کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
986647 | 1480808 | 2015 | 19 صفحه PDF | دانلود رایگان |
We analyze dynamic risk-sharing contracts between profit-maximizing insurers and risk-averse agents who face idiosyncratic income uncertainty and can self-insure through savings. We study Markov-perfect insurance contracts in which neither party can commit beyond the current period. We show that the limited commitment assumption on the insurer's side is restrictive only when he is endowed with a rate of return advantage and the agent has sufficiently large initial assets. In such a case, the agent's consumption profile is distorted relative to the first-best. In a Markov-perfect equilibrium, the agent's asset holdings determine his outside option each period and are thus an integral part of insurance contracts, unlike when the insurer can commit long-term.
Journal: Review of Economic Dynamics - Volume 18, Issue 2, April 2015, Pages 287–305