Climate change, partly caused by human activities, is already having an impact on our society. Indeed, the increase in the Earth's surface temperature is causing extreme changes in weather events generating a climate risk. Climate change will also have an impact on health and mortality as 250,000 additional deaths are expected to be caused by climate change between 2030 and 2050 according to the WHO (World Health Organisation). Thus, it is an increasingly important subject for insurers who must integrate this risk in stress tests. In this context, integrating the knowledge on climate risk and particularly on heat waves in mortality studies, allows to obtain mortality projections in accordance with the current and future climate situation.

The objective of this study is to present a methodology for modeling mortality in France and in the United States with a Lee-Carter model integrating the climatic risk generated by heat waves and allowing to determine mortality shocks.