Yield Curve Extrapolation Methods: Methodologies for Valuing Liability Cash Flow that Extend Beyond the Maximum Yield Curve
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.
The SOA would like to thank the following individuals for serving on the Project Oversight Group:
Robert Reitano, Chair
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 firstname.lastname@example.org.