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

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  • Denuit, Michel
  • Ortega-Jimenez, Patricia
  • Robert, Christian Y.

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.

Suggested Citation

  • Denuit, Michel & Ortega-Jimenez, Patricia & Robert, Christian Y., 2026. "No-sabotage under conditional mean risk sharing of dependent-by-mixture insurance losses," Insurance: Mathematics and Economics, Elsevier, vol. 126(C).
    • Handle: RePEc:eee:insuma:v:126:y:2026:i:c:s0167668725001416
    DOI: 10.1016/j.insmatheco.2025.103195
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