Dynamic Financial Analysis (DFA) of general insurers under climate change
気候変動下における損害保険会社の動的財務分析（DFA） (AI 翻訳)
Benjamin Avanzi, Yanfeng Li, Greg Taylor, Bernard Wong
🤖 gxceed AI 要約
日本語
本論文は、気候変動が損害保険会社に与える長期的影響を評価するため、従来の動的財務分析（DFA）を拡張し、物理的・経済的次元の気候リスクを統合したフレームワークを提案する。オーストラリアのデータを用いた実証分析により、経済成長と物理的リスクの相互作用が保険会社のリスク・リターン特性を形成することを示し、気候依存DFAの有用性を実証した。
English
This paper extends the traditional Dynamic Financial Analysis (DFA) for general insurers to incorporate climate change risks, covering both physical and economic dimensions across scenarios. Using Australian data, the empirical study shows that the interaction between economic growth and physical risk shapes insurers' risk-return profiles, and the climate-dependent DFA outperforms the stationary version.
Unofficial AI-generated summary based on the public title and abstract. Not an official translation.
📝 gxceed 編集解説 — Why this matters
日本のGX文脈において
日本では自然災害リスクの増大が懸念されており、損害保険会社の財務健全性評価に気候リスクを組み込む枠組みは重要。本論文のDFA拡張は、日本の保険会社や金融庁によるシナリオ分析の実務に示唆を与える。
In the global GX context
This paper provides a methodological framework for integrating climate risk into insurers' financial analysis, relevant to global climate risk disclosure standards (e.g., TCFD) that require scenario analysis. The Australian case study offers empirical insights for insurers and regulators worldwide.
👥 読者別の含意
🔬研究者:Researchers developing climate risk models for the insurance sector can adopt the extended DFA framework for further studies.
🏢実務担当者:Insurance companies can use this framework to assess long-term financial impacts of climate change under various scenarios.
🏛政策担当者:Regulators can reference this methodology when designing stress tests or solvency requirements for climate risk.
📄 Abstract（原文）
Abstract Climate change is expected to significantly affect the physical, financial, and economic environments over the long term, posing risks to the financial health of general insurers. While general insurers typically use Dynamic Financial Analysis (DFA) for a comprehensive view of financial impacts, traditional DFA as presented in the literature does not consider the impact of climate change. To address this gap, we extend the stationary DFA framework to integrate climate risk, enabling a holistic assessment of the long-term impact of climate change on the general insurance industry and offering a foundational architecture for the DFA of individual insurers. Our framework captures the long-term impact of climate change on the assets and liabilities of general insurers by considering both physical and economic dimensions across different climate scenarios within an interconnected structure. Furthermore, it addresses the uncertainty of climate change impacts using stochastic simulations within climate scenario analysis that are useful for actuarial applications. Our extensions are tailored to the general insurance sector and address its unique characteristics. To demonstrate the practical application of our model, we conduct an extensive empirical study using Australian data and assess the long-term financial impact of climate change on the general insurance market under various climate scenarios. The results are benchmarked against those of a stationary DFA framework and show that the interaction between economic growth and physical risk plays a key role in shaping general insurers’ risk–return profiles. They highlight the advantages of the climate-dependent DFA over the stationary DFA in generating financial projections under climate change impacts. Limitations of our framework are thoroughly discussed.
🔗 Provenance — このレコードを発見したソース
- openalex https://doi.org/10.1017/asb.2026.10102first seen 2026-06-08 04:34:39
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