从双层规划的角度看道德风险理论的一阶条件方法

doi:10.15960/j.cnki.issn.1007-6093.2021.03.005

Abstract

Abstract: We revisit the first-order approach (FOA) in a classical setting of moral hazard model with multi-dimensional signal. After providing formal justification of Lagrangian duality, we reformulate the issue of validiting the FOA as an issue of the existence of a fixed point of the agent's best reaction to the principal's targeted effort level. Therefore, it is unnecessary to show the validity based on the global concavity of the agent's expected under a subclass of monotone contract. The new method allows the relaxation of several requirements of previous approaches. We generalize some results of Sinclair-Desgagne (1994) and Conlon (2009a) to validate the FOA for either the mixture probability model without the likelihood ratio order, or certain exponential family distributions with a bounded likelihood ratio.

Key words: principal-agent, moral hazard, first-order approach, fixed-point

CLC Number:

O224
O221.2

KE Rongzhu, ZHANG Jin. On the first order approach for bilevel programming: moral hazard case[J]. Operations Research Transactions, 2021, 25(3): 87-104.

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On the first order approach for bilevel programming: moral hazard case

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