Investments in interest rate sensitive assets in the insurance industry, the measurement of market risks, arising from changes in the interest rate term structure, is of great importance. The European supervisory system Solvency II
provides one separate sub-module as a part of the market risk module for quantifying
interest rate risk in the latest proposed standard model of 2010/2011. In 2011, the
Federal Financial Supervisory Authority in Germany (BaFin) published the results of
the quantitative impact study QIS 5, applying the standard model of 2010/2011, for the German insurance industry. The reporting reflects the high relevance of interest rate risk in particular for life and health insurers