society
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2004.01.003
• 发表日期: 2005
• 页码: 1-38
• 关键词: insurance; moral hazard; incentive contracting; Walrasian markets; rational-expectations; cournot equilibrium

摘要

The paper studies insurance with moral hazard in a system of contingent-claims markets. Insurance buyers are modelled as Cournot monopolists or oligopolists. The other agents condition their expectations on market prices, as in models of rational-expectations equilibrium with asymmetric information. Thereby they correctly anticipate accident probabilities corresponding to effort incentives induced by insurance buyers' net trades. When there are many agents to share the insurance buyers' risks, Cournot equilibrium outcomes are close to being second-best. In contrast, if insurance buyers are price takers, equilibria fail to exist or are bounded away from being second-best. (C) 2004 Published by Elsevier Inc.