契约理论讲义2：单任务道德风险模型.pdf

Huihua NIE_Lecture on Contract Theory 2. Complete Contracts I: Static Bilateral Contracting Huihua NIE School of Economics Renmin University of China www.ChinaES. niehuihua(at) 2.1 Moral Hazard I: Single Task 2.1.1 Standard model: symmetric information Suppose all the related information is symmetric and verifiable. The Principal (P)’s problem is to design first best contract to maximize his utility subjected to the Agent (A)’s participation condition or individual rationality (IR) condition. The key variable are A’s one-dimension efforts a A and wage w(x ) and core problem is how to share risk. Pr(x x | a) p (a) and i i i   p (a ) 0 , p (a ) 1. A’s cost c(a) is convex, and c 0 , c 0 . All parties’ utilities i i are VNM formula, so P’s object function is V( x, w) v(x w) ; A’s is U( w, a) u( w) c(a) , his preserve utility is    U . Of course, utility function are concave, so v 0 , v 0 , u 0 , and u0 . [Note 1] Uncertainty is necessary for risk sharing problem between P and A, so xi is a stochastic variable, and p (a ) 0 . i [Note 2] Objective function’s concavity and cost function’s convexity are necessary. [Note 3] Cost function’s separ