Sélection adverse et aversion pour le risque
AbstractThe purpose of this paper is to study a simple example of an adverse selection problem in a Principal-Agent relationship, where uncertainty is not resolved at the time the contract is signed. It is shown that the agent's risk-aversion then plays a critical role in determining the shape of the optimal contract; more precisely, a bunching phenomenon will occur for large (but finite) values of the agent's absolute index of risk-aversion. Since this phenomenon is absent in the two extreme cases of zero or infinite risk-aversion, it is argued that one would miss important points in focussing on these (simpler) cases, as is usually done.
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Bibliographic InfoArticle provided by ENSAE in its journal Annals of Economics and Statistics.
Volume (Year): (1990)
Issue (Month): 18 ()
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