Considerations for LIBOR transition and U.S. Variable Annuity Guarantee Valuations
By Ram Kelkar and Poojan Shah
04 January 2021
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Considerations for LIBOR transition and U.S. Annuity Valuations
There are significant implications of the impending discontinuation of LIBOR and transition to SOFR for U.S. annuity liability valuations.
This paper discusses risk-free curve selection and setting of the discounting spread (over the risk-free rate) for variable annuity fair valuation.