Event loss table (ELT)
A catastrophe model output listing, for each simulated event that touches a portfolio, its annual rate and the loss it causes there.
The event loss table is the most compact form of a catastrophe model's output. It carries one row per event in the catalog that touches the portfolio, with its annual rate of occurrence, the mean loss it would cause and the standard deviations representing the uncertainty on that damage. Assuming events occur as an independent Poisson process, one derives directly the average annual loss, the sum of rates multiplied by losses, and the occurrence and aggregate exceedance curves. It is the format cedant, broker and reinsurer commonly exchange to price a per-event layer. Its limit is that it ignores the order and accumulation of events within a year: aggregate contracts, reinstatements or seasonality call for the year loss table.
A 40,000-row table contains event 1287, an earthquake with an annual rate of 0.0004 that would cause the portfolio a mean loss of 85 million euros. Its contribution to the average annual loss is 0.0004 times 85 million, or 34,000 euros: a very rare event weighs little in the mean and heavily in the tail.
ELT, event loss table
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