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

Suppose a large economy with individual risk is modeled by a continuum of pairwise exchangeable random variables (i.i.d., in particular). Then the relevant stochastic process is jointly measurable only in degenerate cases. Yet in Monte Carlo simulation, the average of a large finite draw of the random variables converges almost surely. Several necessary and sufficient conditions for such “Monte Carlo convergence” are given. Also, conditioned on the associated Monte Carlo <InlineEquation ID="Equ1"> <EquationSource Format="TEX"><![CDATA[$ \sigma $]]></EquationSource> </InlineEquation>-algebra, which represents macroeconomic risk, individual agents' random shocks are independent. Furthermore, a converse to one version of the classical law of large numbers is proved. Copyright Springer-Verlag Berlin Heidelberg 2003