Solvency II under review: Extrapolation of the risk-free rate curve
21 February 2019
In the opening edition, we firstly revisit the rules in specifying the risk-free rate term structure, which forms a fundamental part of the calculation of Technical Provisions (TPs). We look in detail at changes to the Ultimate Forward Rate (UFR) in particular.
About the Author(s)
Solvency II under review: Extrapolation of the risk-free rate curve
In the opening edition, we firstly revisit the rules in specifying the risk-free rate term structure, which forms a fundamental part of the calculation of Technical Provisions (TPs).
Bridget MacDonnell, Karl Murray, Eamonn Phelan