Simple Practical Estimation of Sub-Portfolio Catastrophe Loss Exceedance Curves with Limited Information

A very simple method is shown for the estimation of the catastrophe loss exceedance curve of a sub-portfolio, when information available is limited to a total portfolio catastrophe loss exceedance curve, and just enough information about the sub-portfolio to make reasonable selections for two parameters: relative frequency and relative severity. Practical examples are shown in the contexts of exposure rating catastrophe excess reinsurance, catastrophe risk based capital requirements, and catastrophe deductible credits. The relationship of relative frequency and relative severity to the concentration diversification structure of sub-portfolios is described.