Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/312447 
Year of Publication: 
2023
Citation: 
[Journal:] European Actuarial Journal [ISSN:] 2190-9741 [Volume:] 14 [Issue:] 1 [Publisher:] Springer [Place:] Berlin, Heidelberg [Year:] 2023 [Pages:] 1-19
Publisher: 
Springer, Berlin, Heidelberg
Abstract: 
The aim of this paper is to examine the impact of dependencies between climate transition and physical risks on the default probability and profitability of a non-life insurer focusing on the scenario of a delayed and sudden transition. Toward this end, we suggest a simplified modeling approach for scenario analyses for climate risks affecting assets and liabilities, taking into account potential nonlinear dependence structures. Our results show that dependencies on the liability side and between assets and liabilities in the context of physical-transition scenarios can have a significant impact, particularly on the default risk of a non-life insurer. We additionally analyze the mitigating effects of stop loss reinsurance and risk-adjusted pricing, which—if implementable—seem to be an effective risk management measure against physical climate risks in particular.
Subjects: 
Non-life insurance
Collective risk model
Climate risks
Nonlinear dependencies
Asset-liability management
JEL: 
C51
G22
G32
Q54
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
Document Version: 
Published Version

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