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Sensitivity and Dynamics of IFRS 17 Illiquidity Premia

Under IFRS 17, insurers are required to discount the value of their liabilities using a discount curve that reflects the cash flows and liquidity of those liabilities. The standard does not prescribe the method by which this discount curve is calculated, but does offer general principles for constructing a curve by either a "bottom-up" or "top-down" method.