Climate change risk emerges as a critical concern of Property & Casualty (P&C) insurers due to its causal effect on increasing natural disasters across the globe. However, a challenge to quantify ongoing climate change can make it difficult to assess how this progress may affect their underwriting performance. To address this concern, we employ the Actuaries Climate Index (ACI) to examine the impact of climate change risk on P&C insurers’ performance. We propose a local-level ACI by using meteorological information of regions in South Korea and employ a copula simulation to implement a stress test to determine the impact of climate change on insurers’ exposures. Our findings indicate that insurers with high geographic concentration in the capital region are more vulnerable to climate risk exposure.