Espérance morale avec risque moral

The words "moral hazard" are used here to denote situations where the decision-maker chooses simultaneously an "act" (as defined in the theory of games against nature, developed in particular by L.J. Savage) and an unobserved "strategy" susceptible of influencing the course of events. In applied work on moral hazard, it is assumed that, for each act, the decision-maker chooses, from a given set, the strategy which maximises expected utility. Preferences among acts are then isomorphic with expected utilities under the maximising strategies. An axiomatic justification of that representation is obtained here by weakening the axiom called "Reversal of order" by Anscombe and Aumann. Under that axiom, when a random device is to decide which of two acts obtains, the device may indifferently be activated before or after observing the true state. The weakening consists in stipulating instead that the decision-maker never prefers strictly that the device be activated after observing the true state instead of beforehand (i.e. the value of information is non-negative). Together with the other standard axioms, this weakening leads to a generalised moral expectation theorem: there exist a (closed convex) set of probability measures P on the states of the world, and a utility on consequences, such that preferences among acts are isomorphic with the maxima over P of the expected utilities. Le terme « risque moral » est utilisé ici pour désigner les situations où un décideur unique choisit simultanément un « acte » (au sens de la théorie des jeux contre la nature, telle que développée notamment par L.J. Savage) et une « stratégie », non observable, susceptible d’influencer le cours des événements. Dans les nombreuses applications de la théorie de la décision à des situations de risque moral, on suppose que, pour chaque acte, le décideur choisit, dans un ensemble donné, la stratégie qui maximise l’espérance d’utilité. Les choix entre les actes (This abstract was borrowed from another version of this item.)