Two-part models based on generalized linear models are widely used in insurance rate-making for predicting the expected loss. This paper explores an alternative method based on quantile regression which provides more information about the loss distribution and can be also used for insurance underwriting. Quantile regression allows estimating the aggregate claim cost quantiles of a policy given a number of covariates. To do so, a first stage is required, which involves fitting a logistic regression to estimate, for every policy, the probability of submitting at least one claim. The proposed methodology is illustrated using a portfolio of car insurance policies. This application shows that the results of the quantile regression are highly dependent on the claim probability estimates. The paper also examines an application of quantile regression to premium safety loading calculation, the so-called Quantile Premium Principle (QPP). We propose a premium calculation based on quantile regression which inherits the good properties of the quantiles. Using the same insurance portfolio data-set, we find that the QPP captures the riskiness of the policies better than the expected value premium principle.

Climate change refers to persistent alterations to global Earth's climate, such as a rise in global temperatures, which have reached unprecedented peaks in recent years. At the same time, global mean ocean‐and‐sea levels are on an upward trajectory. These climatic shifts significantly influence the frequency, intensity, and duration of extreme weather events, such as heatwaves, heavy precipitations, droughts, floods, and tropical cyclones, which represent substantial risks and challenges for the insurance industry. This paper delves into the profound impact of climate change on the insurance sector, with a particular focus on the agriculture, property, health, and life insurance industries. Our scientific approach consists in measuring climate change through an index composed of a basket of climate and weather‐related extremes, such as the Actuarial Climate Index™ (ACI) defined in and for North America, and its European counterparts, the Iberian ACI (IACI) and French ACI (FACI) climate indices. We discuss how these indices help quantify the impact of climate change on the balance sheets of insurance companies and, therefore, its impact on the sustainability of the insurance business. The paper underscores the pressing need for the insurance industry to adapt and strategically plan for the increasing risks associated with climate change.

Climate change is defined as a long-term shift in climate patterns affecting the planet globally. The main consequences of climate change are a rise in average temperatures in many regions, and an increase in the frequency and intensity of extreme weather events, such as floods, droughts, storms, or hurricanes. Climate change is associated also with a rise in sea levels, more frequent and severe wildfires, a loss of biodiversity, and many other disruptions with serious economic impacts. These new risks are increasingly affecting both the frequency and severity of claims in different insurance branches. To help insurance companies predict and manage these new risks, actuaries have defined the Actuaries Climate Index™ (ACI), which combines information from several important weather variables from historical records of the United States and Canada. The ACI shows a significant increasing trend over the years. It is important to note, however, that the impact of climate change is not the same in all parts of the planet: different regions and countries are affected in different ways. Therefore, it is important to check if the ACI is as useful to assess climate risk outside the United States and Canada. In this paper, we follow the North American ACI methodology in order to build an actuarial climate index for the Iberian Peninsula, which we call Iberian Actuarial Climate Index (IACI). The paper reviews in detail the methodology and the data used to obtain the IACI, and with it, studies the impact of climate change in the Iberian Peninsula.

There is growing concern that climate change poses a serious threat to the sustainability of the insurance business. Understanding whether climate warming is a cause for an increase in claims and losses, and how this cause–effect relationship will develop in the future, are two significant open questions. In this article, we answer both questions by particularizing the geographical area of Spain, and a precise risk, hailstorm in crop insurance in the line of business of wine grapes. We quantify climate change using the Spanish Actuarial Climate Index (SACI). We utilize a database containing all the claims resulting from hail risk in Spain from 1990 to 2022. With homogenized data, we consider as dependent variables the monthly number of claims, the monthly number of loss costs equal to one, and the monthly total losses. The independent variable is the monthly Spanish Actuarial Climate Index (SACI). We attempt to explain the former through the latter using regression and quantile regression models. Our main finding is that climate change, as measured by the SACI, explains these three dependent variables. We also provide an estimate of the increase in the monthly total losses’ Value at Risk, corresponding to a future increase in climate change measured in units of the SACI. Spanish crop insurance managers should carefully consider these conclusions in their decision-making process to ensure the sustainability of this line of business in the future.