The societal need for reliable climate predictions and a proper assessment of their uncertainties is pressing. Uncertainties arise not only from initial conditions and forcing scenarios, but also from model formulation. Here, we identify and document three broad classes of problems, each representing what we regard to be an outstanding challenge in the area of mathematics applied to the climate system. First, there is the problem of the development and evaluation of simple physically based models of the global climate. Second, there is the problem of the development and evaluation of the components of complex models such as general circulation models. Third, there is the problem of the development and evaluation of appropriate statistical frameworks. We discuss these problems in turn, emphasizing the recent progress made by the papers presented in this Theme Issue. Many pressing challenges in climate science require closer collaboration between climate scientists, mathematicians and statisticians. We hope the papers contained in this Theme Issue will act as inspiration for such collaborations and for setting future research directions.