The International ERM Glossary is intended to provide users with a set of definitions that are in common usage around the world by actuaries, regulators and members of the insurance industry. The purpose in developing the glossary is to help provide a common understanding of the terms currently in use, as definitions and meanings have varied over time, and among practitioners. It can also be used as a training and educational tool for regulators.

The glossary can be consulted per letter, organization or grouping.

**DISCLAIMER:** The content of the International ERM Glossary has been compiled by the Joint ORSA Subcommittee of the Insurance Regulation Committee and the Enterprise and Financial Risk Committee of the IAA. This information has been collated and presented for educational and informational purposes to the members of the IAA and interested parties. The IAA assumes no responsibility for the accuracy, completeness, currency, reliability of the information in the International ERM Glossary or access to any information contained on any of the sources cited in the Glossary. The IAA, its employees and officers shall not be liable for any loss or damage, direct or indirect, which may arise or occur as a result of the use of or reliance upon any of the material in the International ERM Glossary.

Term | Grouping | Organization or Jurisdiction Defining Term | Source of Definition | Definition |
---|---|---|---|---|

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. |

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. |

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). |

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. |

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. |