Estimating long-term implied volatility for the valuation of insurance liabilities
Market-consistent economic scenarios are at the core of the valuation of liabilities under Solvency II, certain risk-based capital regimes in Asia, liabilities under IFRS 17, and valuation of market risk benefits under Long Duration Targeted Improvements. As spot market data is a key input of such valuation frameworks, establishing market-consistent but stable long-term volatility assumptions is an increasing challenge. This paper explores options available to insurance companies.
Explore more tags from this article
About the Author(s)
David Baranes (S&P Global)
Contact us
We’re here to help you break through complex challenges and achieve next-level success.
Contact us
We’re here to help you break through complex challenges and achieve next-level success.
Estimating long-term implied volatility for the valuation of insurance liabilities
This paper explores options available to address the challenge of deriving market-consistent but stable long-term volatility assumptions for valuation of liabilities.