An earlier briefing note introduced an alternative extrapolation method as part of the 2020 review of Solvency II regulations. Since then, interest rates have decreased significantly. This paper analyses the impact on the different extrapolation methods.
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The impact of alternative extrapolation methods and assumptions in times of decreasing rates
This briefing note reviews the impact of lower interest rates on an alternative method that extrapolates long-term interest rates as part of Solvency II regulations.