Expected Loss

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The expected loss is the average loss cat bond investors can expect to transpire over a certain period, divided by the capital sum invested. In relation to cat bonds the expected loss is typically calculated by a third-party risk modelling entity, this includes RMS, AIR Worldwide, EQECAT, Milliman, and KatRisk.

Leveraging data from the Artemis Deal Directory, Artemis tracks the volume of outstanding catastrophe bond and insurance-linked securities (ILS) risk capital by expected loss.

 

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