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Compare and contrast: VaR v. CTE

Insurance reserving in many countries looks at extreme scenarios over a single year.
Written by: Stephen RichardsTags: conditional tail expectation, SST, quantile, percentile

What — and when — is a 1:200 event?

The concept of a "one in two hundred" (1:200) event over a one-year time horizon is well established as a reserving standard for insurance in several territories: the ICA in the United Kingdom, the SST in Switzerland and the forthcoming Solvency II standard for the entire European Union. 
Written by: Stephen RichardsTags: Spanish influenza pandemic, mortality shocks, longevity shocks, Solvency II, ICA, SST, VaR, value-at-risk