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Mechanism Sufficient Statistic in the Risk-Neutral Agency Problem

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Cet article analyse l'utilisation efficace de l'information dans un problème de principal agent avec risque moral et neutralité au risque. On montre que, pour un système arbitraire d'information, toute l'information pertinente d'un point de vue incitatif peut être résumée par une statistique binaire. De plus, nous montrons que ceci permet un classement complet des systèmes d'information pour les problèmes d'agence risco-neutres. Ces résultats sont obtenus sous une condition faible de convexité qui ne dépendent pas d'un ordre exogène sur l'ensemble des signaux. On montre que cette condition est plus générale que les restrictions habituelles justifiant l'approche du premier ordre. This paper analyses the efficient use of information in an agency relationship with moral hazard, when parties are risk-neutral. We show that, given an arbitrary information system. all relevant information from a mechanism-design point of view can be summarized by a binary statistic. We then show that this allows a complete ordering of information systems for the risk-neutral agency problem. These results are obtained under a weak convexity condition which does not rely on an exogenous ordering on signal sets. The condition is shown to be more general than existing requirements for justifying the first-order approach.

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Paper provided by Université du Québec à Montréal, Département des sciences économiques in its series Cahiers de recherche du Département des sciences économiques, UQAM with number 9602.

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Date of creation: Oct 1996
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Handle: RePEc:cre:uqamwp:9602

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