Some remarks on the effect of risk sharing and diversification for infinite mean risks
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| 001 | MAP20260001937 | ||
| 003 | MAP | ||
| 005 | 20260202114506.0 | ||
| 008 | 260202e20250915bel|||p |0|||b|eng d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 100 | $0MAPA20080109554$aMüller, Alfred | ||
| 245 | 1 | 0 | $aSome remarks on the effect of risk sharing and diversification for infinite mean risks$cAlfred Müller |
| 520 | $aRisk sharing is typically beneficial in insurance, but this can fail for heavy-tailed risks with infinite mean. In such cases, diversification may worsen outcomes a phenomenon known as the nondiversification trap, previously shown for stable, Pareto and Fréchet distributions. This paper demonstrates that the effect arises for any distribution more skewed than a Cauchy distribution and connects it to catastrophic risks with a positive probability of infinite loss, offering intuitive insight into why diversification can be harmful. Several open problems and conjectures related to these findings are also discussed | ||
| 650 | 4 | $0MAPA20080610319$aDistribución de riesgos | |
| 650 | 4 | $0MAPA20260001562$aRiesgos catastróficos | |
| 650 | 4 | $0MAPA20080625542$aDiversificación de los riesgos | |
| 650 | 4 | $0MAPA20080586294$aMercado de seguros | |
| 650 | 4 | $0MAPA20080579258$aCálculo actuarial | |
| 650 | 4 | $0MAPA20080592042$aModelos matemáticos | |
| 650 | 4 | $0MAPA20090033023$aEstadística matemática | |
| 710 | 2 | $0MAPA20100017661$aInternational Actuarial Association | |
| 773 | 0 | $wMAP20077000420$g15/09/2025 Volume 55 Issue 3 - September 2025 , p. 747 - 756$x0515-0361$tAstin bulletin$dBelgium : ASTIN and AFIR Sections of the International Actuarial Association |