Nicolas Zec

Allianz

Actuary

20 place de Seine

Courbevoie, 92400

France

SCHOLARLY PAPERS

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Scholarly Papers (1)

1.
Downloads 404 (72,028)

Abstract:

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Value at Risk (VaR), Tail Value at Risk (TVaR), Coherent measure of risk, Coherent allocation of capital, Economic risk capital, Solvency II, Internal Capital Assessment (ICA), Internal model, Aumann-Shapley, Euler’s theorem