Tail value at risk

The tail value at risk (TVAR) measures the average of all simulated losses from a percentile or return period on the loss distribution through the full "tail" of the loss distribution.

For example, the 100-year occurrence TVAR in a 10,000-year analysis would be calculated by taking the average of the 100-year occurrence event loss and all annual occurrence event losses through the 10,000-year return period.