发表机构
RALP Technologies; Sauder School of Business, University of British Columbia（RALP科技有限公司; 不列颠哥伦比亚大学 Sauder 商学院）
机构由 AI 辅助整理，请以论文原文为准。AI 中文总结
本文提出信息延迟作为不完全信息的新来源，证明其产生不可约不确定性并影响风险溢价与市场结构，在合同续约中正延迟可成为次优选择。
AI 中文摘要
许多经济决策依赖于早于决策时间的观测。本文引入信息延迟（information latency），即决策时间与最近一次对不断演变的、与收益相关的状态的观测之间的时间间隔，作为一种不完全信息的独立来源。与经典的信息摩擦来源不同，即使观测精确且预期理性，延迟也会产生不可约的不确定性。对于足够规则的连续时间马尔可夫过程，条件方差随延迟局部增加；在奥恩斯坦-乌伦贝克基准下，它以递减的速率增加，趋向于有限上界。然而，在罕见状态观测之后，不确定性可能在中间延迟处达到峰值，然后下降。平均延迟和平均更新频率都不能完全表征信息质量：信息到达的规律性独立于平均间隔而起作用。在CARA-正态基准下，延迟引起的不确定性产生风险溢价。在异质性延迟下，风险调整成本最低的中介赢得业务，而竞争将价格推向第二低的风险调整成本。在一个简化的合同续约设置中，当直接合同承诺不可用时，正延迟可以通过限制昂贵的重新分类而成为次优最优。该框架适用于信贷、保险、金融市场和运营决策。
英文摘要
Many economic decisions rely on observations that predate the decision time. This paper introduces information latency, the elapsed time between a decision and the most recent observation of an evolving payoff-relevant state, as a distinct source of imperfect information. Unlike classical sources of information friction, latency generates irreducible uncertainty even with exact observations and rational expectations. For sufficiently regular continuous-time Markov processes, conditional variance increases locally with latency; under the Ornstein-Uhlenbeck benchmark, it increases at a decreasing rate toward a finite bound. Following a rare-state observation, however, uncertainty can peak at an intermediate latency before declining. Neither the average latency nor the average update frequency fully characterizes information quality: the regularity of information arrival matters independently of the mean interval. Under a CARA-normal benchmark, latency-induced uncertainty generates a risk premium. With heterogeneous latency, the lowest-risk-adjusted-cost intermediary wins the business, while competition drives the price toward the second-lowest risk-adjusted cost. In a stylized contract-renewal setting, positive latency can be second-best optimal by limiting costly reclassification when direct contractual commitment is unavailable. The framework applies to credit, insurance, financial markets, and operational decisions.
Comments34 pages
