Some remarks on the effect of risk sharing and diversification for infinite mean risks

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<dc:creator>Müller, Alfred</dc:creator>
<dc:creator>International Actuarial Association</dc:creator>
<dc:date>2025-09-15</dc:date>
<dc:description xml:lang="es">Sumario: Risk 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</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/189421.do</dc:identifier>
<dc:language>eng</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Distribución de riesgos</dc:subject>
<dc:subject xml:lang="es">Riesgos catastróficos</dc:subject>
<dc:subject xml:lang="es">Diversificación de los riesgos</dc:subject>
<dc:subject xml:lang="es">Mercado de seguros</dc:subject>
<dc:subject xml:lang="es">Cálculo actuarial</dc:subject>
<dc:subject xml:lang="es">Modelos matemáticos</dc:subject>
<dc:subject xml:lang="es">Estadística matemática</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Some remarks on the effect of risk sharing and diversification for infinite mean risks</dc:title>
<dc:relation xml:lang="es">En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 15/09/2025 Volume 55 Issue 3 - September 2025 , p. 747 - 756</dc:relation>
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