Existence and monotonicity of solutions to moral hazard problems
Dana, Rose-Anne; Carlier, Guillaume (2005), Existence and monotonicity of solutions to moral hazard problems, Journal of Mathematical Economics, 41, 7, p. 826-843. http://dx.doi.org/10.1016/j.jmateco.2004.08.002
TypeArticle accepté pour publication ou publié
Journal nameJournal of Mathematical Economics
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Abstract (EN)This paper provides a method to prove existence of solutions to some moral hazard problems with infinite set of outcomes. The argument is based on the concept of nondecreasing rearrangement and on a supermodular version of Hardy–Littlewood’s inequality. The method also provides qualitative properties of solutions. Both the cases of wage contracts and of insurance contracts are studied.
Subjects / KeywordsSupermodularity; First-order approach; Rearrangements; Moral hazard
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Law invariant concave utility functions and optimization problems with monotonicity and comonotonicity constraints Dana, Rose-Anne; Carlier, Guillaume (2006) Article accepté pour publication ou publié