Extreme heat is becoming more prevalent in Europe and its localized impacts on human health in urban environments are difficult to project. Our main objective was to develop a local-scale integrated assessment model (IAM) to explore the impacts of global warming on heat-related mortality in Europe, with a focus on urban areas. Using the apparent temperature metric, we develop several risk frameworks to project heat-related deaths and help policymakers evaluate future extreme heat risk. We also compute the monetary impact of expected deaths using the value of statistical life. Our results show that the compliance with the Paris agreement targets would limit the cumulative losses during this century to 2.6 million people, compared to almost 5.5 million under alternative climate scenarios. Our analysis suggests that Europe could save more than €150 billion annually through avoided heat-related mortality. We also focus on the relationship between heath-induced mortality and population concentration in urban areas. Limiting the urban heat island effect in compliance with the Paris agreement emissions reduction would lower the number of deaths by up to 40%.