Conditional tail expectation (CTE) definition
Conditional tail expectation (CTE) means a statistical risk measure that is calculated as the average of all modeled outcomes (ranked from lowest to highest) at percentiles above the percentile corresponding to the CTE level. The CTE measure provides enhanced information about the tail of a distribution compared to that provided by the order statistics (percentiles). For example, CTE 65 averages all modeled outcomes at percentiles above the 65th percentile.
Conditional tail expectation (CTE) means a calculation of the average amount of total assets required to satisfy obligations over the life of the contract or policy in the worst x% of scenarios. Represented as CTE (100 less x). Example: CTE95 represents the worst five percent of scenarios.