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.
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