Yield Curve Extrapolation Methods: Methodologies for Valuing Liability Cash Flow that Extend Beyond the Maximum Yield Curve

March 2019

The Society of Actuaries Committee on Finance Research is pleased to make available a research report that summarizes methodologies used for yield curve extrapolation to value liability cash flows that extend beyond the maximum observable portion of the yield curve. The report was authored by a team from Risk & Regulatory Consulting.



Yield Curve Extrapolation Methods


Thank You

The SOA would like to thank the following individuals for serving on the Project Oversight Group:

Robert Reitano, Chair 
Nate Deboer 
Andrew Harris 
Jim Kosinski 
Peter Mason 
Alex Ngo 
Linda Peach 
Larry Rubin 
Steve Siegel, SOA Sr. Research Actuary 
Barbara Scott, Sr. Research Administrator

The SOA also thanks Max Rudolph for his assistance with managing this project.

Questions Or Comments

If you have comments or questions, please send an email to research@soa.org.