Individual risk and Lebesgue extension without aggregate uncertainty
AbstractMany economic models include random shocks imposed on a large number (continuum) of economic agents with individual risk. In this context, an exact law of large numbers and its converse is presented in [Y.N. Sun, The exact law of large numbers via Fubini extension and characterization of insurable risks, J. Econ. Theory 126 (2006) 31-69] to characterize the cancellation of individual risk via aggregation. However, it is well known that the Lebesgue unit interval is not suitable for modeling a continuum of agents in the particular setting. The purpose of this paper is to show that an extension of the Lebesgue unit interval does work well as an agent space with various desirable properties associated with individual risk.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Economic Theory.
Volume (Year): 144 (2009)
Issue (Month): 1 (January)
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Web page: http://www.elsevier.com/locate/inca/622869
No aggregate uncertainty Independence Exact law of large numbers Fubini extension Lebesgue measure;
Other versions of this item:
- Sun, Yeneng & Zhang, Yongchao, 2008. "Individual Risk and Lebesgue Extension without Aggregate Uncertainty," MPRA Paper 7448, University Library of Munich, Germany.
- C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
- E00 - Macroeconomics and Monetary Economics - - General - - - General
- D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
- C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
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