Essays on information economics under ambiguity

Le, Hoang-Vu (2025) Essays on information economics under ambiguity. PhD thesis, University of Glasgow.

Abstract

This thesis consists of three chapters, each examining the impact of ambiguity on a specific economic problem.

Chapter 1, Competitive Insurance Market Under Ambiguity, extends the classic Stiglitz and Rothschild model to a setting where insurers face ambiguity about the composition of their customers. Using the epsilon-contamination framework, I characterize insurance contracts in a screening game under ambiguity, considering two scenarios: pooling equilibrium and separating equilibrium. Additionally, I provide a criterion that guarantees the existence of a separating equilibrium under ambiguity—an outcome not observed in the standard no-ambiguity model.

Chapter 2, Moral Hazard Under Ambiguity, examines the principal-agent problem in which both the principal and the agent face ambiguity about the stochastic relationship between the agent’s effort and the project outcome. The chapter explores the optimal contract when effort is observable and the sub-optimal contract when effort is unobservable, within the context of ambiguity aversion. I specify conditions under which the principal’s decision to induce high or low effort under ambiguity aligns with the decision in the absence of ambiguity.

Chapter 3, Cheap Talk With Ambiguous Beliefs, explores the cheap talk problem in the spirit of Crawford-Sobel (CS), introducing ambiguity by relaxing the assumption that both the sender and receiver know the actual distribution of the private message. The chapter examines CS-like partition equilibria in cases of small, complete, and intermediate ambiguity, using various frameworks to model ambiguity. It offers new insights into how ambiguity influences agents’ behavior in strategic communication games.

• Item Type: Thesis (PhD)
• Qualification Level: Doctoral
• Subjects: H Social Sciences > HB Economic Theory
• Colleges/Schools: College of Social Sciences > Adam Smith Business School
• Supervisor's Name: Hayashi, Professor Takashi and Bogomolnaia, Professor Anna
• Date of Award: 2025
• Depositing User: Theses Team
• Unique ID: glathesis:2025-84883
• Copyright: Copyright of this thesis is held by the author.
• Date Deposited: 11 Feb 2025 11:35
• Last Modified: 11 Feb 2025 11:53
• Thesis DOI: 10.5525/gla.thesis.84883
• URI: https://theses.gla.ac.uk/id/eprint/84883