On the existence of extreme coherent distributions with no atoms

Abstract

The paper is devoted to the study of extremal points of $\mathcal{C}$, the family of all two-variate coherent distributions on $[0,1]^2$. It is well-known that the set $\mathcal{C}$ is convex and weak$^*$ compact, and all extreme points of $\mathcal{C}$ must be supported on sets of Lebesgue measure zero. Conversely, examples of extreme coherent measures, with a finite or countable infinite number of atoms, have been successfully constructed in the literature. The main purpose of this article is to bridge the natural gap between those two results: we provide an example of extreme coherent distribution with an uncountable support and with no atoms. Our argument is based on classical tools and ideas from the dynamical systems theory. This unexpected connection can be regarded as an independent contribution of the paper.