Methodologies on Climate Scenario Analysis for insurers have been developing rapidly over the last years. Ongoing attention by all stakeholders, pilot exercises all over the world and a substantial increase in awareness towards climate-related risks have incited insurers to develop and refine their stress testing capabilities on climate-related risks.

In this session, we will talk about the latest developments and challenges for maturing climate risk stress testing frameworks for insurers. We will talk about the set-up of physical and transition risk scenarios, common techniques for selecting, merging, and enhancing suitable scenario variables, as well as practical approaches for impact quantification and their difficulties in application.

Organised by the EAA – European Actuarial Academy GmbH

The web session is open to all interested persons working within the insurance industry, with a particular focus on risk managers faced with climate change risk assessments. Preliminary knowledge in climate risk is helpful, but not a prerequisite.

Technical Requirements
Please check with your IT department if your firewall and computer settings support web session participation (the programme Zoom will be used for this online training). Please also make sure that you are joining the web session with a stable internet connection.

1. Recent developments of best practice and regulatory requirements regarding the integration of climate change stress testing.
2. Set-up of transition and physical risk scenarios, and challenges in merging physical and transition risk factors.
3. Common techniques for selecting and enhancing scenario variables (e.g. increasing sector- or regional granularity) for application in insurance stress testing.
4. Practical approaches for impact and risk assessment on the market, credit, and underwriting side - their strengths, drawbacks and difficulties in application.

Dr. Mario Zacharias
Mario is a Senior Manager with Oliver Wyman Actuarial Services. His focus lies with the quantitative modelling of risks in the context of risk capital requirements such as Solvency II and asset liability management. In particular, he specialized on the area of market risk, internal capital models, and risk aggregation techniques. In recent years, he focused on the highly topical area of the measurement of climate change risks gathering hands-on experience with practical client support.
Mario has a Diploma and holds a PhD in Theoretical Physics, is a fully qualified actuary and serves as lecturer for the subject “Mathematical Finance and Investment Management”. He is currently a level III candidate with the Chartered Financial Analyst (CFA) program and holds the Sustainability and Climate Risk Certificate (SCR) from the Global Association of Risk Professionals (GARP).
e is also a member of the German Actuarial Association (DAV).

Daniel Teetz
Daniel is a Manager at Oliver Wyman Actuarial Services in Germany, specializing in climate risk management for insurers. He is advising insurers globally on various aspects of quantitative and qualitative climate change risk assessment, climate risk scenario analysis and risk management integration. He has extensive hands-on experience in practical implementation of climate risk stress testing.
Daniel holds degrees in Physics and in Mathematics from RWTH Aachen and LMU Munich. He is a CFA (Chartered Financial Analyst) charterholder, and also holds the Sustainability and Climate Risk Certificate (SCR) from the Global Association of Risk Professionals (GARP).