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
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