责任代理模式分析报告.pptx

Click to edit Master title style,Click to edit Master text styles,Second level,Third level,Fourth level,Fifth level,*,*,Click to edit Master title style,Click to edit Master text styles,Second Level,Third Level,Fourth Level,Fifth Level,Dr.Chak-Tong Chau,*,*,Click to edit Master title style,Click to edit Master text styles,Second Level,Third Level,Fourth Level,Fifth Level,Dr.Chak-Tong Chau,*,*,Principal-agent Modeling,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,责任代理模式分析报告,第1页,我請您們考慮一些問題,A small medical insurance scenario,一個醫療保健問題,When you have a small illness,do you normally see your doctor?,當你有小病時候，你會不會自費看醫生？,What about,if your firm pay for your expense?,不过，假如是單位付錢呢，那又怎樣？,Dr.Chak-Tong Chau,2,Fulbright Guest Lecture Materials,责任代理模式分析报告,第2页,我請您們考慮一些問題,A car maintenance scenario,一個汽車維修問題,Your car is being rented for 2 months.Supposedly,it needs oiling every month.How likely you will remember to do so?,你汽車是租來用兩個月，它需要每个月潤滑上油一次。你會不會依時地去上油？,How about if this is your own car?,假如這是你自己汽車，你又會不會去做？,Dr.Chak-Tong Chau,3,Fulbright Guest Lecture Materials,责任代理模式分析报告,第3页,我請您們考慮一些問題,A medical insurance problem,自費醫療保險問題,When we purchase medical insurance,the insurance company usually requires that you disclose your medical history.Pre-conditions are usually excluded from the coverage.,購買保險時候，它們通常要求你列出你病歷。不过假如你有大病話，很可能保險企业不愿意受保。,Dr.Chak-Tong Chau,4,Fulbright Guest Lecture Materials,责任代理模式分析报告,第4页,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?,假如你真有大病,你會不會真實地上報？,What do all these tell us about certain human behavior?,這些問題表明了一些什么人性行為？,Dr.Chak-Tong Chau,5,Fulbright Guest Lecture Materials,责任代理模式分析报告,第5页,Agency Problems and Behavior,代理人行為与問題,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 information to know if the contract was honored.,醫療保健,雖然我知道我与雇主契約明确列出我不要浪費企业資源。不过用企业好過用我嘛！而且企业又不會知道我未能恪守契約。,Dr.Chak-Tong Chau,6,Fulbright Guest Lecture Materials,责任代理模式分析报告,第6页,Agency Problems and Behavior,代理人行為与問題,A horizon problem,水平界線問題,If one partys risk or compensation is not the same as the other partys,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。不过，兩個月以后這車子變成怎么樣与我無關了吧。,Dr.Chak-Tong Chau,7,Fulbright Guest Lecture Materials,责任代理模式分析报告,第7页,Agency Problems and Behavior,代理人行為与問題,An adverse selection problem,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,:雖然我知道保險企业需要知道我病歷從而決定保險費。不过誠實代价是較高費用。另外，我不說，誰知道。,Dr.Chak-Tong Chau,8,Fulbright Guest Lecture Materials,责任代理模式分析报告,第8页,誰是代理人？什么是代理成本？,An 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),是任何人在企业有決策權力，不过并非產權最終全部者。代理人通常有較佳專長，更加好資訊，和對風險抱保守態度(,risk adverse)。,Dr.Chak-Tong Chau,9,Fulbright Guest Lecture Materials,责任代理模式分析报告,第9页,誰是代理人？什么是代理成本？,There are three(3)types of agency costs.,代理成本有三類：,設計限制性契約成本(,bonding costs),建立監督制度成本(,monitoring costs),剩餘損耗(,residual loss),Note that some costs are bornt by the principal but some are bornt by the agent.,注意是，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。,Dr.Chak-Tong Chau,10,Fulbright Guest Lecture Materials,责任代理模式分析报告,第10页,Agency Costs,Bonding costs costs incurred,before,entering the contract,to convince the principal that such agency relationship will not result in the above-mentioned agency problems.Examples are:reputation building,3,rd,party guarantor,etc.,Dr.Chak-Tong Chau,11,Fulbright Guest Lecture Materials,责任代理模式分析报告,第11页,Agency Costs,Monitoring 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 Chau,12,Fulbright Guest Lecture Materials,责任代理模式分析报告,第12页,Agency Costs,Residual loss loss,unavoidably,arise,despite the bonding and monitoring costs,the contract still cannot yield the utmost benefits,because:,the agency problems do arise,or,due to the suspicion of the agency problems,the principal refuses to pay the agent compensations that fully reflect his/her efforts.,Dr.Chak-Tong Chau,13,Fulbright Guest Lecture Materials,责任代理模式分析报告,第13页,Examples of the Principal-agent Model,Effort level,Probabilities and payoffs for 4 different events,S,1,=0.3,S,2,=0.3,S,3,=0.2,S,4,=0.2,E,1,=6,$55,000,$55,000,$55,000,$40,000,E,2,=5,$55,000,$55,000,$40,000,$40,000,E,3,=4,$55,000,$40,000,$40,000,$40,000,Dr.Chak-Tong Chau,14,Fulbright Guest Lecture Materials,责任代理模式分析报告,第14页,Examples of the Principal-agent Model,Agents Utility Function:,X,a,-e,2,100,where:,X,a,=agents compensations,e=the effort level used by the agent,Question 1,:If you were the principal in entering the contract,which level of effort(e,1,e,2,or e3,)would you demand?,Question 2,:If you,the principal,can closely monitor and,observe the agent,at all time,what are the amount and,condition of payment?And,what is the expected payoff,for the principal?,Dr.Chak-Tong Chau,15,Fulbright Guest Lecture Materials,责任代理模式分析报告,第15页,Now,lets assume that you cannot monitor and observe,the agent directly.What would you,as the agent,do?,Now,can you see the agency problems here?,Effort level,Expected utility of the agent,E,1,=6,18,496,-6,2,=,100,E,2,=5,18,496,-5,2,=,111,E,3,=4,18,496,-4,2,=,112,Is it likely to have the“adverse selection”problem?,How about the“moral hazard”problem?,And,the horizon problem?Residual loss?,Dr.Chak-Tong Chau,16,Fulbright Guest Lecture Materials,责任代理模式分析报告,第16页,What can we say,up to this point?,Under condition of unobservability(incomplete information),fixed payments to agents(i.e.workers,employees)most likely do not workWhat are then the alternatives?,We can give the,principal,a fixed payment instead.,Or,we can come up with an“incentive compatible”conditional contract.,Dr.Chak-Tong Chau,17,Fulbright Guest Lecture Materials,责任代理模式分析报告,第17页,Fixed Payment to the Principal,Consider this new contract under which the principal gets,$32,750 no matter what happens and the agent keeps the,rest.Will this work?,Effort level,Expected payoff to the agent,E,1,=6,(55,000,x0.8+40,000,x0.2)-32,750-36=,100.36,E,2,=5,(55,000,x0.6+40,000,x0.4)-32,750-25=,98.56,E,3,=4,(55,000,x0.3+40,000,x0.7)-32,750-16=,88.35,Dr.Chak-Tong Chau18,Fulbright Guest Lecture Materials,责任代理模式分析报告,第18页,Fixed Payment to the Principal,Thus,numerically this will work to ensure that the agent gives the highest effort.,However,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).,But the most fundamental problem is that this type of contracts violates the“risk adverse”nature of the agent.Now the agent becomes the principal!,Dr.Chak-Tong Chau,19,Fulbright Guest Lecture Materials,责任代理模式分析报告,第19页,Incentive Compatible Contract Problem Setup,Maximize(55,000 R,55,),55,(e,1,)+(40,000-R,40,),40,(e,1,),Subject to:,R,55,55,(e,1,)+,R,40,40,(e,1,)-e,1,2,=100,R,55,55,(e,1,)+,R,40,40,(e,1,)-e,1,2,R,55,55,(,e,2,)+,R,40,40,(,e,2,),e,2,2,R,55,55,(e,1,)+,R,40,40,(e,1,)-e,1,2,R,55,55,(,e,3,)+,R,40,40,(,e,3,),e,3,2,Dr.Chak-Tong Chau,20,Fulbright Guest Lecture Materials,责任代理模式分析报告,第20页,Incentive Compatible Contract Specific Solutions,Maximize(55,000 R,55,),0.8+(40,000-R,40,)0.2,Subject to:,R,55,(0.8)+,R,40,(0.2)-36,=100,R,55,(0.8)+,R,40,(0.2)-36,R,55,(,0.6,)+,R,40,40,(,0.4,),25,R,55,(0.8)+,R,40,(0.2)-36,R,55,(,0.3,)+,R,40,(,0.7,),16,Solutions:R,55,=21,609,R,40,=,8,464,Expected payoffs:Principal=33,020,Agent=18,980,Dr.Chak-Tong Chau,21,Fulbright Guest Lecture Materials,责任代理模式分析报告,第21页,Summary of Different Contracts,Event under e,1,Principals Payoffs,Agents Payoff,Observable,Fixed Rent to Prin.,Incentive Compat.,Observable,Fixed Rent to Prin.,Incentive Compat.,55,000(,p=0.8),36,504,32,750,33,391,18,496,22,250,21,609,40,000(,p=0.2),21,504,32,750,31,536,18,496,7,250,8,464,Expected Payoffs,33,504,32,750,33,020,18,496,19,250,18,980,Dr.Chak-Tong Chau,22,Fulbright Guest Lecture Materials,责任代理模式分析报告,第22页,What do we know from these?,The best case scenario for the principal is when he can observe the agents effort level directly.,The worst case scenario to the principal,appears,to be simply charging a fixed rent.,The difference between the two($754)represents the maximum amount to pay for an information system to reveal the agents effort.,The middle,2,nd,best solution(incentive compatible contract)may not always be the next best thing though!,Dr.Chak-Tong Chau,23,Fulbright Guest Lecture Materials,责任代理模式分析报告,第23页,Lets say that we set the two variables,R,55,and R,40,to be,18,769 and 11,449 respectively.,Effort level,Expected utility of the agent,E,1,=6,(18,769,)0.8+(11,449,)0.2-6,=,95,E,2,=5,(18,769,)0.6+(11,449,)0.4-5,=,100,E,3,=4,(18,769,)0.3+(11,449,)0.7-4,=,100,Now,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 level,Expected utility of the principal,E,1,=6,Not a feasible solution,agents utility 100,n/a,E,2,=5,(55,000-18,769)0.6+(40,000-11,449)0.4,=,33,159,E,3,=4,(55,000-18,769)0.3+(40,000-11,449)0.7,=,30,855,Dr.Chak-Tong Chau,24,Fulbright Guest Lecture Materials,责任代理模式分析报告,第24页,A Few Cautionary Remarks,This model presented here is a single-period model.Multiple-period(repeated games)can give very different answers.,There can be multiple principals as well as multiple agents in the model.Such models,however,become extremely complex.,Information systems are not considered here.,Dr.Chak-Tong Chau,25,Fulbright Guest Lecture Materials,责任代理模式分析报告,第25页,Concluding Remarks,The Principal-agent model is theoretical elegant but mathematically tedious to use.,Empirical(real-life)evidence seems to support the model well.,The challenges,in my opinion,include:,to come up with useful,testable hypotheses;,to extend the model to more complex,but real business situations;,to encourage researchers to teach newcomers the basic skill in understanding the model rather than simply to publish in“ivory-tower”type of journals.,Dr.Chak-Tong Chau,26,Fulbright Guest Lecture Materials,责任代理模式分析报告,第26页,