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

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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.
Item Type:  MPRA Paper 

Original Title:  Individual Risk and Lebesgue Extension without Aggregate Uncertainty 
Language:  English 
Keywords:  No aggregate uncertainty; independence; exact law of large numbers; Fubini extension; Lebesgue measure 
Subjects:  C  Mathematical and Quantitative Methods > C4  Econometric and Statistical Methods: Special Topics > C43  Index Numbers and Aggregation E  Macroeconomics and Monetary Economics > E0  General > E00  General D  Microeconomics > D8  Information, Knowledge, and Uncertainty > D80  General C  Mathematical and Quantitative Methods > C6  Mathematical Methods; Programming Models; Mathematical and Simulation Modeling > C60  General 
Item ID:  7448 
Depositing User:  Yongchao Zhang 
Date Deposited:  05. Mar 2008 14:03 
Last Modified:  23. Dec 2013 10:50 
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URI:  http://mpra.ub.unimuenchen.de/id/eprint/7448 