Related papers: Time-inconsistent contract theory
In this paper, we study moral hazard problems in contract theory by adding an exogenous Planner to manage the actions of Agents hired by a Principal. We provide conditions ensuring that Pareto optima exist for the Agents using the…
This paper investigates a Pareto optimal insurance problem, where the insured maximizes her rank-dependent utility preference and the insurer is risk neutral and employs the mean-variance premium principle. To eliminate potential moral…
Public-Private Partnership (PPP) is a contract between a public entity and a consortium, in which the public outsources the construction and the maintenance of an equipment (hospital, university, prison...). One drawback of this contract is…
In this paper we present a variational calculus approach to Principal-Agent problem with a lump-sum payment on finite horizon in degenerate stochastic systems, such as filtered partially observed linear systems. Our work extends the…
We examine the trade-off between the provision of incentives to exert costly effort (ex-ante moral hazard) and the incentives needed to prevent the agent from manipulating the profit observed by the principal (ex-post moral hazard).…
This paper considers dynamic moral hazard settings, in which the consequences of the agent's actions are not precisely understood. In a new continuous-time moral hazard model with drift ambiguity, the agent's unobservable action translates…
This paper studies continuous-time optimal contracting in a hierarchy problem which generalises the model of Sung (2015). The hierarchy is modeled by a series of interlinked principal-agent problems, leading to a sequence of Stackelberg…
We consider a dynamic moral hazard problem between a principal and an agent, where the sole instrument the principal has to incentivize the agent is the disclosure of information. The principal aims at maximizing the (discounted) number of…
We study the problem of demand response contracts in electricity markets by quantifying the impact of considering a mean-field of consumers, whose consumption is impacted by a common noise. We formulate the problem as a Principal-Agent…
We consider moral hazard problems where a principal has access to rich monitoring data about an agent's action. Rather than focusing on optimal contracts (which are known to in general be complicated), we characterize the optimal rate at…
The problem of computing near-optimal contracts in combinatorial settings has recently attracted significant interest in the computer science community. Previous work has provided a rich body of structural and algorithmic insights into this…
We study an optimal reinsurance problem under a diffusion risk model for an insurer who aims to minimize the probability of lifetime ruin. To rule out moral hazard issues, we only consider moral-hazard-free reinsurance contracts by imposing…
This article studies the problem of evaluating the information that a Principal lacks when establishing an incentive contract with an Agent whose effort is not observable. The Principal ("she") pays a continuous rent to the Agent ("he"),…
We study the optimal contract problem in the \emph{combinatorial actions} framework of D\"utting et al.~[FOCS'21], where a principal delegates a project to an agent who chooses a subset of hidden, costly actions, and the resulting reward is…
In this paper, we address three Principal--Agent problems in a moral hazard context and show that they are connected. We start by studying the problem of Principal with multiple Agents in cooperation. The term cooperation is manifested here…
I revisit the standard moral-hazard model, in which an agent's preference over contracts is rooted in costly effort choice. I characterise the behavioural content of the model in terms of empirically testable axioms, and show that the…
This paper proposes a novel continuous-time dynamic contract framework that has a risk-limiting capability. If a principal and an agent enter into such a contract, the principal can optimally manage its performance and risk with a guarantee…
The recent work by Cvitani\'c, Possama\"i, and Touzi (2018) [9] presents a general approach for continuous-time principal-agent problems, through dynamic programming and second-order backward stochastic differential equations (BSDEs). In…
Many incentive design problems must contend with information asymmetries due to non-observation of efficiency (adverse selection) or non-observation of effort (moral hazard). And although a growing body of literature considers incentive…
In this paper, we extend the optimal securitisation model of Pag\`es [50] and Possama\"i and Pag\`es [51] between an investor and a bank to a setting allowing both moral hazard and adverse selection. Following the recent approach to these…