Please use this identifier to cite or link to this item: https://doi.org/10.1016/j.jet.2004.10.005
Title: The exact law of large numbers via Fubini extension and characterization of insurable risks
Authors: Sun, Y. 
Keywords: Exact law of large numbers
Fubini extension
Insurable risks
Pareto optimality and equilibrium
Rich product probability space
Uncorrelatedness and independence
Issue Date: Jan-2006
Citation: Sun, Y. (2006-01). The exact law of large numbers via Fubini extension and characterization of insurable risks. Journal of Economic Theory 126 (1) : 31-69. ScholarBank@NUS Repository. https://doi.org/10.1016/j.jet.2004.10.005
Abstract: A Fubini extension is formally introduced as a probability space that extends the usual product probability space and retains the Fubini property. Simple measure-theoretic methods are applied to this framework to obtain various versions of the exact law of large numbers and their converses for a continuum of random variables or stochastic processes. A model for a large economy with individual risks is developed; and insurable risks are characterized by essential pairwise independence. The usual continuum product based on the Kolmogorov construction together with the Lebesgue measure as well as the usual finitely additive measure-theoretic framework is shown further to be not suitable for modeling individual risks. Measurable processes with essentially pairwise independent random variables that have any given variety of distributions exist in a rich product probability space that can also be constructed by extending the usual continuum product. © 2005 Elsevier Inc. All rights reserved.
Source Title: Journal of Economic Theory
URI: http://scholarbank.nus.edu.sg/handle/10635/104288
ISSN: 00220531
DOI: 10.1016/j.jet.2004.10.005
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