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Nonexclusivity and adverse selection: An application to the annuity market

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Author Info
Agar Brugiavini
Gwenaël Piaser () (CREFI-LSF, University of Luxembourg)

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Abstract

Using a common agency framework, we characterize possible equilibria when annuities contracts are not exclusive. We discuss theoretical and empirical implications of these equilibria. First, we show that at equilibrium prices are not linear. Then we characterize an equilibrium. We provide conditions for existence and show that this equilibrium is efficient.

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Publisher Info
Paper provided by CREFI-LSF, University of Luxembourg in its series Working Papers of CREFI-LSF (Centre of Research in Finance - Luxembourg School of Finance) with number 06-03.

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Date of creation: 2006
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Handle: RePEc:crf:wpaper:06-03

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Web page: http://fdef.uni.lu/index.php/fdef/lux_school_of_finance/crefi_lsf
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Related research
Keywords: Menus; Common Agency; Insurance; Annuity Markets; Adverse Selection; Efficiency.;

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Find related papers by JEL classification:
D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information
H5 - Public Economics - - National Government Expenditures and Related Policies
J2 - Labor and Demographic Economics - - Demand and Supply of Labor
G1 - Financial Economics - - General Financial Markets

References listed on IDEAS
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  1. Pierre-André Chiappori ; Bernard Salanié, 2002. "Testing Contract Theory : A Survey of Some Recent Work," Working Papers 2002-11, Centre de Recherche en Economie et Statistique. [Downloadable!]
    Other versions:
  2. Andrea Attar & Eloisa Campioni & Gwenäel Piaser, 2006. "Multiple Lending and Constrained Efficiency in the Credit Market," Working Papers 2006_29, University of Venice "Ca' Foscari", Department of Economics. [Downloadable!]
    Other versions:
  3. Rothschild, Michael & Stiglitz, Joseph E, 1976. "Equilibrium in Competitive Insurance Markets: An Essay on the Economics of Imperfect Information," The Quarterly Journal of Economics, MIT Press, vol. 90(4), pages 630-49, November.
  4. Benjamin M. Friedman & Mark Warshawsky, 1990. "The Cost of Annuities: Implications for Saving Behavior and Bequests," NBER Working Papers 1682, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  5. Chassagnon, A. & Chiappori, P.A., 1994. "Insurance Under Moral Hazard and Adverse Selection: The Case of Pure Competition," Papers 28, Laval - Laboratoire Econometrie.
  6. Charles M. Kahn & Dilip Mookherjee, 1998. "Competition and Incentives with Nonexclusive Contracts," RAND Journal of Economics, The RAND Corporation, vol. 29(3), pages 443-465, Autumn. [Downloadable!] (restricted)
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  7. Amy Finkelstein & James Poterba, 2002. "Selection Effects in the United Kingdom Individual Annuities Market," Economic Journal, Royal Economic Society, vol. 112(476), pages 28-50, January. [Downloadable!] (restricted)
  8. Bruno Biais & David Martimort & Jean-Charles Rochet, 2000. "Competing Mechanisms in a Common Value Environment," Econometrica, Econometric Society, vol. 68(4), pages 799-838, July.
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  9. Friedman, Benjamin M & Warshawsky, Mark J, 1990. "The Cost of Annuities: Implications for Saving Behavior and Bequests," The Quarterly Journal of Economics, MIT Press, vol. 105(1), pages 135-54, February. [Downloadable!] (restricted)
  10. Christine A. Parlour & Uday Rajan, 2001. "Competition in Loan Contracts," American Economic Review, American Economic Association, vol. 91(5), pages 1311-1328, December. [Downloadable!] (restricted)
  11. Andrea Attar & Eloisa Campioni & Gwenael Piaser, 2006. "Multiple Lending and Constrained Efficiency in the Credit Market," The B.E. Journal of Theoretical Economics, Berkeley Electronic Press, vol. 0(1). [Downloadable!]
  12. Peters, Michael, 2001. "Common Agency and the Revelation Principle," Econometrica, Econometric Society, vol. 69(5), pages 1349-72, September.
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  13. David Martimort & Lars Stole, 2002. "The Revelation and Delegation Principles in Common Agency Games," Econometrica, Econometric Society, vol. 70(4), pages 1659-1673, July. [Downloadable!] (restricted)
  14. Edmund Cannon & Ian Tonks, 2002. "The Behaviour of UK Annuity Prices from 1972 to the Present," CeRP Working Papers 25, Center for Research on Pensions and Welfare Policies, Turin (Italy). [Downloadable!]
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