Insurance 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

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

Eddy Hector Verbiest (Contact Author)

Avondale Alternative Advisors ( email )

Rue d'argout, 5, Floor 1
Paris, 75002
France
+32478798850 (Phone)

HOME PAGE: http://www.avondale-aa.net

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