This paper aims to provide a calibration of catastrophe risk at the 99.5% VaR for undertakings that are exposed to extreme or exceptional events. The CTF has aimed to provide an appropriate and unbiased calibration based on the L1 Directive text and information that has been selected considering the views and expert opinions of the members of the task force. The analysis is subject to limitations and those have been covered in section 2.
Source
CEIOPS
Length of Resource
108
Resource File
Date Published
Publication Type
paper
Resource Type
commercial