There are two major techniques of terminating the screen on a screened cable.
One way is to clamp around the exposed screen and cable providing a 360 degree connection to the screen using a metalic clamp or an EMC screened gland. This provides a large surface area connection to the earth or chassis of the equipment.
The alternative is to terminate the screen to a standard circular cable and connect this to a ground or chassis connection. This can also be achieved by peeling the screen off the cable and twisting it together and sleeving it to make it into a standard conductor.
The smaller conductor is known as a pigtail connection and has a much lower surface area than the screen and so exhibits a much higher impedance at the high frequency than the screen.