Climate Risk Assessment and Scenario Analysis

March 2023

Authors

Robert Lee, FCAS, MAAA
Chris Beck
Judith-Anne Brelih, ASA
Blake Fleisher
Ryan Huff
Leighton Hunley, MBA

Description

There is value in a framework that allows a smooth transition from a qualitative assessment to a quantitative analysis as entities mature in their understanding of climate risk. In this report, a case study on climate change impact on home prices is used to illustrate a Bayesian network iterative approach to building a model for scenario analysis.

Materials

Climate Risk Assessment and Scenario Analysis

Acknowledgments

The researchers’ deepest gratitude goes to those without whose efforts this project could not have come to fruition: the Project Oversight Group and others for their diligent work overseeing this research and reviewing and editing this report for accuracy and relevance.

Project oversight group members

Timothy Cheng
Sam Gutterman
Aadit Sheth
David Stoddard
Remi Villeneuve
Betty-Jo Walke
Nathan Worrell

At the Society of Actuaries

Rob Montgomery, ASA, MAAA, FLMI, Consultant – Research Project Manager

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