Duration of Life Insurer’s Liabilities
Annuity Yield Curve
I estimate the yield curve at which U.S. life insurers effectively borrow from their customers by issuing new immediate annuity policies. Get the data on Github.
NAIC Reference Interest Rate
I have gathered the longest available time series of the reference interest rate which is used to value life insurance liabilities according to statutory reserve valuation. Get the data on Github.