Individual risk and Lebesgue extension without aggregate uncertainty

• 成果类型: Article
• 署名作者: Sun, Yeneng; Zhang, Yongchao
• 署名单位: National University of Singapore; National University of Singapore
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2008.05.001
• 发表日期: 2009
• 页码: 432-443
• 关键词: No aggregate uncertainty; INDEPENDENCE; Exact law of large numbers; Fubini extension; Lebesgue measure

摘要

Many 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. (C) 2008 Elsevier Inc. All rights reserved.