2023-07-25-纽约联储-衡量保险公司的气候风险敞口_54页_2mb

Measuring the Climate Risk Exposure of Insurers
Key Points:

1. Introduction

• Objective: Assess climate risk exposure for property and casualty (P&C) and life insurers in the U.S., focusing on physical and transition risks.
• Climate Risks:
  • Physical Risk: Natural disasters impact operations (claims, premiums) and asset values.
  • Transition Risk: Stranded assets in fossil fuels due to policy shifts, affecting asset portfolios.
• Significance: Climate risks threaten financial stability; insurers' exposure is critical due to their role in financial systems.

2. Methodology

• Physical Risk Factors:
  • Constructed using P&C insurers' stock portfolios, weighting by state-level physical risk exposure.
  • Dynamic Conditional Beta model estimates sensitivity to physical risk (e.g., hurricanes, floods).
• Transition Risk Factors:
  • Used the CRISK framework (Jung et al., 2021) focusing on fossil fuel-heavy industries.
• Validation:
  • Event studies: Physical risk factors decline post-disasters.
  • Correlations: Market-based Beta aligns with insurers' liability and asset exposures.

3. Findings

• Physical Risk (P&C Insurers):
  • Beta ranges from 0 to 1.2; CRISK mostly negative, indicating capital adequacy.
  • Marginal CRISK minimal, suggesting limited systemic undercapitalization risk.
• Transition Risk (Life Insurers):
  • Beta significantly increased during 2019-2020 due to fossil fuel price collapse.
  • Aggregate transition CRISK rose by $150 billion (28% of market cap) in 2020.
• Systemic Risk:
  • Transition risk contributes more significantly to aggregate CRISK than physical risk.

4. Conclusion

• Climate change poses substantial financial risks to insurers through physical and transition effects.
• Market-based methods effectively quantify these risks, highlighting insurers' vulnerability to policy-driven market shifts.
• Future research should explore insurers’ risk mitigation strategies, such as pricing adjustments and portfolio diversification.