Hi Drew, tried this ........

  ALTER PROC MyTest1
  AS
 
  DECLARE
    @i INT = 1
   ,@IncidentValueRecordCount INT
   ,@NetLossesListPrev12Months [dbo].[Net Losses List]
   ,@NetLossesSumPrev12Months FLOAT
   
  SELECT @IncidentValueRecordCount = MAX([Record Loop ID])  FROM [dbo].[Mytable];

  WHILE @i <= @IncidentValueRecordCount

  BEGIN

    DELETE FROM @NetLossesListPrev12Months;

    INSERT INTO @NetLossesListPrev12Months

    SELECT
      A.[Net Losses]
    FROM
      [dbo].[Mytable] A
     ,(
        SELECT *
        FROM [dbo].[Mytable]
        WHERE [Record Loop ID] = @i
      ) B   
    WHERE A.[ADM_RISK_GRADING_ORG_UNIT_ID] = B.[ADM_RISK_GRADING_ORG_UNIT_ID]
      AND A.[ADM_EVENT_TYPE_ID] = B.[ADM_EVENT_TYPE_ID]
      AND A.[ADM_CAUSE_TYPE_ID] = B.[ADM_CAUSE_TYPE_ID]
      AND A.[Effect Date YYYYMM] >= B.[Effect Date YYYYMM] - 100
      AND A.[Effect Date YYYYMM] < B.[Effect Date YYYYMM];

   SET @i  = @i + 1;

   END

 --------------------------------------------------------------------

    SELECT
   A.[Record Loop ID],
   A.[Net Losses],
      sum(A.[Net Losses]) over (partition by A.[ADM_RISK_GRADING_ORG_UNIT_ID],A.[ADM_EVENT_TYPE_ID],A.[ADM_CAUSE_TYPE_ID] order by A.[Effect Date YYYYMM] rows between 12 preceding and 1 preceding) [Net Losses Prev 12 Months]
    INTO #A
 FROM [dbo].[Mytable] A

    SELECT
 [Record Loop ID],
 [Net Losses],
 [Net Losses Prev 12 Months],
        [Risk Grading] =
        CASE
          WHEN [Net Losses] = 0
    THEN NULL
          WHEN [Net Losses] <= [dbo].[Percentile](@NetLossesListPrev12Months, 0.2)
    THEN 1
          WHEN [Net Losses] <= [dbo].[Percentile](@NetLossesListPrev12Months, 0.4)
    THEN 2
          WHEN [Net Losses] <= [dbo].[Percentile](@NetLossesListPrev12Months, 0.6)    
    THEN 3
          WHEN [Net Losses] <= [dbo].[Percentile](@NetLossesListPrev12Months, 0.8)
    THEN 4
          ELSE 5
        END INTO #B
 FROM #A

 WHERE [Record Loop ID] between 109171 and 109182

 ORDER BY [Record Loop ID]

 ---------------------------------------------------

 UPDATE FROM [dbo].[Mytable] SET
      [Net Losses Prev 12 Months] = C.[Net Losses Prev 12 Months]
     ,[Risk Grading] = C.[Risk Grading]
 
  FROM #B C
  JOIN FROM [dbo].[Mytable] D on D.[Record Loop ID] = C.[Record Loop ID]