The aim of this paper is to tackle part of the program set by Diekmann et al. in their seminal paper Diekmann et al. (2001). We quote It remains to investigate whether, and in what sense, the nonlinear determin-istic model formulation is the limit of a stochastic model for initial population size tending to infinity We set a precise and general framework for a stochastic individual based model : it is a piecewise deterministic Markov process defined on the set of finite measures. We then establish a law of large numbers under conditions easy to verify. Finally we show how this applies to old and new examples.