据MS官网显示，来自香港大学的Feng Tian、密歇根大学的Ekaterina Astashkina和Izak Duenyas合作的论文“Dynamic Contract Design in the Presence of Double Moral Hazard”在国际管理学顶刊《Management Science》线上正式发表。
Title: Dynamic Contract Design in the Presence of Double Moral Hazard
存在双重道德风险时的动态合同设计
Feng Tian
香港大学
Ekaterina Astashkina
密歇根大学
Izak Duenyas
密歇根大学
We consider a stylized incentive management problem over an infinite time horizon, where the principal hires an agent to provide services to customers. Customers request service in one of two ways: either via an online or a traditional offline channel. The principal does not observe the offline customers’ arrivals, nor does she observe whether the agent exerts (costly) effort that can increase the arrival rate of customers. This creates an opportunity for the agent (i) to divert cash (that is, to under-report the number of offline customers and pocket respective revenues) and also (ii) to shirk (that is, not to exert effort), thus leading to a novel and thus far unexplored double moral hazard problem. To address this problem, we formulate a constrained, continuous-time, stochastic optimal control problem and derive an optimal contract with a simple intuitive structure that includes a payment scheme and a potential termination time of the agent. We enrich the model to allow the principal to either (i) dynamically adjust the prices for the services in both channels or (ii) monitor the agent. Both tools help the principal to alleviate the double moral hazard problem. We derive respective optimal strategies for using those tools that guarantee the highest profits. We show that the worse the agent’s past performance is, the lower the prices should be set and the more the principal should monitor the agent.
我们考虑一个简化的激励管理问题，它在一个无限的时间范围内进行，其中主要雇佣了一个代理人向客户提供服务。客户通过两种方式之一请求服务：要么通过在线渠道，要么通过传统的离线渠道。主要不观察离线客户的到来，也不观察代理人是否（成本地）付出努力，这种努力可以增加客户的到来率。这为代理人创造了（i）挪用现金（即少报离线客户的数量并私吞相应的收入）以及（ii）偷懒（即不付出努力），从而导致一个新颖且迄今为止未被充分探索的双重道德风险问题。为了解决这一问题，我们制定了一个受限的、连续时间的、随机最优控制问题，并导出了一个具有简单直观结构的优化合同，该合同包括一个支付方案和代理人潜在终止时间。我们丰富了模型，允许主要（i）在两个渠道中动态调整服务价格，或（ii）监控代理人。这两种工具都有助于主要缓解双重道德风险问题。我们导出了使用这些工具的最优策略，保证了最高的利润。我们表明，代理人过去的业绩越差，价格应该设置得越低，主要应该更多地监控代理人。
Tips：“社科人工智能与人工智能经济学” 冬季学术研讨会即将举办，欢迎对人工智能经济学方法及其应用感兴趣的学者和学生报名！
疯狂暗示↓↓↓↓↓↓↓↓↓↓↓
