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Stochastische Analysis und Stochastik der Finanzmärkte
HU Berlin, TU Berlin, DFG FZ Matheon
Jaksa Cvitanic (EDHEC Business School, Nice)
Dynamics of Contract Design with Screening
Programm / Abstract:
We analyze a novel principal-agent problem of moral hazard and adverse selection in continuous time. The constant private shock revealed at time zero when the agent selects the contract has a long-term impact on the optimal contract. The latter is based not only on the continuation value of the agent who truthfully reports, but also contingent upon the continuation value of the agent who misreports, called temptation value. The good agent is retired when the temptation value of the bad agent becomes large, because then it is expensive to motivate the good agent. The bad agent is retired when the temptation value of the good agent becomes small, because then the future payment does not provide sufficient incentives. We also compare the efficiency of the shutdown contract and the screening contract and find that the screening contract can bring more profit to the principal only when the agent's reservation utility is sufficiently small.
Zeit:
am Donnerstag den 11. April 2013 um 17:00
Ort:
TU Berlin, Institut für Mathematik
Strasse des 17. Juni 136
10623 Berlin
MA 041 Erdgeschoß
eingetragen von Jean Downes(downes@math.tu-berlin.de, )