Impact of rough stochastic volatility models on long-term life insurance pricing.

The Rough Fractional Stochastic Volatility (RFSV) model of Gatheral et al. (Quant Financ 18(6):933-949, 2014) is remarkably consistent with financial time series of past volatility data as well as with the observed implied volatility surface. Two tractable implementations are derived from the RFSV with the rBergomi model of Bayer et al.