Constructing a term structure of unconditional interest rate volatility

Making assumptions about uncertainty far into the future, as insurance companies have to, is fraught with difficulty, especially as the data is limited beyond 10 years. Steffen Sorensen of Barrie & Hibbert explains how to tackle this problem.

Register for a trial Please sign in to read the full content of this article. If you aren’t already a subscriber, you can register for a free one-month trial.

Sign in

Forgot your Password?

To access the premium content on InsuranceERM, you must first sign in to your account

Aren’t a subscriber? Register for a free one-month trial now.