The Case for a Completion Portfolio

Insurers typically seek to maximise their return on capital, subject to prudential limits. To achieve this, they will invest the proceeds of their insurance activities in a diversified portfolio of assets and seek to create an efficient balance sheet. An efficient balance sheet is one that achieves the trade-off between the expected investment return and the capital the insurer is required to hold in aggregate. Although it is possible to allocate to specific assets with the desired characteristics, in practice insurers allocate to a number of broad investible asset categories.

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