Risk Modelling glossary

What is a Return Period?

The average recurrence interval of a loss of a given magnitude. A 1-in-100 year event has a 1% annual probability.

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Definition

Return Period

The average recurrence interval of a loss of a given magnitude. A 1-in-100 year event has a 1% annual probability.

Related terms

Related glossary entries

Catastrophe ModelRisk Modelling Loss Exceedance CurveRisk Modelling Hazard ModuleRisk Modelling Probable Maximum Loss (PML)Risk Modelling Vulnerability ModuleRisk Modelling Wang TransformRisk Modelling

Full glossary — 91 terms

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A B C D E G H I L M N O P R S T V W Z

A

Aggregation RiskCyber ARC (African Risk Capacity)ILS AT1 (Additional Tier 1)Credit Attachment PointILS

B

Basis RiskILS Binary TriggerILS

C

Calculation AgentILS Cat BondILS Catastrophe ModelRisk Modelling CCRIF (Caribbean Catastrophe Risk Insurance Facility)ILS CedantReinsurance CoCo (Contingent Convertible)Credit CollateralILS Collateralised ReinsuranceILS Conditional Expected Loss (CEL)ILS CorrelationILS CouponILS Coupon DeferralCredit Cyber Cat BondCyber

D

DDoS AttackCyber DiversificationILS Due DiligenceILS

E

ESGILS Exhaustion PointILS Expected Loss (EL)ILS Expense LoadILS ExposureGeneral Insurance Extension RiskILS

G

GDPRCyber Green Cat BondILS

H

Hazard ModuleRisk Modelling HIM SeasonILS Hybrid CapitalCredit

I

IBRD (International Bank for Reconstruction and Development)ILS ILW (Industry Loss Warranty)Reinsurance Indemnity TriggerILS Industry Loss Index TriggerILS

L

Loss Exceedance CurveRisk Modelling

M

Mark-to-MarketILS Mark-to-ModelILS MaturityILS MEL (Multiple of Expected Loss)ILS Modelled Loss TriggerILS Moral HazardGeneral Insurance

N

Net Risk Multiple (NRM)ILS New Issue ConcessionILS NIST CSFCyber NotchingCredit

O

OAS (Option-Adjusted Spread)Credit Offering CircularILS

P

Parametric TriggerILS PCS (Property Claims Services)ILS Peak PerilILS PerilGeneral Insurance PERILS AGILS PremiumGeneral Insurance Probability of First Loss (PFL)ILS Probable Maximum Loss (PML)Risk Modelling Proportional PayoutILS

R

RansomwareCyber Reg SILS ReinsuranceReinsurance Resilience BondILS RetrocessionReinsurance Return PeriodRisk Modelling Risk LoadILS Risk-Free RateCredit RoadshowILS RT1 (Restricted Tier 1)Credit Rule 144AILS

S

SCR (Solvency Capital Requirement)General Insurance SeasonalityILS Secondary MarketILS Sharpe RatioILS SidecarILS Silent CyberCyber SOFRILS Solvency IIGeneral Insurance Special Purpose Vehicle (SPV)ILS SpreadILS Structuring AgentILS Subordinated DebtCredit Supply Chain AttackCyber

T

Tier 2 CapitalCredit Total Return SwapILS TrancheILS

V

Vulnerability ModuleRisk Modelling

W

Wang TransformRisk Modelling War ExclusionCyber Write-DownCredit

Z

Z-SpreadCredit

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