International ERM Glossary

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.


TermGroupingOrganization or Jurisdiction Defining TermSource of DefinitionDefinition
Value-at-Risk (see also TailVaR)MethodsIAISIAIS Supervisory MaterialAn estimate of the worst expected loss over a certain period of time at a given confidence level.V
Value-at-Risk (see also TailVaR)MethodsInternational Actuarial AssociationIAA - Acturial Aspects of ERM for Insurance CompaniesThe maximum loss that could occur with a specified probability over a given time horizon.V
Value-at-Risk (see also TailVaR)MethodsInternational Risk Management InstituteIRMI TermsThe worst loss expected over a target horizon within a given confidence interval.V
Value-at-Risk (see also TailVaR)MethodsThe European Economic AreaCEA Solvency IIValue-at-risk is a quantile of a distribution and used as a (non-coherent) risk measure.V
Value-at-Risk (see also TailVaR)MethodsThe European Economic AreaSolvency IIThe term is mentioned in the Directive, but has not been defined explicitly. Article 104.4 says: Each of the risk modules referred to in paragraph 1 shall be calibrated using a Value-at-Risk measure, with a 99,5 % confi­dence level, over a one-year period.V
Value-at-Risk (see also TailVaR)MethodsUnited StatesNAIC ORSA MANUALAn estimate of the maximum loss over a certain period of time at a given confidence level.V