Considerations for LIBOR transition and U.S. Variable Annuity Guarantee Valuations
This paper discusses risk-free curve selection and setting of the discounting spread (over the risk-free rate) for variable annuity fair valuation.
In the face of a changing economic and regulatory landscape, the life insurance industry around the world is undergoing a major transformation. Insurance companies have been forced to adapt and evolve in the wake of Solvency II, Dodd-Frank, European Market Infrastructure Regulation, and other regulatory changes in addition to historically low interest rates, deflationary pressures, increased life expectancy, and many positive and negative economic indicators. Many companies have either changed or simplified their product offerings, exited businesses, entered new markets, experimented with new distribution techniques, or changed their risk management practices.
Some of the key results and findings from the survey include: