Risk metric functions

losses_by_period

Arguments: [losses: List[Floating], return-periods: List[Floating], investigation-time: Integer, options: {mode=>WithinSet(type=Text, allowed=[percentile, ranked_closest])}]

Returns: List[Floating]

Calculates loss metrics, such as Probable Maximum Loss, Occurrence Exceedance Probability, or Aggregate Exceedance Probability for specific return periods. (beta)

The default mode is percentile. In this mode losses are interpolated using a percentile based approach where the percentile is (1 - 1/RP) * 100.

With the ranked_closest mode each loss is assigned an RP. Then the loss closest to the desired RP is returned. If there are not enough event losses for the requested return period, then zero is returned for the event loss.

The investigation-time argument specifies the effective time period that the losses cover. E.g. losses_by_period(losses, [1000, 250, 100, 50], investigation-time: 10000) as PML calculates metrics for a 10,000 year period. The first requested return-period (1000) corresponds to the 10th largest loss (i.e. a 10 in 10000-year event)