| Conditional Tail Expectation or Tail VaR (Tail Value at Risk) | Methods | IAIS | IAIS Supervisory Material | Value at Risk (VaR) plus the average excess over the VaR if such excess occurs over a specified amount of time. | C |
| Conditional Tail Expectation or Tail VaR (Tail Value at Risk) | Methods | International Actuarial Association | IAA - Acturial Aspects of ERM for Insurance Companies | Conditional Tail Expectation or "CTE" or Tail Value at Risk ("TVaR") is the mean of the distribution above a certain percentile or confidence level (a) or in other words, the expected value of a loss given that the loss is above a specified threshold, which is defined according to a specified percentile value a. This risk measure has many other names including Tail Value at Risk, Tail Conditional Expectation and Expected Shortfall. | C |
| Conditional Tail Expectation or Tail VaR (Tail Value at Risk) | Methods | International Risk Management Institute | IRMI Terms | An economic cost of ruin (ECOR)-like measure in the sense that both the probability and the cost of "tail events" are considered; the calculation differs from ECOR in such a way that it has a desirable statistical property (i.e., coherence). | C |
| Conditional Tail Expectation or Tail VaR (Tail Value at Risk) | Methods | The European Economic Area | CEA Solvency II | A coherent risk measure. For a given confidence level 1-a it measures the average losses over the defined threshold (typically set as the VaR for a given quantile), i.e. the conditioned mean value, given that the loss exceeds the 1-a percentile. | C |
| Conditional Tail Expectation or Tail VaR (Tail Value at Risk) | Methods | United States | NAIC ORSA MANUAL | A measure of the amount of risk that exists in the tail of a distribution of outcomes, expressed as the probability weighted average of the outcomes beyond a chosen point in the distribution. | C |