The exact law of large numbers via Fubini extension and characterization of insurable risks

By Yeneng Sun. 2006

339 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Mathematical Physics

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Daniel Lacker
2. Darrell Duffie
3. René A. Carmona
4. Gustavo Manso
5. Yeon-Koo Che
6. Stijn Van Nieuwerburgh
7. Thaleia Zariphopoulou
8. Semyon Malamud

In Mathematical Physics

1. Daniel Lacker
2. Gustavo Manso
3. Yeon-Koo Che
4. Pierre-Olivier Weill
5. Alexander Aurell
6. Stijn Van Nieuwerburgh
7. Semyon Malamud
8. Mathieu Laurière

Citations in the corpus

• Information Percolation With Equilibrium Search Dynamics (2008, methodology): “ic measure space (A,A,α) of agents are fixed. We rely throughout on applications of the exact law of large numbers (LLN) for a continuum of random variables. A suitably precise version can be found in Sun (2006), based on technical conditions on the measurable subsets of Ω × A. As in the related lite”
• Asymptotic Equivalence of Probabilistic Serial and Random Priority Mechanisms (2008, background): “Finally, our paper is part of a growing literature on random assignment mechanisms.16 The probabilistic serial mechanism is generalized to allow for weak preferences, existing property rights, and multi-unit demand by Katta and Sethuraman (2006), Yilmaz (2006), and Kojima (2008), respectively.”
• Stochastic Graphon Games: II. The Linear-Quadratic Case (2021, methodology): “Furthermore for each t ∈ [0, T ], ELLN applies to Bt since (Bxt )x∈I are e.p.i. and Bt is P λ-integrable.”
• Higher Order Expectations in Asset Pricing (2004, neutral): “Without going over the extensive algebra, implementation of ( 28 ) for the case”
• Online Privacy and Information Disclosure by Consumers (2020, background): “Sun (2006) formalizes the notion of a continuum of IID random variables for which the “law of large numbers” holds, which is all what I need.”
• Do Dark Pools Harm Price Discovery (2013, positive): “Because all for-profit traders with lower information-acquisition costs become informed, the mass of informed traders in equilibrium is μ̄F (σ−S), by the exact law of large numbers (Sun 2006).”
• Why Has House Price Dispersion Gone Up (2010, positive): “By the law of large numbers (Sun (2006)) this also represents the density of islands with history (A, H0).”
• Mean field and n‐agent games for optimal investment under relative performance criteria (2017, background): “Alternatively, the so-called “exact law of large numbers” provides another way to formalize this idea of averaging over a continuum of (conditionally) independent agents (Sun, 2006).”