Hi In cat model result, is the reciprocal of return period, the frequency?? I thought it's the exceedence probability.
In general it's frequency. An event with a return period of 100 years has an annual frequency of 0.01. So for example, an earthquake in a relatively undeveloped and uninsured part of the world might have a return period of 100 years whereas an earthquake in a relatively developed and well-insured area might have a return period of 50 years. Despite the fact that the latter is likely to be more costly to the insurer it has a lower return period and higher frequency. The reason it can sometimes look like an exceedance probability is as follows. Suppose you are looking at an AEP curve, which as you know gives the probability of the total losses in a given time period - let's say a year - exceeding a given amount. Suppose that the event that we lose £100m or more in a year has a probability of 1%. It therefore also has an annual frequency of 1% and a return period of 100 years. So return period is the reciprocal of frequency, but in certain contexts frequency and exceedance probability are the same.
