IDEAS home Printed from https://ideas.repec.org/a/bpj/apjrin/v18y2024i1p87-114n1.html
   My bibliography  Save this article

Assessing the Impact of Climate Risk Stresses on Life Insurance Portfolios

Author

Listed:
  • Dong Michelle
  • Bruhn Aaron
  • Hui Francis

    (Research School of Finance, Actuarial Studies and Statistics, Australian National University, Canberra, Australia)

  • Shang Han Lin

    (Department of Actuarial Studies and Business Analytics, Macquarie University, Sydney, Australia)

Abstract

Understanding climate-related risks and stresses is an emerging area of interest for life insurers globally. However, there are complexities in quantifying climate risk stress impacts due to the long-term nature of these risks, and the interactions between physical and transition risks over time. In this paper, we build on understanding the financial impacts of climate risk stresses for life insurers in Australia, by identifying key climate-related mortality risks, and quantifying these by applying short- and long-term stresses from existing literature to two synthetic life insurers. We perform sensitivity tests to demonstrate the variability and range of plausible results. Overall, results show that the expected financial impacts from short-term events in isolation are small relative to expected long-term changes in mortality. Furthermore, the value of a mortality hedge is even more apparent given the increased mortality risk for yearly renewable-term insurers in the short to medium term.

Suggested Citation

  • Dong Michelle & Bruhn Aaron & Hui Francis & Shang Han Lin, 2024. "Assessing the Impact of Climate Risk Stresses on Life Insurance Portfolios," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 18(1), pages 87-114, January.
    • Handle: RePEc:bpj:apjrin:v:18:y:2024:i:1:p:87-114:n:1
    DOI: 10.1515/apjri-2023-0010
    as

    Download full text from publisher

    File URL: https://doi.org/10.1515/apjri-2023-0010
    Download Restriction: For access to full text, subscription to the journal or payment for the individual article is required.
    File URL: https://libkey.io/10.1515/apjri-2023-0010?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bpj:apjrin:v:18:y:2024:i:1:p:87-114:n:1. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Peter Golla (email available below). General contact details of provider: https://www.degruyter.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.