Actuarial Outpost
 
Go Back   Actuarial Outpost > Exams - Please Limit Discussion to Exam-Related Topics > SoA > Modules 6-8
FlashChat Actuarial Discussion Preliminary Exams CAS/SOA Exams Cyberchat Around the World Suggestions


Reply
 
Thread Tools Search this Thread Display Modes
  #1  
Old 11-08-2019, 07:23 AM
briarbunny briarbunny is offline
SOA
 
Join Date: Apr 2015
Posts: 25
Default VaR and CTE

Am I interpreting this correctly regarding the results for CDEF?

VaR(95) = the cost per employed needed to cover 95% of the scenarios
CTE(95) = the average cost per employed needed to cover the 5% worst case scenarios

Last edited by briarbunny; 11-08-2019 at 08:01 AM..
Reply With Quote
  #2  
Old 11-08-2019, 11:41 AM
ARodOmaha ARodOmaha is online now
Member
SOA
 
Join Date: May 2016
Location: Omaha, NE
Studying for GHDP
College: University of Nebraska (alma mater)
Favorite beer: Captain Morgan
Posts: 214
Default

Quote:
Originally Posted by briarbunny View Post
Am I interpreting this correctly regarding the results for CDEF?

VaR(95) = the cost per employed needed to cover 95% of the scenarios
CTE(95) = the average cost per employed needed to cover the 5% worst case scenarios
Yes. Personally I used the 90th percentile so I could argue I'm balancing the funding needs with the needs of tax-payers.
__________________
ASA
Reply With Quote
Reply

Tags
final assessment, var vs cte

Thread Tools Search this Thread
Search this Thread:

Advanced Search
Display Modes

Posting Rules
You may not post new threads
You may not post replies
You may not post attachments
You may not edit your posts

BB code is On
Smilies are On
[IMG] code is On
HTML code is Off


All times are GMT -4. The time now is 02:14 PM.


Powered by vBulletin®
Copyright ©2000 - 2020, Jelsoft Enterprises Ltd.
*PLEASE NOTE: Posts are not checked for accuracy, and do not
represent the views of the Actuarial Outpost or its sponsors.
Page generated in 0.14493 seconds with 11 queries