EFuturesCFO · Insurance Suite
Investment Portfolio & Asset-Liability
Analyze investment income, book yield, duration matching, and rate sensitivity. Optimize asset allocation to support insurance liabilities and maximize risk-adjusted returns.
Executive Summary
Asset Allocation
Rate Scenarios
Optimization Levers
Methodology
Book Yield = Investment Income ÷ Invested Assets. Duration = weighted average of asset durations. Duration Gap = Asset Duration − Liability Duration. Rate Impact = FI Balance × Duration × Rate Change (bps/10000). P&C insurers typically hold 65-80% fixed income. Target duration gap: within ±1 yr of liabilities. Investment ratio = Invested Assets ÷ Total Reserves.