Key methodologies used for managing weather risks have relied on the assumption that climate is not changing and that the historic weather record is therefore representative of current risks. Anthropogenic climate change upends this assumption, effectively reducing the information available to actors and increasing ambiguity in the estimated climate distribution, with associated costs for weather risk management and risk-averse decision-makers. These costs result purely from the knowledge that the climate could be changing, may arise abruptly, are additional to any direct costs or benefits from actual climate change, and are, to date, entirely unquantified.