Munich Personal RePEc Archive

Individual Risk and Lebesgue Extension without Aggregate Uncertainty

Sun, Yeneng and Zhang, Yongchao (2008): Individual Risk and Lebesgue Extension without Aggregate Uncertainty.

[img]
Preview
PDF
MPRA_paper_7448.pdf

Download (206Kb) | Preview

Abstract

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 Sun (2006) to characterize the cancelation 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 note 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.

UB_LMU-Logo
MPRA is a RePEc service hosted by
the Munich University Library in Germany.