Swiss Re Insurance-Linked Fund Management

Original Risk: A Society for Change Agents

Expected Loss


The expected loss is the average loss catastrophe 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.

Expected loss is often used to cite the perceived riskiness of a catastrophe bond transaction, however it does not always capture all of the underlying risk factors related to terms and conditions and is really just a modelled interpretation of the probability of a loss occurring.

For investors though, the multiple of expected loss to coupon interest rate paid can be a useful, albeit simple, metric that implies how well a catastrophe bond is paying comparatively to other similar transactions.

Artemis Live - ILS and reinsurance video interviews and podcastView all of our Artemis Live video interviews and subscribe to our podcast.

All of our Artemis Live insurance-linked securities (ILS), catastrophe bonds and reinsurance video content and video interviews can be accessed online.

Our Artemis Live podcast can be subscribed to using the typical podcast services providers, including Apple, Google, Spotify and more.

Print Friendly, PDF & Email