Markov-perfect risk sharing, moral hazard and limited commitment

DOI10.1016/J.JEDC.2018.06.007MaRDI QIDQ1624474zbMATH OpenOpenAlexFDO

Authors Alexander K. Karaivanov, Fernando Martin

Publication date 16 November 2018

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL http://research.stlouisfed.org/wp/2011/2011-030.pdf

zbMATH Keywords

consumption smoothinglimited commitmentMarkov-perfect equilibriummoral hazardrisk-sharing

Mathematics Subject Classification ID

Dynamic stochastic general equilibrium theory (91B51) Economic growth models (91B62)

Recommendations

• Dynamic risk-sharing with two-sided moral hazard
• Non-commitment and savings in dynamic risk-sharing contracts
• Risk sharing contracts with private information and one-sided commitment
• Optimal risk sharing and borrowing constraints in a continuous-time model with limited commitment
• Does risk sharing increase with risk aversion and risk when commitment is limited?

Cites work

• A Continuous-Time Version of the Principal–Agent Problem
• Computing Multi-Period, Information-Constrained Optima
• Dynamic financial constraints: distinguishing mechanism design from exogenously incomplete regimes
• Dynamic Optimal Taxation with Private Information
• Efficient allocations with hidden income and hidden storage
• Endogenous market incompleteness with investment risks
• Foreign Direct Investment and the Risk of Expropriation
• Implications of Efficient Risk Sharing without Commitment
• Income fluctuation and asymmetric information: An example of a repeated principal-agent problem
• Informal Insurance Arrangements with Limited Commitment: Theory and Evidence from Village Economies
• Markov perfect equilibrium. I: Observable actions
• On Efficient Distribution with Private Information
• On Repeated Moral Hazard with Discounting
• On the long run implications of repeated moral hazard
• Repeated Moral Hazard
• Repeated moral hazard and one-sided commitment
• Repeated principal-agent relationships with lending and borrowing
• Self-Enforcing Wage Contracts
• Short-term contracts and long-term agency relationships
• The First-Order Approach to Principal-Agent Problems
• The Multiperiod Principal-Agent Problem

Cited in

(15)

• Does risk sharing increase with risk aversion and risk when commitment is limited?
• The risk-sharing problem under limited liability constraints in a single-period model
• Risk sharing contracts with private information and one-sided commitment
• When can we do better than autarky?
• Dynamic risk-sharing with two-sided moral hazard
• Non-commitment and savings in dynamic risk-sharing contracts
• Risk sharing in private information models with asset accumulation: explaining the excess smoothness of consumption
• Characterization of a risk sharing contract with one-sided commitment
• Unique Markov equilibrium under limited commitment
• Efficient risk sharing with limited commitment and storage
• Implications of Efficient Risk Sharing without Commitment
• Optimal risk sharing and borrowing constraints in a continuous-time model with limited commitment
• Efficient risk sharing and separation
• Time-inconsistent contract theory
• Constrained efficiency without commitment

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