economic cost of ruin (ECOR)
An enhancement to the probability of ruin concept (and thus shortfall risk)
in which the severity of ruin is also reflected. Technically, it is the expected
value of the shortfall. In an analogy to bond rating, it is comparable to considering
the salvage value of a bond in addition to the probability of default. For insurance
companies, the equivalent term is expected policyholder deficit (EPD), and represents
the expected shortage in the funds due to policyholders in the event of liquidation.