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In order to price long term insurance guarantees, extrapolation of the yield curve is required. In this document, I present the method currently in use for Solvency II (presented in an article), and its impact on the valuation of an annuity.
You can play around with a web application explaining the impact of the extrapolation parameters, by typing the following commands in R:
# Loading Shiny package
# Run the app in your browser; execs code from my Gist