A Laplace-based perspective on conditional mean risk sharing

The conditional mean risk-sharing (CMRS) rule is an important tool for distributing aggregate losses across individual risks, but its implementation in continuous multivariate models typically requires complicated multidimensional integrals. We develop a framework to compute CMRS allocations from the joint Laplace–Stieltjes transform of the risk vector. The LSTs of the allocation measures ${\nu }_i(B)=\mathbb{E}[X_i{\mathbf{1}}_{\{S\in B\}}]$ are expressed as partial derivatives of the joint LST evaluated on the diagonal $t_1=\cdots =t_n$. When densities exist, this yields one-dimensional Laplace inversions for $f_S$ and ${\xi }_i$, and hence $h_i(s)={\xi }_i(s)\mathrm{/}{f}_S(s)$ on the absolutely continuous part, providing closed-form or semi-analytic solutions for a broad class of distributions. We also develop numerical inversion methods for cases where analytic inversion is unavailable. We introduce an exponential tilting procedure to stabilize numerical inversion in low-probability aggregate events. We provide several examples to illustrate the approach, including in some high-dimensional settings where existing approaches are infeasible.