Özdil O (2026)
Publication Type: Journal article
Publication year: 2026
Book Volume: 115
Pages Range: 151-175
Journal Issue: 1
DOI: 10.3790/zverswiss.2026.1474505
Understanding the combined impact of physical and transitional climate risks on non-life insurers is crucial for financial stability, as these entities are significantly affected by both types of risks. This study examines how climate risks influence the solvency requirements of non-life insurers, modeling physical and transitional risks, including their interdependencies, using copulas with tail dependence. Instead of focusing on direct effects on solvency capital requirements, the emphasis is on solvency lines – minimum risk and return requirements – for brown, green, and other investment types. Since asset allocations are more adaptable to short-term climate shocks compared to liabilities, they are expected to be the main focus of solvency management actions. Analyzing various climate scenarios, the study highlights their impact on insurers’ permissible investment portfolios, showing that insurers may need additional annual returns of around 6 % for a one-year horizon and 3.2 % over ten years, depending on asset composition and interdependencies. JEL Classification: C51, G22, G32, Q54.
APA:
Özdil, O. (2026). Integrating Climate Risks and Nonlinear Dependencies into Solvency Assessment for Non-Life Insurers. Zeitschrift für die gesamte Versicherungswissenschaft, 115(1), 151-175. https://doi.org/10.3790/zverswiss.2026.1474505
MLA:
Özdil, Onur. "Integrating Climate Risks and Nonlinear Dependencies into Solvency Assessment for Non-Life Insurers." Zeitschrift für die gesamte Versicherungswissenschaft 115.1 (2026): 151-175.
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