Insurances companies that offer solutions that represent an annuity obligation in life products are constantly exposed to interest rate risk, since there is sometimes a mismatch between the rates at which the investment portfolio is invested, and the rates that the company uses to value the reserves and keep the capital saved. Additionally, in the financial markets, there are no instruments that have a match with the liabilities on time and their maturity, for example, in the Colombian case, the longest-term financial instrument matures in 2049, and the liabilities mature until 2140, and for that reason is necessary to use extrapolation methodologies like Smith-Wilson to find the probable rates at which, in the long time, resources may have to be invested once the maturity of the asset is reached, and estimate the necessary capital to match the rest of the liability. Finally, insurance companies must always have that capital in the balance sheets that allows them to face the expected interest rate movements.