Macro risks and their impact on insurer stock prices: Analyzing climate, geopolitical, and cybersecurity risks

The growing intersection of climate, geopolitical, and cyber risks poses challenges for financial markets, particularly the insurance sector, which must balance security imperatives with sustainability goals. While prior research has examined these risks individually, comparative evidence across regions and insurance segments remains limited. This study examines insurers’ stock price sensitivity to extreme macro risks using event study methodology, AR-GARCH models, and impulse response analysis. By analyzing over 2327 daily stock prices from insurers in the European Union, the United Kingdom, and the United States from June 2015 to May 2024, we find that climate risk drives the strongest stock price reactions and is systematically priced into equity risk premia. Geopolitical and cyber risks exhibit weaker direct effects but remain embedded in risk premia. Moreover, insurance stock returns adjust rapidly to extreme events, without lasting market distortions. These results highlight regional and sectoral differences in risk pricing, providing valuable insights for investors and regulators seeking to strike a balance between financial stability, sustainability and security considerations. • This study examines the impact of climate, geopolitical, and cybersecurity risks on the insurance sector. • Climate risk elicits the strongest stock price reactions in the UK and US. • Geopolitical and cybersecurity risks contribute to positive equity risk premia. • Stock returns adjust quickly to extreme macro risks without lasting market distortions. • Results emphasize climate risk’s increasing financial relevance in the insurance sector.