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

Denuit, Michel;Ortega Jiménez, Patricia;Robert, Christian Y.
(2026) Insurance: Mathematics and Economics — Vol. 126, p. 103195 (2026)

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Authors
  • Denuit, MichelUCLouvain
    Author
  • Ortega Jiménez, PatriciaUCLouvain
    Author
  • Robert, Christian Y.
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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.
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Denuit, M., Ortega Jiménez, P., & Robert, C. Y. (2026). No-sabotage under conditional mean risk sharing of dependent-by-mixture insurance losses. Insurance: Mathematics and Economics, 126, 103195. https://doi.org/10.1016/j.insmatheco.2025.103195 (Original work published 2026)