Risk Assessment Calculator
Calculate Value at Risk (VaR), Conditional VaR, and risk metrics for actuarial risk assessment.
Inputs
Results
Value at Risk (VaR)
$420,125.00
≈ 10 Teslas
Conditional VaR (CVaR)
$513,998.65
≈ 12 Teslas
Risk Score
2.5 / 100
How to Use This Calculator
- Enter the frequency of potential adverse events per year.
- Input the average severity (cost) per event.
- Set the confidence level for tail risk analysis.
- Review the expected annual loss, standard deviation, and Value at Risk (VaR).
- Use the risk profile to set reserves, retentions, or reinsurance structures.
How the result changes with Worst Case Loss
| Worst Case Loss | Value at Risk (VaR) | Conditional VaR (CVaR) | Risk Score |
|---|---|---|---|
| $200,000.00 | $173,375.00 | $204,666.22 | 1 / 100 |
| $700,000.00 | $584,625.00 | $720,220.27 | 3.5 / 100 |
| $1,300,000.00 | $1,078,125.00 | $1,338,885.14 | 6.5 / 100 |
| $1,800,000.00 | $1,489,375.00 | $1,854,439.19 | 9 / 100 |
What each input means
- Exposure Amount
- Total exposure or portfolio value
- Probability of Loss
- Probability of loss occurring
- Expected Loss
- Mean expected loss amount
- Worst Case Loss
- Maximum possible loss
- Confidence Level
- Confidence level for VaR calculation
How this is calculated
Formula
VaR = μ + (z × σ)Worked example, using the default values
- Identify Input Parameters4 parametersExposure Amount = 1000000, Probability of Loss = 5, Expected Loss = 50000, Worst Case Loss = 500000 = 5 input(s) provided
- Calculate Value at RiskValue at Risk420125 = $420,125
- Calculate Conditional VaRConditional VaR513998.65 = $513,998.65
- Calculate Risk ScoreRisk Score2.5 = 2.5
- Calculate Expected Annual LossExpected Annual Loss2500 = $2,500
- Calculate Maximum Probable LossMaximum Probable Loss420125 = $420,125
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