Schedule of IA|BE : Quantifying Climate Change Risk in the ORSA (1.50 CPD)

Climate Change Risk in the ORSA – A Practical Approach for Market Risk: 18/11/2021 (1.50 CPD)

So-called ESG-risks and in particular the risks connected with the climate change pose on of the hottest topic of current time. Measures and initiatives of the European Commission in the context of Sustainable Finance accelerate with strong impacts also on the insurance sector. In particular, a most recent Supervisory Opinion published by EIOPA, emphasizes the expectation to consider climate change risks in the annual ORSA both qualitatively and quantitatively.

This talk will focus on transitional climate change risk present in typical asset portfolios of insurance undertakings. In particular, we will present a pragmatic yet progressive approach for a quantitative assessment of such risk, suitable for the ORSA process. This approach drawn upon current academic research is fully aligned with the regulatory guidelines given by EIOPA.

The practicability of the presented concept is illustrated by a simple yet instructive case study on a prototypical European life insurer. Furthermore, this case study serves as an estimation of the materiality of transition risk and discusses the potential risk mitigation by strategic asset allocation.

Speakers:

• Mario Zacharias, Senior Manager at Oliver Wyman
• Daniel Teetz, Senior Consultant at Oliver Wyman