Fall 2019 # 17 a)

mandatory_coveragesmandatory_coverages
in OSFI.Eqk

Why for PML 500 did we chose the 99.8 percentile?

Comments

  • Staff-TSStaff-TS
    • A 0.998 percentile means there's a 0.2% chance that the loss will exceed that value.
    • A 1-in-500 PML means you're looking for the loss level that is only exceeded once every 500 years (or 1 out of 500 events).

    1− (1/Return Period) = 0.998

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