A probabilistic risk assessment to estimate the economic impact on wind turbine towers subjected to cyclone-induced wind loads is applied. An event-based probabilistic framework is used to assess the risk parameters for selected hazard events. The results are integrated considering all uncertainties related to each part of the process in a probabilistic formal way. The hazard is defined by a set of nonoverlapping stochastic events that exhaust the considered sample space, including the spatial distribution, the annual frequency, and the randomness of the hazard intensity. The vulnerability is defined in terms of the first and second statistical moments: the expected damage and its corresponding variance (or standard deviation) for a certain type of wind turbine towers. The vulnerability component of the model is an important contribution of the study; it uses a realistic modeling of the wind field, and instead of one (as in other studies), three failure modes are considered to characterize the vulnerability. The risk is expressed in economic terms, namely, the single-event expected loss, the average annual loss, the pure premium, and the loss exceedance curve. The approach is applied to a probabilistic tropical cyclone wind risk assessment on 3001 wind turbine towers from 65 wind farms in Mexico. It is concluded that the selected metrics are of especial importance for risk retention (financing), particularly if schemes or risk transfer instruments are to be defined, and therefore, they will be a very valuable contribution to further studies in defining strategies for financial protection of national infrastructure against wind disasters induced by cyclones.