Klimatförändringar och försäkringsbolagens riskexponering: En Monte Carlo-simulering av framtida skadekostnader och Solvens II-kapitalkrav under olika RCP-scenarier

Abstract

Climate change is expected to increase the frequency and intensity of extreme weather events, with significant implications for the financial stability of insurance markets. This study analyses how nature-related insurance payouts and required solvency capital may develop over the period 2025–2099 under three emissions scenarios: RCP 2.6, RCP 4.5 and RCP 8.5, and what this means for the long-term sustainability of insurance as an economic institution. Using Monte Carlo simulation of a non-homogeneous Cramér-Lundberg model, claim frequency is modelled as a negative binomial process calibrated against SMHI's climate projections, and claim sizes are approximated by a lognormal distribution fitted to Swedish insurance data (NATY, 2015–2023). The results show that accumulated insurance payouts amount to SEK 96.7 billion under RCP 2.6, SEK 106.0 billion under RCP 4.5 and SEK 131.9 billion under RCP 8.5. The difference of approximately SEK 35 billion between the extreme scenarios can, within an externality framework, be interpreted as a lower-bound estimate of what stricter climate policy is worth to the Swedish insurance market over the period. It is a lower bound because the model drives cost increases solely through higher claim frequency, while evidence suggests that intensification of individual events has an even larger impact on risk levels. The required Solvency II capital remains stable under RCP 2.6 but increases by more than 100 percent under RCP 8.5 relative to the 2025 baseline. A sensitivity analysis reveals that the capital requirement is driven by the tail of the worst-case scenario rather than the expected average, and that the cost of underestimating climate developments is substantially larger than the cost of overestimating them. This asymmetry, combined with short-term incentive structures identified in agency theory, creates structural pressures for markets to underprice climate risk, suggesting that external capital requirements and forward-looking scenario analysis have a necessary role in long-term capital planning.