Climate Change: What Does it Mean to Life, Health and Non-Life Insurers? Part I
Life In this session, we examine the impact of climate change on life insurance businesses. On the asset side, we discuss how to “take the temperature” of the asset portfolio and hence measure which global warming scenario the portfolio is aligned with. On the liability side, we focus on the mortality risk. We apply multivariate extreme value theory in order to estimate the tail dependency between a climate variable such as temperature and the death count. Subsequently, we discuss how these results can be applied within a long-term projection in an actuarial model.