Ruffling Feathers: An appraisal of tail flood losses using grey swan scenarios in London, UK

In May, colleagues from JBA Risk Management presented several abstracts at the EGU General Assembly 2022. This year was a fully hybrid meeting with 7,315 colleagues from 89 countries on-site in Vienna and accompanied by 7,002 virtual attendees from 116 countries, bringing together academic and industry research and providing a fantastic opportunity for networking and collaboration.

One session we presented at was “CL3.2.8: Understanding and quantifying low-likelihood weather and climate extremes”. This session aims to bring together communities from weather prediction, climate projection, and hydrology to discuss impact and risk management, and to learn about the variety of methods available to understand and quantify low-likelihood extreme events in the present and future climate.

As the first time this session has been run at EGU, it proved to be highly popular: seats were completely filled and people lined the walls to join in the session, and that’s not counting the online attendees too!

JBA’s abstract, prepared by myself and Philip Oldham, presented a case study on grey swan scenarios in London using our UK Flood Model.

A grey swan scenario can be considered as a high-impact, low-frequency event where the possible occurrence may be estimated beforehand but the probability is considered small, unlike a black swan event which is considered to be an impossibly difficult event to predict.

Catastrophe models and financial loss

Catastrophe modelling is an essential tool for effective risk management because it allows us to overcome the limitations of a fixed historical dataset by extrapolating based on scientifically-justified statistical and physical principles - read more in our previous blog.

At a high level, flood catastrophe models comprise exposure, hazard, and vulnerability to probabilistically model loss from correlated river, surface water and coastal flooding and generate a view of flood risk losses associated with extreme flood events.


Grey swan scenarios: a case study

The Thames Barrier in London has high levels of redundancy by design and it is generally considered implausible that the barrier would completely fail to operate, alongside other flood defences in the city.

But what if they did?

We’ve added the grey swan scenarios below to our latest probabilistic UK Flood Model, analysing flooding in London as a consequence of the Thames Barrier and other defences across London failing.

In all scenarios we assume a 1-in-250-year water level from coastal flooding, well within the current standard of protection offered by defences through the city. These scenarios are modelled using a coupled 1D-2D hydraulic model where:

  1. The Thames Barrier is open but the river defences remain intact with only overtopping occurring
  2. The Thames Barrier is open and defences are breached upstream of the barrier
  3. A worst-case scenario composite with upstream and downstream defence failure but with different barrier operations

Loss return periods

Event losses are produced for the three Thames Barrier scenarios in the UK Flood Model using JBA’s residential Market Portfolio, shown in Figures A and B.

Plotting the loss of each grey swan scenario against the Occurrence Exceedance Probability (OEP) curve from the stochastic event set analysis provides the wider context of the losses, allowing a loss return period to be estimated.

Particularly interesting to note is that if the barrier simply failed to close, which we are recognising as a highly implausible occurrence anyway, the upstream defences in London would mitigate most of the impacts, producing a loss return period of only 50 years (Figure A). Compared to flood events elsewhere in the country, this is a relatively small level of loss, especially when we consider that the typical concern of re/insurers is the 1-in-200-year loss return period.

However, the level of loss balloons towards the more extreme scenarios. If upstream defences were to breach, it could result in a loss return period of over 350 years (Figure A) with the most extreme scenario reaching a loss return period of almost 9,000 years (Figure B), which is truly catastrophic.

Figures A (left) and B (right): JBA’s UK Flood Model OEP curve from JBA’s UK residential Market Portfolio (with orange line representing mean, orange shading representing modelled uncertainty) compared against the three grey swan scenarios to estimate loss return periods. Note the OEP is the same in both graphs but Figure B’s larger x-axis highlights the most extreme scenario approaching a 10,000-year return period.

Why consider grey swan scenarios?

Deterministic events such as grey swan scenarios are useful for stress testing for the re/insurance industry. They help to not only manage an insurer’s own risk but also in meeting regulatory and capital requirements. They can also test the robustness of flood pool schemes and have application in cost-benefit assessments.

This case study also demonstrates the effectiveness of the stochastic event set in capturing extreme events beyond what has been observed, lengthening the record for improved loss estimation and risk management, because the magnitude of the Thames Barrier losses are captured in the modelled OEP curve.

How can JBA help?

We provide a consistent modelling architecture which allows both deterministic and stochastic events to be analysed consistently depending on the business need or question needing answering.

Some of the other scenarios already available in our UK Flood Model include:


  • Easter 1998
  • Autumn 2000
  • June and July 2007
  • Storm Xaver 2013
  • Thames Valley 2014
  • Storms Desmond, Eva and Frank 2015/2016
  • Storm Desmond 2015
  • Storms Eva and Frank 2015/2016
  • November 2019
  • Storms Ciara, Dennis and Jorge 2020
  • Storm Ciara 2020
  • Storms Dennis and Jorge 2020


  • 1953 Storm Surge
  • Lloyd’s of London Thames Flood RDS

We also offer a probabilistic flood model for every country in the world, underpinned by our flexible modelling technology. This means that as well as specific scenarios, we have the ability to analyse any flood event globally, including active events to estimate loss or aid with emergency response, with event response footprints being made available in our global flood modelling capability in due course.

If you would like to find out more about our flood modelling and how it can help you, get in touch with the team today.

So, to finish, we would pose the question to all users of catastrophe models: what grey swan scenario would be most useful to your business?

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