A curve giving the annual probability that the year's largest single event exceeds a given amount.
An occurrence exceedance probability curve associates with each loss amount the probability that at least one event in the year exceeds it. It is the catastrophe model output most used to size a non-proportional reinsurance program, since per occurrence layers respond to exactly that quantity. The loss at a given return period is read directly from it: the amount exceeded one year in two hundred corresponds to the 0.5 percent quantile. The problem it solves is sizing the top of a program: the question is not what an average year costs, but how far protection must reach, and only an exceedance curve answers it. It differs from the aggregate curve, which addresses the annual accumulation rather than the single worst event, and the two must never be confused: on a frequency-exposed portfolio the aggregate curve gives amounts far above the occurrence curve at the same return period.
A model produces for a French cedant in 2026 an occurrence exceedance curve giving 118 million euros at one hundred years, 172 million at two hundred years and 241 million at five hundred years. The cedant sets its program top at 180 million, a little above the two hundred year return period its prudential framework requires, and buys a separate aggregate cover for frequency.
OEP curve, Courbe OEP, Occurrence exceedance probability, Courbe de dépassement événementielle