Three principles of competitive nonlinear pricing

We make three contributions to the theory of contracting under asymmetric information. First, we establish a competitive analog to the revelation principIe which we call the implementation principIe. This principIe provides a complete characterization of all incentive compatible, indirect contracting mechanisms in terms of contract catalogs (or menus), and allows us to conclude that in competi tive contracting situations, firms in choosing their contracting strategies can restrict attention, without loss of generality, to contract catalogs. Second, we establish a competi tive taxation principIe. This principIe, a refinement of the implementation principIe, provides a complete characterization of all implementable nonlinear pricing schedules in terms of product-price catalogs and allows us to reduce any game played over nonlinear pricing schedules to a strategically equivalent game played over product-price catalogs. Third, using the competitive taxation principIe and a recent result due to Reny (1999) on the existence of Nash equilibria in discontinuous games, we demonstrate the existence of a N ash equilibrium for the mixed extension of the nonlinear pricing game.

Moral hazard and nonlinear pricing in a general equilibrium model

The paper analyzes a two period general equilibrium model with individual risk and moral hazard. Each household faces two individual states of nature in the second period. These states solely differ in the household's vector of initial endowments, which is strictly larger in the first state (good state) than in the second state (bad state). In the first period households choose a non-observable action. Higher leveis of action give higher probability of the good state of nature to occur, but lower leveIs of utility. Households have access to an insurance market that allows transfer of income across states of oature. I consider two models of financiaI markets, the price-taking behavior model and the nonlínear pricing modelo In the price-taking behavior model suppliers of insurance have a belief about each household's actíon and take asset prices as given. A variation of standard arguments shows the existence of a rational expectations equilibrium. For a generic set of economies every equilibrium is constraíned sub-optímal: there are commodity prices and a reallocation of financiaI assets satisfying the first period budget constraint such that, at each household's optimal choice given those prices and asset reallocation, markets clear and every household's welfare improves. In the nonlinear pricing model suppliers of insurance behave strategically offering nonlinear pricing contracts to the households. I provide sufficient conditions for the existence of equilibrium and investigate the optimality properties of the modeI. If there is a single commodity then every equilibrium is constrained optimaI. Ir there is more than one commodity, then for a generic set of economies every equilibrium is constrained sub-optimaI.

Existence of nash equilibrium in competitive nonlinear pricing games with adverse selection

We show that for a large class of competitive nonlinear pricing games with adverse selection, the property of better-reply security is naturally satisfied - thus, resolving via a result due to Reny (1999) the issue of existence of Nash equilibrium for a large class of competitive nonlinear pricing games.

Nonlinear pricing beyond the demand profile approach

Wilson [16] introduced a general methodology to deal with monopolistic pricing in situations where customers have private information on their tastes (‘types’). It is based on the demand profile of customers: For each nonlinear tariff by the monopolist the demand at a given level of product (or quality) is the measure of customers’ types whose marginal utility is at least the marginal tariff (‘price’). When the customers’ marginal utility has a natural ordering (i.e., the Spence and Mirrlees Condition), such demand profile is very easy to perform. In this paper we will present a particular model with one-dimensional type where the Spence and Mirrlees condition (SMC) fails and the demand profile approach results in a suboptimal solution for the monopolist. Moreover, we will suggest a generalization of the demand profile procedure that improves the monopolist’s profit when the SMC does not hold.

Essays in nonlinear pricing and rent seeking

This thesis consists of three self-contained essays on nonlinear pricing and rent-seeking. In the first chapter of the thesis, I provide new theoretical insights about non-linear pricing in monopoly and common agency by combining the principal-agent framework with other-regarding preferences. I introduce a new theoretical model that separately characterizes status-seeker and inequity-averse buyers. I show how the buyer’s optimal choice of quality and market inefficiency change when the buyer has other-regarding preferences. In the second chapter, I find the optimal productive rent-seeking and sabotaging efforts when the prize is endogenous. I show that due to the existence of endogeneity, sabotaging the productive rent-seeking efforts causes sabotaging the endogenous part of the prize, which can affect the rent-seeking efforts. Moreover, I introduce social preferences into my model and characterize symmetric productive rent-seeking and sabotaging efforts. In the last chapter, I propose a new theoretical model regarding information disclosure with Bayesian persuasion in rent-seeking contests when the efforts are productive. I show that under one-sided incomplete information, information disclosure decision depends on both the marginal costs of efforts and the marginal benefit of aggregate exerted effort. I find that since the efforts are productive and add a positive surplus on the fixed rent, my model narrows down the conditions for the information disclosure compared to the exogenous model. Under the two-sided incomplete information case, I observe that there is a non-monotone relationship between optimal effort and posterior beliefs. Thus, it might be difficult to conclude whether a contest organizer should disclose any information to contestants.

Seeking theta's desperately: Estimating the distribution of consumers under increasing block rates

This paper shows that the distribution of observed consumption is not a good proxy for the distribution of heterogeneous consumers when the current tariff is an increasing block tariff. We use a two step method to recover the "true" distribution of consumers. First, we estimate the demand function induced by the current tariff. Second, using the demand system, we specify the distribution of consumers as a function of observed consumption to recover the true distribution. Finally, we design a new two-part tariff which allows us to evaluate the equity of the existence of an increasing block tariff.

Subsidios cruzados en servicios públicos domiciliarios basados en el avalúo catastral

Este artículo presenta una primera propuesta de determinación de subsidios y contribuciones de tarifas de servicios públicos domiciliarios – SPD para la Capital colombiana, que no parta de una clasificación de grupos (estratos socioeconómicos). A partir de un ejercicio exploratorio, se diseña un esquema de pagos del servicio de acueducto a partir del avalúo catastral del inmueble en que habita cada hogar. El ejercicio establece el pago por unidad de consumo de agua, de manera que cada hogar en Bogotá destine una misma proporción de su gasto total al gasto en el servicio de acueducto y garantiza que el total de pagos cubran los costos de provisión del servicio.

Tariff-Specific Preferences and Their Influence on Price Sensitivity

For many services, consumers can choose among a range of optional tariffs that differ in their access and usage prices. Recent studies indicate that tariff-specific preferences may lead consumers to choose a tariff that does not minimize their expected billing rate. This study analyzes how tariff-specific preferences influence the responsiveness of consumers’ usage and tariff choice to changes in price. We show that consumer heterogeneity in tariff-specific preferences leads to heterogeneity in their sensitivity to price changes. Specifically, consumers with tariff-specific preferences are less sensitive to price increases of their preferred tariff than other consumers. Our results provide an additional reason why firms should offer multiple tariffs rather than a uniform nonlinear pricing plan to extract maximum consumer surplus.

Memória de longo prazo nos retornos acionistas dos índices de referência da euronext, implicações para a hipótese de mercados eficientes e contributo fractal para aperfeiçoamento do capital asset pricing model

Não existe uma definição única de processo de memória de longo prazo. Esse processo é geralmente definido como uma série que possui um correlograma decaindo lentamente ou um espectro infinito de frequência zero. Também se refere que uma série com tal propriedade é caracterizada pela dependência a longo prazo e por não periódicos ciclos longos, ou que essa característica descreve a estrutura de correlação de uma série de longos desfasamentos ou que é convencionalmente expressa em termos do declínio da lei-potência da função auto-covariância. O interesse crescente da investigação internacional no aprofundamento do tema é justificado pela procura de um melhor entendimento da natureza dinâmica das séries temporais dos preços dos ativos financeiros. Em primeiro lugar, a falta de consistência entre os resultados reclama novos estudos e a utilização de várias metodologias complementares. Em segundo lugar, a confirmação de processos de memória longa tem implicações relevantes ao nível da (1) modelação teórica e econométrica (i.e., dos modelos martingale de preços e das regras técnicas de negociação), (2) dos testes estatísticos aos modelos de equilíbrio e avaliação, (3) das decisões ótimas de consumo / poupança e de portefólio e (4) da medição de eficiência e racionalidade. Em terceiro lugar, ainda permanecem questões científicas empíricas sobre a identificação do modelo geral teórico de mercado mais adequado para modelar a difusão das séries. Em quarto lugar, aos reguladores e gestores de risco importa saber se existem mercados persistentes e, por isso, ineficientes, que, portanto, possam produzir retornos anormais. O objetivo do trabalho de investigação da dissertação é duplo. Por um lado, pretende proporcionar conhecimento adicional para o debate da memória de longo prazo, debruçando-se sobre o comportamento das séries diárias de retornos dos principais índices acionistas da EURONEXT. Por outro lado, pretende contribuir para o aperfeiçoamento do capital asset pricing model CAPM, considerando uma medida de risco alternativa capaz de ultrapassar os constrangimentos da hipótese de mercado eficiente EMH na presença de séries financeiras com processos sem incrementos independentes e identicamente distribuídos (i.i.d.). O estudo empírico indica a possibilidade de utilização alternativa das obrigações do tesouro (OT’s) com maturidade de longo prazo no cálculo dos retornos do mercado, dado que o seu comportamento nos mercados de dívida soberana reflete a confiança dos investidores nas condições financeiras dos Estados e mede a forma como avaliam as respetiva economias com base no desempenho da generalidade dos seus ativos. Embora o modelo de difusão de preços definido pelo movimento Browniano geométrico gBm alegue proporcionar um bom ajustamento das séries temporais financeiras, os seus pressupostos de normalidade, estacionariedade e independência das inovações residuais são adulterados pelos dados empíricos analisados. Por isso, na procura de evidências sobre a propriedade de memória longa nos mercados recorre-se à rescaled-range analysis R/S e à detrended fluctuation analysis DFA, sob abordagem do movimento Browniano fracionário fBm, para estimar o expoente Hurst H em relação às séries de dados completas e para calcular o expoente Hurst “local” H t em janelas móveis. Complementarmente, são realizados testes estatísticos de hipóteses através do rescaled-range tests R/S , do modified rescaled-range test M - R/S e do fractional differencing test GPH. Em termos de uma conclusão única a partir de todos os métodos sobre a natureza da dependência para o mercado acionista em geral, os resultados empíricos são inconclusivos. Isso quer dizer que o grau de memória de longo prazo e, assim, qualquer classificação, depende de cada mercado particular. No entanto, os resultados gerais maioritariamente positivos suportam a presença de memória longa, sob a forma de persistência, nos retornos acionistas da Bélgica, Holanda e Portugal. Isto sugere que estes mercados estão mais sujeitos a maior previsibilidade (“efeito José”), mas também a tendências que podem ser inesperadamente interrompidas por descontinuidades (“efeito Noé”), e, por isso, tendem a ser mais arriscados para negociar. Apesar da evidência de dinâmica fractal ter suporte estatístico fraco, em sintonia com a maior parte dos estudos internacionais, refuta a hipótese de passeio aleatório com incrementos i.i.d., que é a base da EMH na sua forma fraca. Atendendo a isso, propõem-se contributos para aperfeiçoamento do CAPM, através da proposta de uma nova fractal capital market line FCML e de uma nova fractal security market line FSML. A nova proposta sugere que o elemento de risco (para o mercado e para um ativo) seja dado pelo expoente H de Hurst para desfasamentos de longo prazo dos retornos acionistas. O expoente H mede o grau de memória de longo prazo nos índices acionistas, quer quando as séries de retornos seguem um processo i.i.d. não correlacionado, descrito pelo gBm(em que H = 0,5 , confirmando- se a EMH e adequando-se o CAPM), quer quando seguem um processo com dependência estatística, descrito pelo fBm(em que H é diferente de 0,5, rejeitando-se a EMH e desadequando-se o CAPM). A vantagem da FCML e da FSML é que a medida de memória de longo prazo, definida por H, é a referência adequada para traduzir o risco em modelos que possam ser aplicados a séries de dados que sigam processos i.i.d. e processos com dependência não linear. Então, estas formulações contemplam a EMH como um caso particular possível.

Optimal Contract Pricing of Distributed Generation in Distribution Networks

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Location and contract pricing of distributed generation using a genetic algorithm

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Optimal contract pricing of distributed generation under a competitive framework

A bilevel programming approach for the optimal contract pricing of distributed generation (DG) in distribution networks is presented. The outer optimization problem corresponds to the owner of the DG who must decide the contract price that would maximize his profits. The inner optimization problem corresponds to the distribution company (DisCo), which procures the minimization of the payments incurred in attending the expected demand while satisfying network constraints. The meet the expected demand the DisCo can purchase energy either form the transmission network through the substations or form the DG units within its network. The inner optimization problem is substituted by its Karush- Kuhn-Tucker optimality conditions, turning the bilevel programming problem into an equivalent single-level nonlinear programming problem which is solved using commercially available software. © 2010 IEEE.

Effect Of Platform Connection And Abutment Material On Stress Distribution In Single Anterior Implant-supported Restorations: A Nonlinear 3-dimensional Finite Element Analysis.

Although various abutment connections and materials have recently been introduced, insufficient data exist regarding the effect of stress distribution on their mechanical performance. The purpose of this study was to investigate the effect of different abutment materials and platform connections on stress distribution in single anterior implant-supported restorations with the finite element method. Nine experimental groups were modeled from the combination of 3 platform connections (external hexagon, internal hexagon, and Morse tapered) and 3 abutment materials (titanium, zirconia, and hybrid) as follows: external hexagon-titanium, external hexagon-zirconia, external hexagon-hybrid, internal hexagon-titanium, internal hexagon-zirconia, internal hexagon-hybrid, Morse tapered-titanium, Morse tapered-zirconia, and Morse tapered-hybrid. Finite element models consisted of a 4×13-mm implant, anatomic abutment, and lithium disilicate central incisor crown cemented over the abutment. The 49 N occlusal loading was applied in 6 steps to simulate the incisal guidance. Equivalent von Mises stress (σvM) was used for both the qualitative and quantitative evaluation of the implant and abutment in all the groups and the maximum (σmax) and minimum (σmin) principal stresses for the numerical comparison of the zirconia parts. The highest abutment σvM occurred in the Morse-tapered groups and the lowest in the external hexagon-hybrid, internal hexagon-titanium, and internal hexagon-hybrid groups. The σmax and σmin values were lower in the hybrid groups than in the zirconia groups. The stress distribution concentrated in the abutment-implant interface in all the groups, regardless of the platform connection or abutment material. The platform connection influenced the stress on abutments more than the abutment material. The stress values for implants were similar among different platform connections, but greater stress concentrations were observed in internal connections.

Interaction Between Fiscal And Monetary Policy In A Dynamic Nonlinear Model.

The objective of this study is to verify the dynamics between fiscal policy, measured by public debt, and monetary policy, measured by a reaction function of a central bank. Changes in monetary policies due to deviations from their targets always generate fiscal impacts. We examine two policy reaction functions: the first related to inflation targets and the second related to economic growth targets. We find that the condition for stable equilibrium is more restrictive in the first case than in the second. We then apply our simulation model to Brazil and United Kingdom and find that the equilibrium is unstable in the Brazilian case but stable in the UK case.