Szalay, Dezsö (2008) Monopoly, non-linear pricing, and imperfect information: a reconsideration of the insurance market. Working Paper. University of Warwick, Department of Economics, Coventry.

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Abstract

I reconsider Stiglitz's (1977) problem of monopolistic insurance with a continuum of types. Using a suitable transformation of control variables I obtain an analytical characterization of the optimal insurance policies. Closed form solutions and comparative statics results for special cases are provided.

Item Type:	Working or Discussion Paper (Working Paper)
Subjects:	H Social Sciences > HG Finance
Divisions:	Faculty of Social Sciences > Economics
Library of Congress Subject Headings (LCSH):	Insurance -- Mathematics, Nonlinear pricing, Risk assessment -- Mathematical models, Competition
Series Name:	Warwick economic research papers
Publisher:	University of Warwick, Department of Economics
Place of Publication:	Coventry
Date:	11 September 2008
Number:	No.863
Number of Pages:	22
Status:	Not Peer Reviewed
Access rights to Published version:	Open Access
References:	[1] An, M.Y., (1998) "Logconcavity versus Logconvexity:A Complete Characterization", Journal of Economic Theory, 80, 350-369. [2] Grossman, S. and O. Hart (1983), "An analysis of the principal agent problem", Econometrica, 51 , 7-45. [3] Laffont, J.-J. and D. Martimort (2002), "The Theory of Incentives", Princeton Univ. Press, Princeton, NJ. [4] Laffont, J.-J. and J.-C. Rochet, (1998) "Regulation of a Risk Averse Firm", Games and Economic Behavior, 25, 149-173. [5] Maskin, E. and J. Riley (1984a), "Monopoly with Incomplete Information", Rand Journal of Economics, 15 , 171-196. [6] Maskin, E. and J. Riley (1984b), "Optimal Auctions with Risk Averse Buyers", Econometrica, 52, 1473-1518. [7] Matthews, S.A. (1983), "Selling to risk averse buyers", Journal of Economic Theory 30, 370-400. [8] Mirrlees, J. (1971) "An Exploration in the Theory of Optimum Income Taxation", Review of Economic Studies 38, 175-208. [9] Mussa, M. and S. Rosen (1978), "Monopoly and Product Quality", Journal of Economic Theory 18, 301-317. [10] Salanié, B. (1990), "Sélection Adverse et Aversion pour le Risque", Ann. Econ. Statist. 18, 131-150. [11] Stiglitz, J. (1977), "Monopoly, Nonlinear Pricing, and Imperfect Information: the Insurance Market", Review of Economic Studies 4, 407-430.
URI:	http://wrap.warwick.ac.uk/id/eprint/1353

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