An expository note on individual risk without aggregate uncertainty
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In economies where agents bear some risk, the analysis would often be facilitated by the assumption that the risks are i.i.d. and disappear in the aggregate. A formal appeal to the law of large numbers requires the consideration of a sequence of finite economies. In an economy with a continuum of agents there are countable families of sets for which it is impossible for a law of large numbers to be valid. With countably many agents and a finitely additive measure, independence is compatible with the law of large numbers.
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