Does Climate Change Risk Impact Insurance Credit Risk? Cross Country Evidence
研究了气候变化风险对全球31国150家保险公司信用风险的影响，发现气候风险显著增加违约可能性，对政策制定者、评级机构和投资者有参考价值。
ABSTRACT While climate change poses a significant financial risk to the insurance industry, research has not yet examined the impact on the insurer's credit risk. This study investigates the impact of climate change risks on credit risk for insurance firms. We develop a novel climate risk measure by contrasting four key components: hydrological risks, temperature extremes, extreme weather events, and water related risks. Utilizing this comprehensive measure, we analyse a global sample of 150 insurance firms across 31 countries from 2001 to 2022. Our findings reveal a significant negative relationship between climate change risks and credit risk, measured by Z‐score, F‐score, and Altman's Z‐score. This suggests that climate risks increase the likelihood of insurance firm defaults. These findings highlight the urgency for proactive climate risk management in the financial sector, including enhanced risk assessment methodologies and adaptation strategies. This research offers valuable insights for various stakeholders in the financial sector including policy makers, credit rating agencies and investors to better understand and manage climate risk exposure in the insurance industry.