This dissertation consists of two essays examining formal and informal long term health insurance markets. The first essay analyzes heterogeneity of Long-Term Care Insurance policyholders in their lapse decision, and how their ex-ante and ex-post subjective beliefs about the probability of needing Long-Term Care affect their lapse decisions. In this essay, I develop a model of lapse decision in a two-period insurance framework with a Bayesian learning process and implement several empirical specifications of the model using longitudinal data from the Health and Retirement Study. The results show that policyholders' ex- ante point predictions of their probabilities and their uncertainties about them have a persistent but declining impact on lapse decisions. Those who believe that their risk is higher are indeed more likely to remain insured. However, as their uncertainties surrounding their ex-ante point predictions increase, their chances of lapsing increase regardless of their initial perception biases. These results are heterogeneous across cohorts and policyholders and, in particular, show that those in the older group near the average age of Nursing Home entry have a precise prediction of their risk levels compared to the younger cohort. Policy simulations show that a more informed initial purchase decision reduces the chance of lapsing down the road. The second essay examines the extent to which informal risk sharing arrangement provides insurance against health shocks. I develop a comprehensive model of informal risk sharing contract with two-sided limited commitment which extends the standard model to a regime with the following features. Information regarding the nature of realized health shocks is imperfect and individuals' health capital stock serves as a storage technology and is a factor of production. The theoretical results show that, in such a regime, Pareto optimal allocations are history dependent even if participation constraints do not bind. I perform numerical analysis to show that risk sharing against health shock is less likely to be sustainable among non-altruistic individuals with different levels of biological survival rates and health capital productivity. The results also show that optimal allocations vary depending on the set of information available to individuals. Using panel data of households from villages in rural Ethiopia, I test the main predictions of the theoretical model. While there is negative history dependence in transfers among non-altruistic partners, history dependence is positive when risk sharing is along bloodline and kinship. However, neither short-term nor long-term health shocks are insured through informal risk sharing arrangements among non-altruistic individuals.

Submitted by Yara de Almeida Campos Cordeiro (yarinha.a@gmail.com) on 2015-06-03T18:26:36Z No. of bitstreams: 1 Diss_Biblioteca.pdf: 649363 bytes, checksum: 3edcafbc40c828ea9dfa7b5ecbf4892b (MD5) / Approved for entry into archive by BRUNA BARROS (bruna.barros@fgv.br) on 2015-06-12T14:12:17Z (GMT) No. of bitstreams: 1 Diss_Biblioteca.pdf: 649363 bytes, checksum: 3edcafbc40c828ea9dfa7b5ecbf4892b (MD5) / Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2015-06-12T18:08:06Z (GMT) No. of bitstreams: 1 Diss_Biblioteca.pdf: 649363 bytes, checksum: 3edcafbc40c828ea9dfa7b5ecbf4892b (MD5) / Made available in DSpace on 2015-06-12T18:08:24Z (GMT). No. of bitstreams: 1 Diss_Biblioteca.pdf: 649363 bytes, checksum: 3edcafbc40c828ea9dfa7b5ecbf4892b (MD5) Previous issue date: 2015-04 / This paper investigates the expectations formation process of economic agents about inflation rate. Using the Market Expectations System of Central Bank of Brazil, we perceive that agents do not update their forecasts every period and that even agents who update disagree in their predictions. We then focus on the two most popular types of inattention models that have been discussed in the recent literature: sticky-information and noisy-information models. Estimating a hybrid model we find that, although formally fitting the Brazilian data, it happens at the cost of a much higher degree of information rigidity than observed.

Essa dissertação foi desenvolvida com o objetivo de responder ao seguinte problema de pesquisa: há indícios de que notas explicativas das demonstrações financeiras que sejam menos compreensíveis, na visão de profissionais de investimento, conduzem a custos de transação maiores no estabelecimento de contratos? Por custos de transação, entendem-se aqueles referentes à coleta de informações, os custos de negociação e os de estabelecimento de contratos (COASE, 1991). Uma informação de difícil compreensibilidade, portanto, seria um catalisador de novos custos de transação, trazendo ineficiências no estabelecimento de contratos futuros. Para atingir os objetivos desejados, foram distribuídos questionários aos profissionais de investimento no 22º Congresso APIMEC que foi realizado nos dias 30 a 31 de agosto de 2012. Do total de participantes, 54 pessoas responderam o mesmo. De modo geral, verificou-se que sob a situação de tempo escasso e um grande custo de decodificação das notas explicativas, o que aumenta os custos de transação, pode-se conjecturar que algumas análises estejam sendo feitas de modo ineficiente, o que poderia conduzir a ineficiências no estabelecimento de contratos futuros. Verificou-se também que há indícios de que há excesso de informações e não falta das mesmas, o que conduziria a problemas de informação imperfeita e não de informação incompleta (LOPES, 2008). / This dissertation was developed in order to answer the following research problem: Is there evidence that the explanatory notes in the financial statements that are less understandable, by the investment professionals point of view, lead to higher transaction costs in establishing contracts? For transaction costs, we understood those that are related to information collection, the costs of negotiating and establishing contracts (COASE, 1991). A difficult understandability of information would therefore be a catalyst of new transaction costs, bringing inefficiencies in establishing future contracts. To achieve the desired goals, questionnaires were distributed to investment professionals in 22º Congresso Apimec that was held on 30 to 31 August 2012. Of all participants, 54 people responded it. In general, it was found that under the situation of limited time and a large cost to decode the notes, which increases transaction costs, it can be conjectured that some analyzes are being done inefficiently, which might lead inefficiencies in the establishment of futures contracts. It was also found that there is evidence that there is too much information and not lack of them, which would lead to problems of imperfect information and not incomplete information (LOPES, 2008).

Signaling games are part of games with imperfect information. The games with imperfect information mean that the player doesn't know all moves of players, which played before him. The signaling game as such are interesting because some players have more information than the others. The better informed group of players can indicate to uninformed players what they know and wait how the opponents react. Generally the move which uninformed party takes influence all players. In my papers I want to describe main rules for signaling games, show possible ways how to solve this kinds of problems and use this new knowledge in aplication on problem which can be usable in practices.

This thesis investigates the use of Bayesian analysis upon an opponent¿s behaviour in order to determine the desired goals or strategy used by a given adversary. A terrain analysis approach utilising the A* algorithm is investigated, where a probability distribution between discrete behaviours of an opponent relative to a set of possible goals is generated. The Bayesian analysis of agent behaviour accurately determines the intended goal of an opponent agent, even when the opponent¿s actions are altered randomly. The environment of Poker is introduced and abstracted for ease of analysis. Bayes¿ theorem is used to generate an effective opponent model, categorizing behaviour according to its similarity with known styles of opponent. The accuracy of Bayes¿ rule yields a notable improvement in the performance of an agent once an opponent¿s style is understood. A hybrid of the Bayesian style predictor and a neuroevolutionary approach is shown to lead to effective dynamic play, in comparison to agents that do not use an opponent model. The use of recurrence in evolved networks is also shown to improve the performance and generalizability of an agent in a multiplayer environment. These strategies are then employed in the full-scale environment of Texas Hold¿em, where a betting round-based approach proves useful in determining and counteracting an opponent¿s play. It is shown that the use of opponent models, with the adaptive benefits of neuroevolution aid the performance of an agent, even when the behaviour of an opponent does not necessarily fit within the strict definitions of opponent ¿style¿. / Engineering and Physical Sciences Research Council (EPSRC)

Finding strategies for games have been of interest tohumans throughout history. With the advancement of technologyand the way the financial market is compounded, enormous timeand resources are spent on modelling real world problems asgames and searching for strategies modelled to enhance produc-tivity and rule out inefficiencies. This thesis aims to investigate the existence of strategies that would allow players (agents)to complete common objectives when one category of agentsalready have a given strategy. This is done through studyingan example and investigating the application and implicationof the introduction of an abstraction function. The performedstudy concluded that if such a function could be more rigorouslymathematically formulated, it could increase the effectiveness ofstrategy searches and synthesis in the field. / Människor har alltid varit intresserade avatt hitta strategier för spel. I och med teknikens utveckling ochfinansmarknadens uppbyggnad läggs enorm tid och resurser påatt modellera verkliga problem som spel och söka efter strategierför att öka produktiviteten och minska ineffektivitet. Syftet medrapporten är att undersöka om det finns strategier som gör detmöjligt för spelarna (agenterna) att uppnå gemensamma mål nären kategori av agenter redan har en given strategi. Detta görsgenom att studera ett exempel och undersöka tillämpningar ochkonsekvenserna av att införa en abstraktionsfunktion. I studiendrogs slutsatsen att om en sådan funktion kunde formulerasstrikt matematiskt skulle den kunna öka effektiviteten i strate-gisökningar inom området. / Kandidatexjobb i elektroteknik 2022, KTH, Stockholm

[pt] Este trabalho procura entender padrões de busca do consumidor e se fricções informacionais desempenham um papel na dispersão de preços no varejo brasileiro de gasolina. Na nossa abordagem, os consumidores devem se engajar em busca custosa para obter informação sobre os preços cobrados pelos postos de gasolina. Empiricamente, dividimos nossa análise em duas partes. Na primeira, utilizamos um modelo estrutural que nos permite estimar pontos da distribuição dos custos de busca. Estimamos o modelo usando dados de preços no nível do posto para vários mercados no Brasil. Na segunda parte, em duas análises independentes, investigamos os determinantes da proporção de consumidores com baixa quantidade de busca por OLS e construímos uma estimativa para o custo médio de busca por mercado encaixando nossas estimativas pontuais em uma distribuição paramétrica por NLS. Nossas descobertas revelam uma variação significativa na busca do consumidor entre os mercados. Além disso, nossos resultados revelam que a maioria dos consumidores não compara muitos preços antes de comprar gasolina. Ademais, nossas estimativas indicam que o número de postos de gasolina em um mercado, a distância média entre os postos, a renda e a população são fatores importantes para explicar a proporção de consumidores que procuram em apenas um posto antes de comprar. Por fim, o custo médio estimado de busca representa 3 por cento dos preços da gasolina, proporção esta não desprezível. Portanto, os resultados indicam que os atritos de informação são importantes para explicar a dispersão de preços no varejo brasileiro de gasolina. / [en] This paper seeks to understand consumer search patterns and whether information frictions play a role in price dispersion in Brazilian gasoline retail. In our setting, consumers must engage in costly search to gain information about the prices charged by gas stations. Empirically, we divide our analysis into two parts. In the first part, we use a structural model that permits us to estimate points of the distribution of search costs. We estimate the model using price data at the station level for multiple markets in Brazil. In the second part, in two independent analyzes, we investigate the determinants of the proportion of consumers with a low amount of search by OLS and construct an estimate for the average search cost per market by fitting our point estimates into a parametric distribution by NLS. Our findings reveal significant variation in consumer search across markets. Furthermore, our results reveal that most consumers do not compare many prices before buying gasoline. Moreover, our estimates indicate that the number of gas stations in a market, the average distance between gas stations, income, and population are important drivers of the proportion of consumers that search in only one gas station before buying. Finally, the estimated average search cost represents 3 percent of gasoline prices, a non-negligible proportion. Therefore, the results indicate that information frictions are important to explain price dispersion in Brazilian gasoline retail.

We study games on graphs, where a coalition of agents work against an adversarial nature to achieve an objective. The agents have to collaborate while making their moves simultaneously, while receiving differing information about the state of the game and without a means of agent-to-agent communication. Before the game starts the coalition agrees on a strategy profile, where each agent is provided with a strategy which it acts in accordance to. The challenge of finding a winning strategy profile, wherein the coalition achieves their objective regardless of any influence from the adversarial nature, is called the strategy synthesis problem. For games with coalitions consisting of more than one agent, the general case of the synthesis problem is undecidable. We formalize an abstraction construction of a game where a subset of agents with predetermined strategies are abstracted into the adversarial nature of another game, for the purpose of reducing the size of the coalition of agents and in turn reduce the complexity of the strategy synthesis problem. We then prove that any winning strategy profile in the new game with fewer agents is also winning in the original game when combined with the predetermined strategies. The most interesting case is reducing a game with a coalition of two agents into a game with a single agent, since the strategy synthesis problem is decidable for games with a single agent. This allows us to test the predetermined strategy of the abstracted agent to see if it is possible to create a winning strategy profile using it. If it is not possible then we can try a different strategy. This enables an iterative approach for solving the strategy synthesis problem instead of a deductive one. / I rapporten studeras spel på grafer där ett lag av agenter samarbetar mot en fientlig omvärld för att uppnå ett mål. Agenterna måste samarbeta och göra sina drag på samma gång trots att de inte kan kommunicera med varandra och att de har olika perspektiv på lagets situation. För att lyckas med detta kommer laget överens om en gemensam strategi som består av en specifik strategi för varje individuell agent. Utmaningen att hitta en vinnande gemensam strategi för laget kallas strategisyntesproblemet och är oavgörbart i det allmänna fallet, det finns bevisat ingen algoritm som löser problemet. Vi formaliserar en abstraktionskonstruktion som tar ett spel där en delmängd av agenterna har blivit tilldelade en strategi för att sedan abstrahera de agenterna in i omvärlden i ett annat spel. Tanken är att i-och-med att agenterna redan har strategier vet vi hur de kommer agera och därmed kan vi se dem som en förutsägbar variabel i det nya spelet vi konstruerar. I det nya spelet har vi då färre agenter att skapa strategier för vilket minskar komplexiteten av strategisyntesproblemet. Vi bevisar också att en vinnande gemensam strategi i det nya spelet kan användas tillsammans med de förbestämda strategierna för att vinna det originella spelet. Det mest intressanta fallet för rapporten är om det originella spelet har två agenter i laget, då det finns algoritmer för att lösa strategisyntesproblemet för ensamma agenter. När en agent abstraheras bort och ett spel med en agent kvarstår betyder det att dessa algoritmer kan appliceras. Om en vinnande strategi hittas har problemet lösts, om inte kan man utesluta de förbestämda strategin som den abstraherade agenten använde. Det möjliggör en iterativ testning och uteslutning av strategier som inte funnits tidigare.

Many real life problems can be modelled using multi-agent games played on finite graphs. When an agent cannot differentiate between game states, for example when a robot operates with a broken sensor, the game is classified as a game of imperfect information. This report focuses on non-deterministic multi-agent games of imperfect information or Multi-Agent Games of Imperfect Information Against Nature (MAGIIAN). Finding optimal strategies for these games is very hard due to the element of imperfect information as well as taking into account the multiple cooperating agents. Using a generalised version for multi-agent games of the known Knowledge Based Subset Construction (KBSC) algorithm may solve the problem of strategy synthesis for MAGIIAN. While the KBSC transforms the game into a game with perfect information, the multi-agent variant (MKBSC) instead yields another MAGIIAN. When applying the algorithm iteratively some games stop expanding while others expand seemingly boundlessly. This is referred to as stability and divergence respectively. Our research focuses on different patterns, called structural conditions, in the MAGIIAN and how they affect stability. By using an existing implementation of the MKBSC along with some newly developed algorithms we were able to iterate over different games and analyse different structural conditions. We have identified several structural conditions which affect stability. By reducing divergent games to only their core components with respect to divergence, a more careful examination of what causes divergence could be done. It reaffirmed earlier research that cycles are necessary in order for games to diverge. Observation overlap was found to not be a necessary condition for divergent games as counter examples to this was found. Games containing well formed observations were found to stabilise within one iteration. Our research has also lead us to believe that it is impossible for structural conditions to properly classify divergence. / Olika typer av autonoma problem kan modelleras med hjälp av fleragentsspel spelade på ändliga grafer. Spel där en agent ej kan urskilja mellan två tillstånd, till exempel när en robot arbetar med trasiga sensorer, klassas som spel med ofullständig information. Vår rapport fokuserar på ickedeterministiska fleragentsspel med ofullständig information, även kallat Multi-Agent Games of Imperfect Information Against Nature (MAGIIAN). Att hitta optimala strategier för dessa spel är mycket svårt både på grund av den ofullständiga informationen och på grund av flertalet agenter som ska samarbeta. Användandet av en generaliserad variant för fleragentspel av den kända Knowledge Based Subset Construction (KBSC) algoritmen kan hjälpa att hitta vinnande strategier för MAGIIAN. Medan KBSC algoritmen transformerar spelet till ett spel med fullständig information, så ger fleragentsvarianten istället ännu ett MAGIIAN. Om man applicerar algoritmen många gånger kommer vissa spel sluta att växa medan andra fortsätter växa gränslöst. Detta kallas att spelen är stabila eller divergeranta. Vår rapport fokuserar på olika strukturer i dessa spel och hur dessa påverkar stabiliteten. Genom att använda en implementation av MKBSC tillsammans med nya algoritmer har vi itererat över många olika spel och analyserat olika strukturer. Vi har hittat flertalet strukturer som påverkar stabiliteten. Genom att reducera divergenta spel så att alla kvarvarande komponenter krävs för divergens, kunde divergenses orsaker noggrannt undersökas. Detta bekräftade tidigare påståenden om att cykler krävs för divergens. Därefter motbevisades att överlappande observationer krävdes för divergens med hjälp av motexempel. Spel innehållandes välformade observationer visades stabilisera efter en iteration av MKBSC:n.

Paper [I] Using a unique and highly detailed data set on energy consumption at the appliance-level for 200 Swedish households, seemingly unrelated regression (SUR)-based end-use specific load curves are estimated. The estimated load curves are then used to explore possible restrictions on load shifting (e.g. the office hours schedule) as well as the cost implications of different load shift patterns. The cost implications of shifting load from "expensive" to "cheap" hours, using the Nord Pool spot prices as a proxy for a dynamic price, are computed to be very small; roughly 2-4% reduction in total daily costs from shifting load up to five hours ahead, indicating small incentives for households (and retailers) to adopt dynamic pricing of electricity. Paper [II] Using a detailed data set on appliance-level electricity consumption at the hourly level, we provide the first estimates of hourly and end-use-specific income elasticities for electricity. Such estimates are informative about how consumption patterns in general, and peak demand in particular, will develop as households’ income changes. We find that the income elasticities are highest during peak hours for kitchen and lighting, with point estimates of roughly 0.4, but insignificant for space heating. Paper [III] In this paper, I estimate the price elasticity of electricity as a function of the choice between fixed-price and variable-price contracts. Further, assuming that households have imperfect information about electricity prices and usage, I explore how media coverage of electricity prices affects electricity demand, both by augmenting price responsiveness and as a direct effect of media coverage on electricity demand, independent of prices. I also address the endogeneity of the choice of electricity contract. The parameters in the model are estimated using unique and detailed Swedish panel data on monthly household-level electricity consumption. I find that price elasticities range between −0.025 and −0.07 at the mean level of media coverage, depending on contract choice, and that households with monthly variation in electricity prices respond more to prices when there is extensive media coverage of electricity prices. When media coverage is high, for example 840 news articles per month (which corresponds to the mean plus two standard deviations), the price elasticity is −0.12, or 1.7 times the elasticity at the mean media coverage. Similarly, media coverage is also found to have a direct effect on electricity demand. Paper [IV] I explore how households switch between fixed-price and variable-price electricity contracts in response to variations in price and temperature, conditional on previous contract choice. Using panel data with roughly 54000 Swedish households, a dynamic probit model is estimated. The results suggest that the choice of contract exhibits substantial state dependence, with an estimated marginal effect of previous contractchoiceof0.96, andthattheeffectofvariationinpricesandtemperatureonthechoice of electricity contract is small. Further, the state dependence and price responsiveness are similar across housing types, income levels and other dimensions. A plausible explanation of these results is that transaction costs are larger than the relatively small cost savings from switching between contracts.