Article
Estimating long-term implied volatility for the valuation of insurance liabilities
By Alexandre Boumezoued and David Baranes (S&P Global)
28 July 2022
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.
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About the Author(s)
David Baranes (S&P Global)
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.
Alexandre Boumezoued, David Baranes (S&P Global)