Climate Risk Management for Insurance Companies –

Regulation, Implementation and Reporting

Climate Risk Management – Regulation, Implementation and Reporting

Program – June 21

9:00 a.m. – 9:05 a.m.
Opening Remarks from the Chair

Katie Dunphy, Partner, KPMG LLP

9:05 a.m. – 10:00 a.m.
Road to Net-Zero for Insurers

Simone Brathwaite, Senior Principal, Oliver Wyman

• What net-zero will look like for insurers – large and small
• Leading practices around the world – how insurers are preparing for a net zero future
• How to identify material risks and opportunities linked to sustainability
  -how can these be managed
• How could scenario analysis and stress testing help?
• What data and internal knowledge is needed
  -how uncertainty and data gaps can be dealt with

10:00 a.m. – 11:15 a.m.
Review of Climate Risk Regulations – OSFI (B-15) and Related Climate Risk Standards

Robin Edger, Senior Manager – ESG and Sustainable Finance, KPMG LLP
Tiffney Hsieh, Senior Manager, KPMG LLP
Anoosha Lalani, Manager, KPMG LLP

• Discussion on climate risk regulations from OSFI, SEC and CSA and proposed standards from the ISSB, including a comparison highlighting overlap and application to Canadian insurers
• Highlighting the impacts of physical risks and transition risks for insurance sectors
• Integrating climate risk into the financial statements including illustrative disclosure for insurance sector
• Implications for governance, risk and controls.
• Roadmap for adoption and initial activities insurers should be considering, including addressing challenges in data availability and readiness to support disclosures.

11:15 a.m. – 11:30 a.m.
Morning Networking Break

11:30 a.m. – 12:30 p.m.
Impact on Organizational Structure/Processes and Governance

Katerina Kindyni, Senior Manager, Financial Services Risk Management, Ernst & Young LLP

• Is climate-related risk integrated into strategy formulation?
• Implementing tools to measure/monitor climate-related risk
• Inclusion of climate risks into the risk appetite framework
• Risk management oversight of climate risk management – what needs to be done?
  -including climate-related risks as drivers
• Defining roles and responsibilities for first line of defense
• Understanding organizational climate exposures including reputational risk
• Development of KPI’s incorporating climate risks into business strategies
• Identifying climate related risks in all risk management frameworks
• New challenges for model risk management and oversight

12:30 p.m. – 1:30 p.m.
Luncheon

1:30 p.m. – 2:15 p.m.
Talent and Product Development Strategies for Net Zero Transformtion

Céline, Bak, Partner, Deloitte LLP
Sonia Sood, Partner, Deloitte LLP

• ESG Talent and Organization
  -challenges in meeting net zero obligations with limited supply of talent having required skills and capabilities
  -determining the right operating model to realize ESG vision including
  -key capabilities, skills and roles organizations are seeking to fulfill ESG needs
  -sourcing and talent development to close the talent gap
  -how organizations can organize to achieve their ESG goals and strategy
• Product Development as the Key to Achieving Net Zero Goals
  -transitioning to climate neutral revenues including financed emissions
  -setting parallel paths for
  -building a Scope 3 financed emissions baseline and building new and
  -building new products use new products using sustainable finance taxonomies and
  other third party data providers
  -setting portfolio management emissions reduction by identifying where top quartile
  sector-based climate performance is ALSO top quartile sector financial performance

2:15 p.m. – 3:15 p.m.
Climate Risk Management and Solvency Compliance – Near and Long Term

David Mamane, RSM Canada

• Understanding the relationship between climate risk management and OSFI solvency
  requirements
  -Quantitative measurement – developing/adapting models to quantify climate risks
  -Qualitative assessment – impact on ORSA
  -assessment of climate risk exposures
  -impact of climate risk scenarios on capital position
  -mitigation strategies
  -Disclosure Requirements – SCFR discussion of qualitative and quantitative exposures
• Evaluating whether transition risks will trigger unexpected asset revaluations
• Evaluating climate risks in a forward-looking valuation
• Calculating a coverage ratio incorporating climate risk data
• Inclusion of secondary risks

3:15 p.m. – 3:30 p.m. – Afternoon Networking Break

3:30 p.m. – 5:15 p.m.
Life and Health Insurers  – Risk Identification and Materiality Assessment

Carolyn Murnaghan, Partner, Deloitte LLP
Miguel Wong, Senior Manager, Actuarial & Insurance Solutions, Deloitte LLP

• Understanding climate risk terminology (physical, transitional and liability risks)
• Alignment with enterprise risks – strategic, operational, model, reputational
• Understanding materiality in the climate risk context
• Impact of KPIs and other financial metrics
• Defining climate risks for life and health insurers
  -assets investments backing long term liabilities
  -underwriting
• Understanding financed emissions for risk identification and materiality assessment
• Evaluating different assets classes for climate risk exposure
• Climate risk materiality in the context of enterprise risks
• Challenges of time horizon in assessing materiality
• Managing material and non-material climate risks aligned to forthcoming regulations

Program – June 22

9:00 a.m. – 9:05 a.m.
Opening Remarks from the Chair

Nicolas Gémin, Partner, Business Consulting – Insurance & Actuarial, Ernst & Young LLP

9:05 a.m. – 10:30 a.m.
Modelling Climate Risks

Eric Levy, Partner, Actuarial Modelling, KPMG LLP
Anna Kryshtopenko, Senior Actuarial Consultant, Financial Risk Management,  KPMG LLP

Objectives for Climate Risk Modelling:

• Identifying areas if vulnerability and risk mapping
• Climate and Stress-Test scenarios

Transition Risk Assessment

• Measuring financed emissions as the first step in transition risk assessment
• Quantification of Transition Risk
• Impact of carbon reduction on portfolio

Physical Risk Assessment :

• Assessing the impact of climate risks on company assets
• Evaluating the impact of climate risks on Life insurance liabilities through mortality impact

Focus on Climate Change Impact on Life Insurance:

• Identifying sources of climate scenarios and related data
• Modelling the impact of climate change on mortality and forecast outcomes
• Example of Application : Impact on Life Insurance pricing
• Deep Learning for Mortality forecasting

10:30 a.m. – 10:45 a.m. – Morning Networking Break

10:45 a.m. – 12:15 p.m.
Integrating Climate Risk into the ORSA Process

Nicolas Gémin, Partner, Insurance and Actuarial, Ernst & Young LLP

• Review of ORSA reliant policies and processes to address climate change impacts
  -risk policies and processes – key risk indicators
  -investment risk policies
  -ongoing testing and improvement
  -results generation
  -testing resilience of strategy under different scenarios
  -providing metrics used to assess climate-related risks
  -performance against targets
• Mitigation and adaptation actions
• ORSA reports to management – what should be in the Climate Risk opinion?
  -what should it look like/disclose?
  -which scenario is the baseline, how many scenarios?
  -translating scenarios into model inputs
  -how to model over a long time horizon
  -level of granularity
  -outputs to produce – metric selection and metric calculation
  -new metrics/targets – Scope 3
  -financed emissions
  -forward looking exposures – time horizons

12:15 p.m. – 1:15 p.m. – Luncheon

1:15 p.m. – 2:15 p.m.
Practical Considerations for Scope 3 Implementation

Robin Edger, Senior Manager – ESG and Sustainable Finance, KPMG LLP
Gaby Polanco-Sorto, Vice President & Head of Purpose and Sustainability, Gore Mutual 

• Understanding Scope 3
• General data challenges around Scope 3 for insurers (e.g., data availability, double counting, quality, etc.)
  –Establishing data governance: Importance of establishing data governance practices to reduce risk of greenwashing and increase reliability of data inputs & outputs
  –Understanding the organization’s data ecosystem: Importance of understanding the source systems of data in the organization and the state of the data
  –Devising a data strategy: Importance of identifying the target state for sourcing, analyzing, and reporting on Scope 3, as well as identifying the gaps between current state and target state
• Scope 3 Decarbonization
  -enhanced Data challenges
  -addressing emissions of your value chain
  -how to get started

2:15 p.m. – 3:15 p.m.
Disclosures – Climate Risk and Reporting/Disclosure Requirements of Multiple Supervisory Agencies – OSFI, OSC, TCFD, SEC

Kevin McLeod, Director, PricewaterhouseCoopers LLP
Simran Khattra, Manager, PricewaterhouseCoopers LLP
Effy Gao, Manager, PricewaterhouseCoopers LLP

• Developments related to Environmental, Social and Governance (ESG) initiatives
• Meeting expectations for high-quality, transparent, reliable and comparable reporting
• What climate risk and ESG means for reporting entities
• Climate risk trends, challenges, and regulatory developments
• What the future of climate risk reporting looks like, including the role of finance team
  -ISSB developments – IFRS S1 and IFRS S2 Exposure Drafts
• Handling regulatory overlap
• Expectations regarding near and longer term disclosures – current and expected
• Examples of climate related disclosures in the insurance industry