VILLENEUVE Bertrand

In the first two chapters, we study the optimal contract problem in the presence of risk and ambiguity in the context of an optimal control problem. Ambiguity is modeled according to Klibanoff et al. (2005). Our approach generalizes the analyses performed so far by considering the insurance contract as a pair of a premium and an indemnity function to be solved simultaneously. We prove the existence of an optimal contract in the most general case where all agents can be simultaneously averse to ambiguity and risk, which includes all the cases previously considered. We characterize not only the risk sharing but also the ambiguity sharing rule between the contracting parties. In the case of unilateral ambiguity aversion, we show that a direct franchise policy cannot be an optimal insurance contract. Instead, under the assumption that conditional densities can be ranked according to the monotonic likelihood ratio, a contract with vanishing deductibles is optimal, a result that is consistent with Gollier (2014). In particular, the implemented methodology complements Raviv's (1979) analysis for the pure risk case with a risk-neutral insurer, showing that an upper limit coverage cannot be an optimum. This result is robust to ambiguity neutrality.In the third chapter, I examined the impact of risk and ambiguity on optimal investment in human and physical capital using the two-period Ben-Porath (1967) model. Uncertainty (both in the sense of risk and ambiguity) is introduced to human capital accumulation in two ways. When uncertainty is about the rate of depreciation of human capital (uncertain obsolescence of skills), I found that the optimal investment in human capital always increases regardless of whether physical capital is present. This response to uncertainty in a household represents typical self-insurance behavior. In contrast, when the uncertainty is about the efficiency of human capital accumulation, the optimal investment in human capital decreases among households with constant relative risk aversion less than one. This response to uncertainty is typical of a household that views investment as an asset with a risky return instead of insurance.The final chapter (relatively independent of the previous chapters) examines an important issue in growth theory: the role of renewable resources and externalities in the economy. The introduction of a regenerative function (of a natural resource) that is non-concave with respect to one of the arguments makes the problem non-convex. As a consequence, we can no longer use traditional dynamic programming techniques. By attacking this problem, we propose a new method to study a two-sector economy in the presence of externalities. In this case, we introduce the concept of "net stock gain", which is a notion similar to the "net investment gain" introduced by Kamihigashi et al. (2007). In the absence of the usual convex or supermodular properties, we prove that the economy evolves to increase the net stock gain and establish the conditions ensuring the convergence of the economy in the long run. This approach can be applied to similar problems posed above, or be extended to the analysis of multi-sector economies in general.

We give new insights into the dynamic behavior of commodity prices with an infinite horizon rational expectations equilibrium model for spot and futures commodity prices. Numerical simulations of the model emphasize the heterogeneity that exists in the behavior of commodity prices by showing the link between the physical characteristics of a market and some stylized facts of commodity futures prices. They show the impact of storage costs on both the variability of the basis and on the Samuelson effect. Finally, the simulations of the model show that an increase in the speculative activity on commodity futures markets has an overall positive effect on risk premia. However, not all of the agents benefit from it.

This thesis focuses on electricity spot markets and more particularly on their organization and design. Indeed, the electricity industry is facing new challenges due to the increase of renewable generation capacity but also due to more structural changes related to the behavior of actors. The first chapter of the thesis studies in detail the formation of liquidity in the German continuous market. In particular, it focuses on the evolution of the bid-ask spread during a trading session and the factors that influence it. In a second chapter, I quantitatively evaluate the effect of creating an auction before the start of a continuous market on liquidity, volatility and market concentration. The last part of the thesis theoretically studies the impact of vertical integration in sequential markets as well as the impact of real-time pricing for end consumers on the behavior of market participants.

The thesis project consists in studying the heterogeneity of information and beliefs among traders in commodity markets to tackle the puzzles of volatility and risk premium in these markets. The first step was to introduce information asymmetry into a storage model. It was found that the market is efficient and that a random informational effect can be distinguished from a deterministic physical effect. The second step is to empirically estimate the parameters of a modified version of the theoretical model mentioned above. The assumption of economic rationality is relaxed. Chartists" are introduced who follow the courses. The aim of this paper is to estimate their influence on price formation. The market chosen for the empirical study is the American Henry Hub natural gas market. The third step is a model where rational and boundedly rational agents coexist in a commodity market. This last chapter shows how traders following the trend in the futures market can destabilize the physical market.

We propose a micro-founded equilibrium model to examine the interactions between the physical and the derivative markets of a commodity. This model provides a unifying framework for the hedging pressure and storage theories. The model shows a variety of behaviors at equilibrium that can be used to analyze price relations for any commodity. Further, through a comparative statics analysis, we precisely identify the losers and winners in the financialization of the commodity markets. Therefore, this paper clarifies the political economy of regulatory issues, like speculators’ influence on prices.

This paper addresses the urbanization of areas exposed to natural disasters and studies its dependency on land-use and insurance policies. In practice, we observe simple policies, consisting of a prohibited red zone and a zone without insurance tariff differentiation. Even if there are fixed damages per dwelling, the red-zone policy is relatively efficient. it implements the optimal land-use if the losses are proportional to the surface used. The main results are on the effects redefining the optimal red zone as the climate or the population changes. We expose plausible cases in which the red zone grows with a growing population.

The main theme of this thesis is macro financial linkages. I have covered three different issues related to this topic. In the first chapter, Gaël Giraud and I develop a model for the euro area in response to many criticisms of policy models prior to the GFC and with a focus on the interaction between the financial sector and the macroeconomy. The second and third chapters focus on the behavior of the financial sector in the wake of the global financial crisis and its implications for the macroeconomy. Chapter 2 examines the practice of forbearance for distressed borrowers. The ultimate question in this chapter is the extent to which this behavior affects the real economy. Finally, the third chapter highlights an episode of manipulation in commodity markets. This alleged manipulation was apparently only possible because of the dominant market position of banks in the run-up to the crisis and afterwards. Ultimately, I quantify the effects of such behavior and provide evidence of a structural change in the manipulated market during the period of alleged manipulation. The first chapter exploits a bank-level dataset, while in Chapters 2 and 3 I develop structural macro models. In particular, the dynamic system model in the second chapter is an innovation. This class of models, and especially a model of the size we develop, has never been estimated and subsequently used for policy analysis.

The first chapter proposes a theory of financial intermediation, which explains the reasons for the coexistence of traditional banks and shadow banks. The argument developed is that these two types of banks are complementary, which is due to their mutually beneficial interaction in times of crisis. This argument is consistent with some of the stylized facts of the financial crisis that we document. The second chapter of this thesis consists of a detailed exposition and quantification of transfers between different generations of life insurance savers. These transfers give rise to intergenerational risk sharing, made possible by the existence of market friction. We show that this friction consists of imperfect competition between life insurers. The third chapter of this thesis exposes the liquidity risks to which life insurance companies in France are subject, and studies the resulting investment decisions. The empirical approach based on the institutional specificities of life insurance - the modalities of taxation of savers - highlights the causality of liquidity risk on the investment choices of life insurers. The fourth chapter studies the conditions under which firms choose to enter a new market via the acquisition of an existing firm (external entry) rather than by using their existing resources (internal entry). We show that firms that enter a new market via an acquisition are more likely to be those whose human capital is a priori inadequate for that market.

This thesis seeks to link business cycles and portfolio management. The first chapter builds a theoretical framework between business cycles and risk premia. It highlights the importance of turning points in the growth cycle, better known as the output gap. The next two chapters aim to detect these turning points in real time. The first approach focuses on a simple and easily understood non-parametric machine learning method called adaptive vector quantization. The second approach uses more complex machine learning methods, known as ensemble learning: random forests and boosting. Both approaches allow us to create efficient investment strategies in real time. Finally, the last chapter develops an asset allocation method based on different hierarchical clustering algorithms. Empirical results demonstrate the interest of this attempt: the created portfolios are robust, diversified and lucrative.

This thesis studies the role played by financial investors in commodity markets, known as commodity financialization. It consists of a theoretical and an empirical part. The research aims to study the participation of investors, holding equity portfolios, in commodity futures markets, for diversification reasons. Moreover, this diversification can be achieved by investing in a basket of commodities. The first chapter analyzes theoretically the interaction between the commodity and equity markets. The second chapter empirically studies the impact of financial investors' choice on the risk premium of commodity futures contracts. It focuses on three commodities: crude oil (WTI), heating oil and natural gas. The third chapter theoretically studies the integration of two commodity markets. We clarify some considerations regarding the effect of financialization on which the existing literature remains hesitant. We demonstrate the power of influence that investors have on the commodity market. However, this depends on the nature of the investor's position in the futures market. In general, financialization leads to higher spot prices, higher futures prices and higher inventory levels. We also show that investors represent a transmission channel between commodity markets. Their extended effects are limited to the cross-correlation of commodity markets. Finally, we show that equity market returns became a determinant of the futures risk premium after the 2008 financial crisis. This effect of equity returns is indifferent between short and long maturities.

Commodity futures markets have existed for centuries. However, since the beginning of the 21st century, the parallel development of financialization and futures markets on a non-storable commodity (electricity) has disrupted their functioning.The three essays in this thesis study theoretically and empirically the commodity futures markets under different operating conditions.The first essay is an empirical study that shows the existence of the Samuelson effect on electricity futures markets. The second essay is a model that shows how the dynamic price behavior of a storable commodity in a futures market segmented from the rest of the economy is affected by its physical characteristics, and in particular by the cost of storage.Finally, the third essay is a model that shows that financialization modifies the risk-sharing function of commodity futures markets, regardless of the maturity involved.

The auto insurance industry is facing a number of regulatory, financial, behavioral and technological changes. In order to face the challenges resulting from these changes and maintain their profitability, insurers must innovate in terms of pricing. In this context, we develop in this thesis two themes related to automobile insurance pricing. The first theme is based on the optimization of pricing strategies, both in underwriting and renewal. The second theme is oriented towards the use of experiments in order to better understand the determinants of insurance demand. We illustrate how empirical demand models based on data available to the insurer can be used to optimize profitability and customer retention. We then extend the optimization framework by taking into account the inter-temporal dependencies between current rate decisions and profits generated in future periods. Thus, we introduce the Customer Value framework that allows the insurer to adapt its pricing strategy according to policyholders' behaviors over their customer lifetime while taking into account the market cycle. The empirical illustrations in the first two chapters are based on natural data observed by the insurer.In the second part of the thesis, we illustrate the contribution of field and laboratory experiments to the understanding of the demand for automobile insurance. A field experiment allows us to refine the measurement of customer price elasticity and to treat the pricing problem as a contextual bandit problem. Offline evaluation of several reinforcement learning strategies shows that those applying targeted fare experimentation achieve better financial performance compared to the myopic strategy, which excludes any possibility of experimentation. Finally, we present the results of a laboratory experiment whose objective was to measure the added value of private variables from decision models in risk. In particular, we analyze the role of risk aversion and risk perception in explaining car insurance choices. The same experimentation allowed us to analyze the external validity in experimental insurance, i.e. the similarity of individuals' behaviors in an experimental context and in the real economic context of the market.In addition to the experimentation-optimization duality in the field of insurance pricing, this thesis thus illustrates the duality between private data and public data, as well as the duality between empirical models of insurance demand and theoretical models.

This thesis is composed of three independent papers that have in common the analysis of the behavior of investors and firms under imperfect competition. We first consider a Kyle (1985) model of the financial market where investors can produce either a (fundamental) signal on the value of a risky asset or a (non-fundamental) signal on the random demand of noise traders. We show that reducing the cost of the non-fundamental signal worsens the informational efficiency of the stock price and, under certain conditions, the welfare of noise traders. We then extend the model to the case where non-fundamentalists submit limit orders. Their activity is then similar to "front running". We then consider a Kyle (1985) style market where uninformed agents trade for a risk-sharing motive with investors spread over a network, who share their signals with their contacts, which formalizes a better diffusion of information. We then evaluate the effect of this hypothesis on two criteria: speculative profit and the utility expectation of uninformed agents, which measures the efficiency of risk sharing in the market. We show that the addition of the network can simultaneously improve these two criteria as well as the informational efficiency of the price. An original result that cannot be obtained without the addition of the network. Finally, we characterize the gradual cooperation between two competing firms of different sizes that are unable to contract and whose contributions are irreversible. We show that the asymmetry between the two firms strongly slows down the collaboration process, which underlines the importance of contractual arrangements in certain situations. We also show that increased competition between the two firms can harm social welfare by reducing their ability to collaborate.

The issue of fuel poverty is of growing interest in the economic, political and social spheres. This thesis in economics focuses on the representation and analysis of the interactions of three fundamental items in the constrained expenses of households, namely health, housing, and energy, in order to reveal relevant levers for the implementation of actions to combat fuel poverty. This paper proposes an original theoretical and analytical analysis, by approaching this phenomenon in terms of equity, thus highlighting the existence of inequalities and justifying the implementation of complementary, or even new, measures in favor of greater equity between individuals with regard to the energy good. On the other hand, characterizing the dynamics of this phenomenon provides valuable information on the type of measures (i.e., bill payment assistance, innovative bill payment methods, housing renovation assistance) that can be put in place to counteract this phenomenon, and thus participate in the pursuit of the underlying equity objectives. Secondly, the analysis of the consequences of fuel poverty on other dimensions than those referring to energy (i.e., health) allows policy makers to question its multidimensional and porous aspect with other dimensions of social precariousness. This phenomenon is a vector contributing to the aggravation of other inequalities (i.e., health inequalities), which can thus compromise the pursuit of the equity objective of public decision-makers. Finally, the study of new and innovative means of payment for the energy good (i.e., prepayment), at lower costs, allows us to identify prepayment as a tool that can contribute to the achievement of the objectives of horizontal and vertical equity respectively.

We analyze the impact of the length of incomplete contracts on investment and surplus sharing. In the bilateral relationship explored, the seller controls the input and the buyer invests. With two‐part tariffs, the length of the contract is irrelevant: the surplus is maximal and goes to the seller. In linear contracts, the seller prefers the shortest contract and the buyer the longest one. Further, the commitment period concentrates the incentives, whereas afterwards there is rent extraction. The socially efficient contract is as short as possible. yet, long contracts can be promoted because of the surplus they allocate to the buyer.

The urbanization of areas exposed to natural hazards is significant and will increase. Economic analysis proposes several tools to control this phenomenon: risk-adjusted insurance pricing, and zoning and building standards in exposed areas. These two tools are theoretically equivalent, but their respective applications raise different difficulties, and the financial incentives have been excessively reduced in France. In both cases, greater rigor will be opposed because it will affect certain locations more specifically. We discuss this difficult management of the existing and explain that grandfather rights or expropriations cannot be considered as sustainable answers.

This thesis contributes in four chapters to the analysis and measurement of systemic risk. The first chapter discusses the notion of systemic risk and details the methodological issues of its modeling. The second chapter proposes a structural model of solvency contagion. This equilibrium model allows us to measure the risk of contagion by distinguishing the direct effect of a shock from its propagation. In the third chapter, we provide a framework for valuing an institution's debt that takes into account the effect of interconnections between institutions. We calculate a risk premium specifically related to interconnections. In the fourth chapter, we model the joint effects of shocks to the assets and liabilities of a financial institution. We adapt standard risk measures to identify market, funding, and market liquidity risks. Finally, we explain how to determine the composition and level of regulatory reserves to limit default risk.

We propose a simple and yet comprehensive equilibrium model of the interaction between the physical and the derivative markets of a commodity. To represent all basic economic functions, we take three types of agents: industrial processors, inventory holders and speculators. Only the two first of them operate in the physical market. All of them, however, may initiate a position in the paper market, for hedging and/or speculation purposes. First, we give the necessary and sufficient conditions on the fundamentals of this economy for a rational expectations equilibrium to exist and we show that it is unique. Second, we propose a generalized framework for the analysis of price relationships: the model exhibits a surprising variety of behaviors at equilibrium which connects the normal backwardation theory and the storage theory. Third, the model addresses the regulatory issues of speculators’ presence in the market and their influence on prices.

The rise in commodity prices observed during the 2000s, which was concomitant with a greater presence of financial agents in these markets, has aroused the interest of researchers. This rise in prices has occurred with a transformation of commodity markets, whether due to the presence of new financial instruments or to greater investment in these markets. The first two chapters of this thesis study the impact on commodities of the presence of Exchange-Traded Products whose purpose is to offer financial investors passive exposure to commodities. In the course of these studies, it is shown that the mechanism (known as creation/redemption) used to deliver the performance of the underlying commodity to investors has an impact on the price of the underlying, its volatility and its correlation to the equity market. Finally, these same instruments have become the main contributors to the price discovery function, whereas traditionally this function was performed by the futures markets. The last chapter of this thesis manuscript studies the seasonality of both prices and positions of the different types of agents present in the agricultural commodities futures market. The results show that the seasonality of positions in the futures market has been modified by the increased presence of financial agents. This thesis quantifies and demonstrates that the new investment vehicles and the increased positions of these same investors in the futures market have changed the financial and fundamental characteristics of commodities.

We propose a simple equilibrium model, where the physical and the derivative markets of the commodity interact. There are three types of agents: industrial pro- cessors, inventory holders and speculators. Only the two first of them operate in the physical market. All of them, however, may initiate a position in the paper market, for hedging and/or speculation purposes. We give the necessary and sufficient con- ditions on the fundamentals of this economy for a rational expectations equilibrium to exist and we show that it is unique. This is the first contribution of the paper. Our model exhibits a surprising variety of behaviours at equilibrium, and our second contribution is that the paper offers a unique generalized framework for the analysis of price relationships. The model indeed allows for the generalization of hedging pressure theory, and it shows how this theory is connected to the storage theory. Meanwhile, it allows to study simultaneously the two main economic functions of derivative markets: hedging and price discovery. In its third contribution, through the distinction between the utility of speculation and that of hedging, the model illustrates the interest of a derivatives market in terms of the welfare of the agents.

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This thesis focuses on several aspects of wholesale electricity markets. The buying and selling of electricity is traded on the forward and day-ahead markets. In the day-ahead market, a very specific type of auction is used, where the bids of the players take the form of supply and demand functions. Chapter 2 takes as its starting point a result by Zachmann and von Hirschhausen (2008) who find an asymmetric response of the wholesale electricity price in Germany to changes in the price of tradable emission permits ( EUA ). However, in contradiction to the existing results, the asymmetry is shown to have disappeared following the publication of an investigation report by the competition authority. Chapter 3 focuses on the interaction of the futures and day-ahead markets in a repeated oligopoly game. The effect of the futures market on the stability of collusions is studied in the case where strategies in the spot market take the form of supply functions. It is shown that the mere existence of a futures market can widen the range of values of the discount factor for which collusion is sustainable. Chapter 4 examines whether an asymmetric response to the change in the C02 price is also present in the supply functions of the day-ahead electricity market. To this end, the tools of functional data analysis are adopted and applied to auction data. Chapter 5 develops a test for auto-correlation in a panel of functional observations. A Monte-Carlo simulation shows good power of the test in sample sizes typically used in applied research.

Natural and industrial disasters are major risks that share the common feature of having a strong geographical footprint. Their main difference is that compensation for natural risks is based on solidarity, whereas industrial risks are the private responsibility of the industrialist. This thesis provides elements of evaluation of public policies for the prevention and coverage of natural and technological risks. Each of the chapters proposes elements of evaluation of these policies by analyzing in particular the links between insurance and urban planning policies (chapter 2), between insurance and collective prevention policies (chapter 3), between insurance and public aid policies (chapter 4), between prevention and real estate policies (chapter 5). The different chapters take into account the links between national and local public policies.

This thesis focuses on commitment strategies in imperfect competition in the natural gas market. The first chapter deals with capacity investments in a bilateral relationship where the buyer is subject to expropriation risk. Although a minimum degree of commitment is essential to secure the investment, too long a commitment by the seller may lead to a lower level of investment. The second chapter analyzes the strategic use of storage in a double oligopoly: while storage may be used to preempt future demand, firms may nevertheless have an incentive to commit not to use it. The third chapter analyzes gas release programs aimed at enhancing competition in the gas supply market by giving entrants access to the incumbent's long-term contracts with foreign producers. Finally, the fourth chapter shows that the use of real asset pricing methods based on arbitrage transactions in wholesale markets may not lead to optimal investment choices.

Part 1: the exclusivity of contracts. Ch. 1: the role of risk aversion in the rothschild and stiglitz model (1976). We take the rs model, but individuals no longer necessarily behave in the same way with respect to risk. Unusual equilibrium configurations appear: positive profits in equilibrium. multiplicity of equilibria. random insurance. Ch. 2: what information asymmetry? Insurers think they know the risks better than the insureds. We model this idea. To simplify, the reversal of the informational advantage produces an inversion of the equilibrium properties linking coverage to accident probability. Part 2: the absence of contract exclusivity. Ch. 3 : multiple risks and information asymmetry. The specialization of insurers leads to imperfect competition between them. Notions of complementarity and substitutability characterize the different types of equilibria. We analyze the properties of the utility functions that cause them. Ch. 4: Compulsory insurance and anti-selection intensity. Two particularities of life insurance justify a specific modeling: no exclusivity of contracts. the pension is a forced life annuity. Its variations modify the intensity of antiselection. The optimal response to intense antiselection in the private markets may be a decrease in mandatory coverage.