Monte Carlo simulation of macroeconomic risk with a continuum of agents: the symmetric case

DOI10.1007/S00199-002-0302-YzbMATH Open1068.91060OpenAlexW4229505538MaRDI QIDQ1404151FDOQ1404151

Authors: Peter J. Hammond, Yeneng Sun 

Publication date: 20 August 2003

Published in: Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00199-002-0302-y

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zbMATH Keywords

exchangeabilitylaw of large numbersde Finetti's theoremjoint measurabilityMonte Carlo convergenceLoeb spacescontinuum of random variables

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stochastic models in economics (91B70) Exchangeability for stochastic processes (60G09)

Cited In (10)

• The essential equivalence of pairwise and mutual conditional independence
• Monte Carlo sampling processes and incentive compatible allocations in large economies
• The one-way Fubini property and conditional independence: an equivalence result
• Conditional exact law of large numbers and asymmetric information economies with aggregate uncertainty
• When is market incompleteness irrelevant for the price of aggregate risk (and when is it not)?
• Monte Carlo simulation of macroeconomic risk with a continuum of agents: the general case
• Monte Carlo simulation of macroeconomic risk with a continuum of agents: the symmetric case
• The exact law of large numbers via Fubini extension and characterization of insurable risks
• Joint measurability and the one-way Fubini property for a continuum of independent random variables
• Core, equilibria and incentives in large asymmetric information economies

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