Dynamic Insurance with Private Information and Balanced Budgets
研究两个风险厌恶且收入互不可观测的无限期生存个体，在每期必须非负消费且总消费等于总禀赋的约束下，定义纳什意义上的动态激励相容，给出约束有效契约存在的充要条件，并用贝尔曼方程刻画该契约，发现长期期望效用分布非退化，且消费过程形成平稳马尔可夫链。
This paper studies a dynamic insurance problem with bilateral asymmetric information and balanced budgets. There are two infinitely-lived agents in our model, both risk averse, and each has an i.i.d. random endowment stream which is unobservable to the other. In each period, each agent must have a non-negative consumption and together they must consume the entire aggregate endowment. Dynamic incentive compatibility in the Nash sense is defined. We give sufficient and necessary conditions for the existence of a constrained efficient contract. We show that a constrained efficient contract can be characterized in a Bellman equation. We demonstrate that the long-run distribution of expected utilities of each agent is not degenerate. We also develop an algorithm for computing the efficient contract and, in a numerical example, we find that the consumption processes of the agents form stationary Markov chains.