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Risk capital allocation and risk quantification in insurance companies

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Figure

Figure 1.1: Value at Risk and Expected Shortfall under Loss Distribution model. Furman and Landsman (2005) provides the CTE formula for a multivariate gamma distribution
Table 4.2: Proportions of Contributions of Sub-Portfolios Under Different Allocation Methods for Model.1 at 95% Confidence Level.
Table 4.5: Proportions of Contributions of Sub-Portfolios Under Different Allocation Methods for Normal Model at 95% Confidence Level.
Table 4.7: Proportions of Contributions of the Sub-Portfolios Under Proportional Method for Different Risk Models at 95% Confidence Level
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