Yes, using VaR as the risk measure for all risks just ensures you are using the same methodology for all risks. You can then compare the impacts of different risks to budget, rank the risks, etc. In other words, for budgeting purposes, you wouldnâ€™t want a bunch of different metrics being used for different risks because youâ€™d have a hard time determining which are the most severe risks.

For the calculation: I think the key formula to look at is the Rs = Î”S/A

The volatility of the Surplus return is 9% (given in article). Therefore, at the 99% level, VaR = 0.09 x 2.33 = 0.20 (as in paper -> 2.33 is not the exact z value). This is the VaR for the surplus return, or Rs. Therefore, the VaR for Î”S is VaR(Rs) x A = 0.20 x 1000M = 220M. So this 220M VaR amount now refers to the value of the Î”S at the worst 1% of event.

Now, the expected surplus is 150M, we know that at the 99% level, the change in surplus could change by 220M. Therefore, the worst 1% value of the surplus in a year would be 150M-220M=-70M