Preventing and reducing loss and damage due to extreme events is an important topic for the international community, especially in the context of climate change negotiations and disaster risk reduction. The paper outlines the latest state-of-the-art approaches to assess loss and damage and the risk of loss and damage. Against this background, a more in-depth analysis is provided on how to assess the risk of loss and damage in different country groups (i.e., World Bank income groups) focusing on selected slow- and sudden-onset climate-related hazards using the concept of the WorldRiskIndex. The results underscore that the risks of loss and damage for low- and high-income countries are significantly different, but also that global risk patterns differ significantly regarding sudden-onset versus slow-onset hazards. In the first step of analysis, the results show that not only does exposure to extreme events influence the risk of loss and damage, but equally important are the vulnerability and adaptive capacities of societies. The second step of analysis shows that target-oriented adaptive strategies to the various impacts of climate-related hazards are crucial in reducing the respective risk of loss and damage.