An agent facing uncertain losses over a finite period aims to optimize a mean‑variance criterion with multiple loss distribution models through risk sharing. Adapting Maccheroni et al.'s (2009) monotone mean‑variance preferences, the study constructs a criterion for multiple models, using dual representation to ensure time‑consistency. Assuming a Cramér‑Lundberg loss model, the optimal risk‑sharing contract and wealth process are characterized, with the strategy proven admissible and the value function verified. Applied to a Spanish automobile insurance portfolio, the strategy uses cross‑validation to derive models, with numerical results illustrating the outcomes.