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Essai sur le risque moral

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  • Arnott, Richard

    (Queen’s University)

Abstract

This essay presents some of the results obtained in a long-term research project on moral hazard undertaken by the author and Joseph Stiglitz. The central message is that the presence of moral hazard radically alters the positive and normative properties of competitive equilibrium. In particular, moral hazard may give rise to nonconvex indifference curves (in the relevant space) and causes the feasibility set to be nonconvex. Principally because of these nonconvexities, there are subtleties in the definition of competitive equilibrium. Depending on the definition, at one extreme competitive equilibrium may not exist, while at the other there may be an infinity of equilibria. Furthermore, competitive equilibrium may be characterized by the rationing of insurance purchases, positive profits, inactivity of the market even when there are gains from trade, and/or random insurance. Finally, with moral hazard, neither the first nor the second theorem of welfare economics holds, and market prices do not correspond to social opportunity costs. Cet essai présente quelques-uns des résultats obtenus dans un projet de recherche à long terme sur le risque moral entrepris par l’auteur et Joseph Stiglitz. Le message central est que la présence du risque moral modifie radicalement les propriétés positives et normatives de l’équilibre concurrentiel. En particulier, le risque moral peut générer des courbes d’indifférence non convexes et un ensemble de possibilités non convexe. Principalement à cause de ces non-convexités, la définition de l’équilibre concurrentiel devient subtile. Selon la définition choisie, à un extrême, l’équilibre peut ne pas exister et, à l’autre extrême, il se peut qu’il y ait une infinité d’équilibres. De plus, l’équilibre concurrentiel peut être caractérisé par le rationnement des achats d’assurances, des profits positifs, de l’inactivité du marché même s’il y a des gains à l’échange, et/ou de l’assurance aléatoire. Finalement, sous le risque moral, ni le premier ni le second théorème de l’économie du bien-être ne sont valides et les prix du marché ne reflètent pas les coûts d’opportunité sociaux.

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Bibliographic Info

Article provided by Société Canadienne de Science Economique in its journal L'Actualité économique.

Volume (Year): 63 (1987)
Issue (Month): 2 (juin et septembre)
Pages: 74-97

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Handle: RePEc:ris:actuec:v:63:y:1987:i:2:p:74-97

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  1. Spence, Michael & Zeckhauser, Richard, 1971. "Insurance, Information, and Individual Action," American Economic Review, American Economic Association, vol. 61(2), pages 380-87, May.
  2. Richard Arnott & Joseph Stiglitz, 1986. "The Welfare Economics of Moral Hazard," Working Papers 635, Queen's University, Department of Economics.
  3. Grossman, Sanford J & Hart, Oliver D, 1983. "An Analysis of the Principal-Agent Problem," Econometrica, Econometric Society, vol. 51(1), pages 7-45, January.
  4. Dionne, G., 1980. "Moral Hazard and State-Dependent Utility Function," Cahiers de recherche 8053, Universite de Montreal, Departement de sciences economiques.
  5. Shavell, Steven, 1979. "On Moral Hazard and Insurance," The Quarterly Journal of Economics, MIT Press, vol. 93(4), pages 541-62, November.
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