1、Principal-agent Modeling 責任代理模式責任代理模式Dr.Chak-Tong Chau 仇澤棠博士U.S.Fulbright Professor中美交流富布萊特教授1我請您們考慮一些問題我請您們考慮一些問題nA small medical insurance scenario 一個醫療保健的問題When you have a small illness,do you normally see your doctor?當你有小病的時候，你會不會自費看醫生？What about,if your firm pay for your expense?但是，如果是單位付錢呢，那又怎
2、樣？Dr.Chak-Tong Chau2Fulbright Guest Lecture Materials我請您們考慮一些問題我請您們考慮一些問題nA car maintenance scenario 一個汽車維修的問題Your car is being rented for 2 months.Supposedly,it needs oiling every month.How likely you will remember to do so?你的汽車是租來用兩個月的，它需要每月潤滑上油一次。你會不會依時地去上油？How about if this is your own car?如果這是你
3、自己的汽車，你又會不會去做？Dr.Chak-Tong Chau3Fulbright Guest Lecture Materials我請您們考慮一些問題我請您們考慮一些問題nA medical insurance problem 自費醫療保險的問題When we purchase medical insurance,the insurance company usually requires that you disclose your medical history.Pre-conditions are usually excluded from the coverage.購買保險的時候，它們
4、通常要求你列出你的病歷。但是如果你有大病的話，很可能保險公司不愿意受保。Dr.Chak-Tong Chau4Fulbright Guest Lecture Materials我請您們考慮一些問題我請您們考慮一些問題If you do in fact have some major medical problems that require expensive treatments,would you disclose these problems?如果你真的有大病,你會不會真實地上報？What do all these tell us about certain human behavior?
5、這些問題表明了一些什么的人性行為？這些問題表明了一些什么的人性行為？Dr.Chak-Tong Chau5Fulbright Guest Lecture MaterialsAgency Problems and Behavior代理人的行為与問題代理人的行為与問題 A moral hazard problem(道德危机問題)when an individual has an incentive to deviate from the contract and take self-interested actions because the other party has insufficient
6、 information to know if the contract was honored.醫療保健 雖然我知道我与雇主的契約明确列出我不要浪費公司的資源。但是用公司的好過用我的嘛！而且公司又不會知道我未能遵守契約。Dr.Chak-Tong Chau6Fulbright Guest Lecture MaterialsAgency Problems and Behavior代理人的行為与問題代理人的行為与問題 A horizon problem 水平界線問題If one partys risk or compensation is not the same as the other par
7、tys,the one with a shorter horizon will tend to secretly maximize the short-term benefits,at the expense of the other longer-term party.汽車維修 我明白汽車不維修壽命不會長。但是，兩個月以后這車子變成怎么樣与我無關了吧。Dr.Chak-Tong Chau7Fulbright Guest Lecture MaterialsAgency Problems and Behavior代理人的行為与問題代理人的行為与問題 An adverse selection pro
8、blem 逆向選擇問題The tendency of individuals with private information about something that affects a potential trading partners benefits to make offers that are detrimental to the trading partner.自費醫療保險:雖然我知道保險公司需要知道我的病歷從而決定保險費。但是誠實的代价是較高的費用。此外，我不說，誰知道。Dr.Chak-Tong Chau8Fulbright Guest Lecture Materials誰是
9、代理人？什么是代理成本？誰是代理人？什么是代理成本？nAn agent is someone who has certain special expertise that is desired by the principal to use for his/her benefits.The agent is usually risk adverse,has decision rights to manage,but does not own,the organizations assets.代理人(agent)是任何人在公司有決策權力，但是并非產權的最終所有者。代理人通常有較佳的專長，更好的資
10、訊，和對風險抱保守的態度(risk adverse)。Dr.Chak-Tong Chau9Fulbright Guest Lecture Materials誰是代理人？什么是代理成本？誰是代理人？什么是代理成本？nThere are three(3)types of agency costs.代理成本有三類：u設計限制性契約的成本(bonding costs)u建立監督制度的成本(monitoring costs)u剩餘的損耗(residual loss)nNote that some costs are bornt by the principal but some are bornt by
11、 the agent.注意的是，有時這些成本是由委托人(principal)負擔。不過有時這些成本是由代理人自己負擔的。Dr.Chak-Tong Chau10Fulbright Guest Lecture MaterialsAgency CostsnBonding costs costs incurred,before entering the contract,to convince the principal that such agency relationship will not result in the above-mentioned agency problems.Exampl
12、es are:reputation building,3rd party guarantor,etc.Dr.Chak-Tong Chau11Fulbright Guest Lecture MaterialsAgency CostsnMonitoring costs costs incurred,after entering the contract,to ensure that such agency problems will not arise.Examples include auditing and inspection costs.Dr.Chak-Tong Chau12Fulbrig
13、ht Guest Lecture MaterialsAgency CostsnResidual loss loss unavoidably arise,despite the bonding and monitoring costs,the contract still cannot yield the utmost benefits,because:uthe agency problems do arise,orudue to the suspicion of the agency problems,the principal refuses to pay the agent compens
14、ations that fully reflect his/her efforts.Dr.Chak-Tong Chau13Fulbright Guest Lecture MaterialsExamples of the Principal-agent ModelEffort levelProbabilities and payoffs for 4 different eventsS1=0.3S2=0.3S3=0.2S4=0.2E1=6$55,000$55,000$55,000$40,000E2=5$55,000$55,000$40,000$40,000E3=4$55,000$40,000$40
15、,000$40,000Dr.Chak-Tong Chau14Fulbright Guest Lecture MaterialsExamples of the Principal-agent ModelAgents Utility Function:Xa-e2 100 where:Xa=agents compensationse=the effort level used by the agentQuestion 1:If you were the principal in entering the contract,which level of effort(e1,e2,or e3)would
16、 you demand?Question 2:If you,the principal,can closely monitor and observe the agent at all time,what are the amount andcondition of payment?And,what is the expected payoff for the principal?Dr.Chak-Tong Chau15Fulbright Guest Lecture MaterialsNow,lets assume that you cannot monitor and observethe a
17、gent directly.What would you,as the agent,do?Now,can you see the agency problems here?Effort levelExpected utility of the agentE1=618,496-62=100E2=518,496-52=111E3=418,496-42=112Is it likely to have the“adverse selection”problem?How about the“moral hazard”problem?And,the horizon problem?Residual los
18、s?Dr.Chak-Tong Chau16Fulbright Guest Lecture MaterialsWhat can we say,up to this point?nUnder condition of unobservability(incomplete information),fixed payments to agents(i.e.workers,employees)most likely do not work.nWhat are then the alternatives?nWe can give the principal a fixed payment instead
19、.nOr,we can come up with an“incentive compatible”conditional contract.Dr.Chak-Tong Chau17Fulbright Guest Lecture MaterialsFixed Payment to the PrincipalConsider this new contract under which the principal gets$32,750 no matter what happens and the agent keeps therest.Will this work?Effort levelExpec
20、ted payoff to the agentE1=6(55,000 x0.8+40,000 x0.2)-32,750-36=100.36E2=5(55,000 x0.6+40,000 x0.4)-32,750-25=98.56E3=4(55,000 x0.3+40,000 x0.7)-32,750-16=88.35Dr.Chak-Tong Chau18Fulbright Guest Lecture MaterialsFixed Payment to the PrincipalnThus,numerically this will work to ensure that the agent g
21、ives the highest effort.nHowever,there is nonetheless a loss to the principal(33,504-32,750)=754 which is in a sense a monitoring cost(maximum cost to pay for an information system to reveal the agents effort level).nBut the most fundamental problem is that this type of contracts violates the“risk a
22、dverse”nature of the agent.Now the agent becomes the principal!Dr.Chak-Tong Chau19Fulbright Guest Lecture MaterialsIncentive Compatible Contract Problem SetupMaximize(55,000 R55)55(e1)+(40,000-R40)40(e1)Subject to:R5555(e1)+R4040(e1)-e12=100R5555(e1)+R4040(e1)-e12 R5555(e2)+R4040(e2)e22R5555(e1)+R40
23、40(e1)-e12 R5555(e3)+R4040(e3)e32Dr.Chak-Tong Chau20Fulbright Guest Lecture MaterialsIncentive Compatible Contract Specific SolutionsMaximize(55,000 R55)0.8+(40,000-R40)0.2Subject to:R55(0.8)+R40(0.2)-36=100R55(0.8)+R40(0.2)-36 R55(0.6)+R4040(0.4)25R55(0.8)+R40(0.2)-36 R55(0.3)+R40(0.7)16Solutions:R
24、55=21,609 R40=8,464Expected payoffs:Principal=33,020Agent=18,980Dr.Chak-Tong Chau21Fulbright Guest Lecture MaterialsSummary of Different ContractsEvent under e1Principals PayoffsAgents PayoffObservableFixed Rent to Prin.Incentive Compat.ObservableFixed Rent to Prin.Incentive Compat.55,000(p=0.8)36,5
25、0432,75033,39118,49622,25021,609 40,000(p=0.2)21,50432,75031,53618,4967,2508,464Expected Payoffs33,50432,75033,02018,49619,25018,980Dr.Chak-Tong Chau22Fulbright Guest Lecture MaterialsWhat do we know from these?nThe best case scenario for the principal is when he can observe the agents effort level
26、directly.nThe worst case scenario to the principal appears to be simply charging a fixed rent.nThe difference between the two($754)represents the maximum amount to pay for an information system to reveal the agents effort.nThe middle,2nd best solution(incentive compatible contract)may not always be
27、the next best thing though!Dr.Chak-Tong Chau23Fulbright Guest Lecture MaterialsLets say that we set the two variables,R55 and R40,to be18,769 and 11,449 respectively.Effort levelExpected utility of the agentE1=6(18,769)0.8+(11,449)0.2-6=95E2=5(18,769)0.6+(11,449)0.4-5=100E3=4(18,769)0.3+(11,449)0.7-
28、4=100Now,the principal is telling the agent NOT to work hard!The$33,159 is actually better than the$33,020 under“incentive compatible”contract!Effort levelExpected utility of the principalE1=6Not a feasible solution,agents utility 100n/aE2=5(55,000-18,769)0.6+(40,000-11,449)0.4=33,159E3=4(55,000-18,
29、769)0.3+(40,000-11,449)0.7=30,855Dr.Chak-Tong Chau24Fulbright Guest Lecture MaterialsA Few Cautionary RemarksnThis model presented here is a single-period model.Multiple-period(repeated games)can give very different answers.nThere can be multiple principals as well as multiple agents in the model.Su
30、ch models,however,become extremely complex.nInformation systems are not considered here.Dr.Chak-Tong Chau25Fulbright Guest Lecture MaterialsConcluding RemarksnThe Principal-agent model is theoretical elegant but mathematically tedious to use.nEmpirical(real-life)evidence seems to support the model w
31、ell.nThe challenges,in my opinion,include:u to come up with useful,testable hypotheses;uto extend the model to more complex,but real business situations;uto encourage researchers to teach newcomers the basic skill in understanding the model rather than simply to publish in“ivory-tower”type of journa
32、ls.Dr.Chak-Tong Chau26Fulbright Guest Lecture Materialsn每一次的加油，每一次的努力都是为了下一次更好的自己。22.8.622.8.6Saturday,August 06,2022n天生我材必有用，千金散尽还复来。19:38:3019:38:3019:388/6/2022 7:38:30 PMn安全象只弓，不拉它就松，要想保安全，常把弓弦绷。22.8.619:38:3019:38Aug-226-Aug-22n得道多助失道寡助，掌控人心方位上。19:38:3019:38:3019:38Saturday,August 06,2022n安全在于心
33、细，事故出在麻痹。22.8.622.8.619:38:3019:38:30August 6,2022n加强自身建设，增强个人的休养。2022年8月6日下午7时38分22.8.622.8.6n扩展市场，开发未来，实现现在。2022年8月6日星期六下午7时38分30秒19:38:3022.8.6n做专业的企业，做专业的事情，让自己专业起来。2022年8月下午7时38分22.8.619:38August 6,2022n时间是人类发展的空间。2022年8月6日星期六19时38分30秒19:38:306 August 2022n科学，你是国力的灵魂；同时又是社会发展的标志。下午7时38分30秒下午7时38分19:38:3022.8.6n每天都是美好的一天，新的一天开启。22.8.622.8.619:3819:38:3019:38:30Aug-22n人生不是自发的自我发展，而是一长串机缘。事件和决定，这些机缘、事件和决定在它们实现的当时是取决于我们的意志的。2022年8月6日星期六19时38分30秒Saturday,August 06,2022n感情上的亲密，发展友谊；钱财上的亲密，破坏友谊。22.8.62022年8月6日星期六19时38分30秒22.8.6谢谢大家！谢谢大家！
