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

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

No 2025023, LIDAM Reprints 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: 13
Date: 2025-12-25
Note: In: Insurance Mathematics and Economics, 2026, vol. 126, 103195
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Persistent link: https://EconPapers.repec.org/RePEc:aiz:louvar:2025023

DOI: 10.1016/j.insmatheco.2025.103195

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