Existence and monotonicity of solutions to moral hazard problems

Dana, Rose-Anne; Carlier, Guillaume

Dana, Rose-Anne; Carlier, Guillaume (2005), Existence and monotonicity of solutions to moral hazard problems, Journal of Mathematical Economics, 41, 7, p. 826-843. http://dx.doi.org/10.1016/j.jmateco.2004.08.002

Voir/Ouvrir

existence_dana.PDF (202.7Kb)

Type

Article accepté pour publication ou publié

Date

2005

Nom de la revue

Journal of Mathematical Economics

Volume

Numéro

Éditeur

Elsevier

Pages

826-843

Résumé (EN)

This paper provides a method to prove existence of solutions to some moral hazard problems with infinite set of outcomes. The argument is based on the concept of nondecreasing rearrangement and on a supermodular version of Hardy–Littlewood’s inequality. The method also provides qualitative properties of solutions. Both the cases of wage contracts and of insurance contracts are studied.

Mots-clés

Supermodularity; First-order approach; Rearrangements; Moral hazard

JEL

J41 - Labor Contracts
G22 - Insurance; Insurance Companies; Actuarial Studies
C44 - Operations Research; Statistical Decision Theory