5.6.Noris

TV = PF Equity + Franchise Equity

Net value of the currently booked assets & liabilities arising out of business already written

Value of the business not yet booked

D_MVS = (D_MVAMVA - D_MVLMVL) / MVS

• Duration gap of surplus: set it to zero, thus immunizing surplus from interest rate risk → large fluctuations, unduly restrictive
• Duration gap of total return: set DG_S = specific target
• Duration gap of leverage: set DG_EL = D_MVS - D_MVA

• Invest more heaviliy on common stock or real estate: too much non-interest volatility
• Have assets that roll over frequently: requires short-term assets → deviation from D matching
• Overstate liabilities: in form of contingency reserves