La Materialità Finanziaria dei Rischi Climatici: Banche, Assicurazioni e Modellizzazione per Scenari del Protection Gap Assicurativo

Climate change is now a financial risk. This thesis examines its materiality for banks and insurers, and develops a forward-looking partial-equilibrium model of household flood insurance for France and Italy at the NUTS 2 level, simulated annually from 2025 to 2080 under three market structures—solidarity, private, and public-private partnership—and four climate scenarios. Unlike existing models, the framework combines micro-founded household demand with a dynamic insurer-capital block and a fiscal-cost block. The results show that climate scenarios and market design substantially shape premiums, penetration rates, and solvency paths. Under low-warming scenarios, insurance markets remain broadly viable across all market designs. Under high-warming, the private and public-private partnership market prove unsustainable from mid-century: the former leaves most households uninsured by choice, while the latter undermines insurer solvency over time. Outcomes are also highly uneven across regions, following a broad north-south and richer-poorer divide that risks amplifying existing inequalities. The solidarity market proves most resilient, delivering the lowest insurance protection gap at manageable fiscal cost. The model identifies a mid-century tipping point in insurance coverage at which the protection gap shifts from demand-led to supply-led as rising tail risk erodes insurer solvency. Applied to Italy, the results suggest that moving from the current voluntary system to a solidarity design could close the flood insurance protection gap at a net fiscal cost of about 0.13% of GDP per year by 2080 under a high-warming scenario. Overall, the thesis argues that keeping climate risk insurable requires not only better pricing and supervision, but also institutional reform shaped by political choices.