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

Author

Listed:
  • Denuit, Michel

    (Université catholique de Louvain, LIDAM/ISBA, Belgium)

  • Ortega-Jimenez, Patricia

    (Université catholique de Louvain, LIDAM/ISBA, Belgium)

  • 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., 2025. "No-sabotage under conditional mean risk sharing of dependent-by-mixture insurance losses," LIDAM Reprints ISBA 2025023, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvar:2025023
    DOI: https://doi.org/10.1016/j.insmatheco.2025.103195
    Note: In: Insurance Mathematics and Economics, 2026, vol. 126, 103195
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