Workshop: Advanced Modeling in Finance and Insurance
Time: Thu, September 25, 2008, 10:50-11:40
Speaker: Semyon Malamud
Abstract
We solve for the equilibrium dynamics of information sharing in a large population. Each agent is endowed with signals regarding the likely outcome of a random variable of common concern. Individuals choose the effort with which they search or others from whom they can gather additional information. When two agents meet, they share their information. The information gathered is further shared at subsequent meetings, and so on. Equilibrium exist in which agents search maximally until they acquire sufficient information precision, and then minimally. A tax whose proceeds are used to subsidize the costs of search improves information sharing and can in some cases increase welfare. On the other hand, endowing agents with public signals reduces information sharing and can in some cases decrease welfare.
The talk is based on a joint work with Darrell Duffie and Gustavo Manso.
Presentation slides (pdf, 293 KB)
URL: www.ricam.oeaw.ac.at/specsem/sef/events/program/presentation.php
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