Decomposition and characterization of risk with a continuum of random variables
Article Abstract:
The different risks involved in a continuum of random variables were characterized and represented. A main theorem was developed which states that a weak measurability condition on a process is equivalent to either decomposition risk, approximation by simple processes or approximation by large samples. In addition, an extension theorem was also formulated which states that payoff functions defined on simple processes are continuous extensions of the main theorem.
Publication Name: Econometrica
Subject: Mathematics
ISSN: 0012-9682
Year: 1995
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Risk-sharing between and within families
Article Abstract:
Panel Study of Income Dynamics (PSID) data was evaluated to determine risk-sharing levels between and within American families. The PSID data represented a random sample of families made up of original household members and split-offs from two distinct periods including 1968-1981 and 1985-1987. Zero percentage change is observed for the methodology's p-value, indicating a rejection of inter- and intra-family full risk-sharing.
Publication Name: Econometrica
Subject: Mathematics
ISSN: 0012-9682
Year: 1996
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Individual risk and mutual insurance
Article Abstract:
A market defined by the presence of Arrow securities and mutual insurance contracts is used to describe the accomplishment of economic efficiency despite strong individual risk. Market clearing is still achieved despite uncertainty with accounting for both individual and collective risks. Thus, individual risk pooling and collective risk spreading generate allocational efficiency in the market.
Publication Name: Econometrica
Subject: Mathematics
ISSN: 0012-9682
Year: 1996
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