It's positive sum with respect to utility, not money. Because utility increases less-than-linearly with money, a 10X loss is more than ten times as bad as a loss of X. So a guaranteed loss of X is better than a 1/10 chance of a loss of 10X. It may even be better than a loss of 9X, and since the insureds are paying 10X in the aggregate, you have a margin to cover overhead.