哈佛大学：《中级微观经济学》（英文版）Lecture 8 Financial Markets

Economics 2010a Fa2003 Edward l. glaeser ecture 2

Economics 2010a Fall 2003 Edward L. Glaeser Lecture 2

8. Financial Markets a. Insurance Markets b. Moral hazard C. Adverse selection with one price contracts d. Simple Financial Markets--Comparative statics e. Option pricing and redundant assets

8. Financial Markets a. Insurance Markets b. Moral Hazard c. Adverse Selection with one price contracts d. Simple Financial Markets—Comparative Statics e. Option Pricing and Redundant Assets

Insurance- assume that there is some probability T that a negative shock Z occurs (1-丌)U()+U(y-2) Assume further that insurance exists at price p In that case. individuals solve max(1-n(r-pD+U(r-Z+I-pl

Insurance– assume that there is some probability  that a negative shock Z occurs. 1  UY  UY  Z Assume further that insurance exists at price “p”. In that case, individuals solve: max I 1  UY  pI  UY  Z  I  pI

This yields F.o.C 1-)pU/(Y-pD)=(1-p)U(Y-z+1-p U(Y-pI T I U(r-Z+1-pl) Differentiation yields (1-)U/(Y-p)+(1-m)pl(Y-p)-U/(Y-z+p)-m(1-p)lU(Y-z+p (1-m)p2U"(Y-pD)-(1-p)2"(Y-z+lp

This yields F.O.C. 1  pU Y  pI  1  pU Y  Z  I  pI U Y  pI U Y  Z  I  pI   1   1  p p Differentiation yields: I p  1U YpI1pIUYpIU YZIpI1pIUYZIpI 1p2UYpI1p2UYZIpI