Monte Carlo simulation of macroeconomic risk with a continuum of agents: the symmetric case
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Publication:1404151
DOI10.1007/s00199-002-0302-yzbMath1068.91060OpenAlexW4229505538MaRDI QIDQ1404151
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
law of large numbersexchangeabilityde Finetti's theoremjoint measurabilityMonte Carlo convergenceLoeb spacescontinuum of random variables
Central limit and other weak theorems (60F05) Stochastic models in economics (91B70) Exchangeability for stochastic processes (60G09)
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Monte Carlo sampling processes and incentive compatible allocations in large economies ⋮ When is market incompleteness irrelevant for the price of aggregate risk (and when is it not)? ⋮ The one-way Fubini property and conditional independence: an equivalence result ⋮ Core, equilibria and incentives in large asymmetric information economies ⋮ Joint measurability and the one-way Fubini property for a continuum of independent random variables ⋮ The exact law of large numbers via Fubini extension and characterization of insurable risks ⋮ The essential equivalence of pairwise and mutual conditional independence
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