Abstract. The phenomenon of wave set-up may substantially contribute to the formation of devastating coastal flooding in certain coastal sections. We study empirical probability distribution of the occurrence of different set-up heights in section of coastline near Tallinn in the Gulf of Finland, the eastern Baltic Sea. The shoreline in the study area is often attacked by high waves from various directions and also has a complex geometry. Shown is that this distribution substantially deviates from the Rayleigh or the Weibull distribution that usually reflect the distribution of different wave heights. The distribution of wave set-up heights matches a Wald (inverse Gaussian) distribution along the entire study area. Even though different sections of the study area are open to different directions and host substantially different wave regimes, the leading term of the exponent in the associated inverse Gaussian distribution varies insignificantly along the study area and generally is close to −1. This appearance signals that extreme set-up events are substantially more probable that it could be expected from the probability of occurrence of severe seas. This feature is invariant with respect to the orientation of the coastline and with respect to the properties of local wave climate.