Download This PaperInsurance Asset-Liability Management: Time To Reduce Duration.
Insurance Investor - Clear Path Analysis, 2020
25 Pages Posted: 27 Jul 2020
Date Written: March 20, 2020
Abstract
A new return and risk measure is presented that captures the whole Assets -Liabilities Runoff for an insurance company. It shows:
(1) that short duration allocations with higher yielding diversified assets are currently safer and more rewarding what refutes duration matching as a method to reduce risk,
(2) that a high Solvency 2 ratio is counterproductive and
(3) that the Solvency 2 framework falls short by being return agnostic.
Keywords: Insurance Investment Strategy, Insurance Asset Allocation, Investment Risk, Solvency 2, Duration
JEL Classification: G11, G22, G28
Suggested Citation: Suggested Citation
Verbiest, Eddy Hector, Insurance Asset-Liability Management: Time To Reduce Duration. (March 20, 2020). Insurance Investor - Clear Path Analysis, 2020, Available at SSRN: https://ssrn.com/abstract=3641252 or http://dx.doi.org/10.2139/ssrn.3641252
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