The investigation of risk due to weather and climate events is an example of policy relevant science. Risk is the result of complex interactions between the physical environment (geophysical events or conditions, including but not limited to weather and climate events) and societal factors (vulnerability and exposure). The societal impact of two similar meteorological events at different times or different locations may therefore vary widely. Despite the complex relation between meteorological conditions and impacts, most meteorological research is focused on the occurrence or severity of extreme meteorological events, and climate impact research often undersamples climatological natural variability. Here we argue that an approach of ensemble climate-impact modelling is required to adequately investigate the relationship between meteorology and extreme impact events. We demonstrate that extreme weather conditions do not always lead to extreme impacts; in contrast, extreme impacts may result from (coinciding) moderate weather conditions. Explicit modelling of climate impacts, using the complete distribution of weather realisations, is thus necessary to ensure that the most extreme impact events are identified. The approach allows for the investigation of high-impact meteorological conditions and provides higher accuracy for consequent estimates of risk.