Insurance calculators
Catastrophe return periods
Convert return periods to exceedance probabilities, the probability of at least one event in n years, and PML and average annual loss from an exceedance probability curve.
Inputs
Results
Annual exceedance probability
0.500%
At least one in 10 years
4.89%
PML 1 in 200
370.00
Average annual loss
30.95
Lower bound: flat beyond the last point
Loss by return period
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Methodology
Conventions
- A return period T years means an annual exceedance probability of 1/T. Years are treated as independent.
- Between points of an EP curve, losses are interpolated linearly in log return period. The average annual loss is the area under the curve; beyond the last point the loss is held flat, so the AAL is a lower bound.
References
- Grossi and Kunreuther, Catastrophe Modeling: A New Approach to Managing Risk.
Formulas
- Exceedance probability
- p = 1/T
- At least one in n years
- 1 - (1 - 1/T)^n
- Average annual loss
- AAL = \int_0^1 L(p)\,dp