Climate & Catastrophe Risk
Climate risk quantification for balance sheets that carry it: physical and transition scenarios, catastrophe frequency-severity models with heavy-tail (GPD) calibration, and integration into ORSA, ICAAP, and IFRS 9 forward-looking overlays.
Background reading on this work: GPD Tail Risk in Catastrophe Models and Climate Risk Data Lineage and Proxies.
Outcomes you can expect
- A climate view your risk committee understands and can act on
- Catastrophe frequency-severity models with defensible tails
- Regulatory climate disclosures that don't require re-work each cycle
Typical engagements
- NGFS / bespoke climate scenario translation into financials
- Physical and transition risk quantification by portfolio
- Catastrophe frequency-severity modelling and GPD tail calibration
- ORSA / ICAAP climate integration and disclosure support
Insights articles that go deeper on climate & catastrophe risk.
GPD Tail Risk in Catastrophe Models
The tail is where catastrophe models earn their money and lose their credibility. Threshold choice, sample size, and parameter uncertainty matter more than the marginal-year fit almost anyone reports.
Read the articleClimate Risk Data Lineage and Proxies
Climate risk analytics are only as credible as the data behind them. Lineage, proxy hierarchies, and uncertainty controls determine whether the numbers can be relied on.
Read the articleGeographic Ratemaking Bias Under Climate Risk
As climate risk becomes better measured, territorial rating becomes simultaneously more accurate and more socially contested. That tension is structural.
Read the articleCustomer Lifetime Value in Insurance Pricing
Lifetime value pricing carries more regulatory risk than the profession has acknowledged — but the naive version of the concern is wrong.
Read the article