In cases where the event of interest is very different from existing experience, there may be no relevant guide in the past data.
Nassim Nicholas Taleb argues in his black swan theory that the frequency and impact of totally unexpected events is generally underestimated.
The international compliance regime for banks, Basel II, requires that such risks be quantified using a mixture of statistical theory, such as extreme value theory, and scenario analysis conducted by internal committees of experts.
Negotiations between the parties result in a system that combines quantitative methods with informed and scrutinized expert opinion.
This gives the potential to avoid as far as possible the problems caused by the paucity of data and the bias of pure expert opinion.