Table 1 Input parameters Parameter... | Emerald Publishing

Table 1

Input parameters

Parameter	Notation	Value
Initial equity	$E_{0}$	18.63 million €
Time horizon	$n_{0}, N$	$n_{0}$ = 2021, $N$ = 2050
Exponential regression function for expected claims	$μ_{n} = a \cdot b^{n}$	a = 6.344e−11, b = 1.014
Coefficient of variation of claims	$c_{v} = \frac{σ_{n}}{μ_{n}}$	5.64%
Expected rate of return	$μ_{r}$	2.99%
Standard deviation of return rate of the overall portfolio	$σ_{r}$	7.12%
Standard deviation of return rate of subportfolios	$σ$	7.36%
Premium loading for insurer (portion of standard deviation)	$δ$	0.5
Transition shock factor for brown investments	${F T S}^{B r o w n}$	24.1%
Transition shock factor for green assets	${F T S}^{G r e e n}$	15.0%
Transition shock factor for other assets	${F T S}^{O t h e r}$	12.5%
Proportion of brown investments in assets	$q^{B r o w n}$	4%
Proportion of green investments in assets	$q^{G r e e n}$	4.3%
Correlation between green and brown assets	$ρ_{B r o w n, G r e e n}$	0.43
Correlation between green and other assets	$ρ_{G r e e n, O t h e r}$	0.62
Correlation between brown and other assets	$ρ_{B r o w n, O t h e r}$	0.57
Dependence describing copula for annual transition progress and annual claims	$C_{θ}^{S t}$	$C_{2}^{S t}$

Parameter	Notation	Value
Initial equity	$E_{0}$	18.63 million €
Time horizon	$n_{0}, N$	$n_{0}$ = 2021, $N$ = 2050
Exponential regression function for expected claims	$μ_{n} = a \cdot b^{n}$	a = 6.344e−11, b = 1.014
Coefficient of variation of claims	$c_{v} = \frac{σ_{n}}{μ_{n}}$	5.64%
Expected rate of return	$μ_{r}$	2.99%
Standard deviation of return rate of the overall portfolio	$σ_{r}$	7.12%
Standard deviation of return rate of subportfolios	$σ$	7.36%
Premium loading for insurer (portion of standard deviation)	$δ$	0.5
Transition shock factor for brown investments	${F T S}^{B r o w n}$	24.1%
Transition shock factor for green assets	${F T S}^{G r e e n}$	15.0%
Transition shock factor for other assets	${F T S}^{O t h e r}$	12.5%
Proportion of brown investments in assets	$q^{B r o w n}$	4%
Proportion of green investments in assets	$q^{G r e e n}$	4.3%
Correlation between green and brown assets	$ρ_{B r o w n, G r e e n}$	0.43
Correlation between green and other assets	$ρ_{G r e e n, O t h e r}$	0.62
Correlation between brown and other assets	$ρ_{B r o w n, O t h e r}$	0.57
Dependence describing copula for annual transition progress and annual claims	$C_{θ}^{S t}$	$C_{2}^{S t}$

Source(s): Author’s own work