No-sabotage under conditional mean risk sharing of dependent-by-mixture insurance losses

Michel Denuit (), Patricia Ortega-Jimenez () and Christian Y. Robert ()
Additional contact information
Michel Denuit: Université catholique de Louvain, LIDAM/ISBA, Belgium
Patricia Ortega-Jimenez: Université catholique de Louvain, LIDAM/ISBA, Belgium

No 2024019, LIDAM Discussion Papers ISBA from Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)

Abstract: Conditional mean risk sharing defines an allocation rule to distribute total losses among participants in an insurance pool. Under this risk-sharing scheme, the no-sabotage condition holds when conditional expectations of individual losses given their sum are comonotonic. This property has been widely studied considering independent risks, often assuming that they possess log-concave densities. This paper considers the no-sabotage condition for dependent-by-mixture risks which do not necessarily obey log-concave distributions. Sufficient conditions derived from three different approaches are proposed in order to fulfill the no-sabotage requirement. Several examples are given to illustrate the applicability of the results.

Keywords: Conditional mean risk sharing; no-sabotage condition; conditional independence; Efron’s monotonicity (search for similar items in EconPapers)
Pages: 26
Date: 2024-07-10
New Economics Papers: this item is included in nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://dial.uclouvain.be/pr/boreal/en/object/bore ... tastream/PDF_01/view (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:aiz:louvad:2024019

Access Statistics for this paper

More papers in LIDAM Discussion Papers ISBA from Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) Voie du Roman Pays 20, 1348 Louvain-la-Neuve (Belgium). Contact information at EDIRC.
Bibliographic data for series maintained by Nadja Peiffer ().