ZHONGTAI SECURITIES·2025-08-09 07:52Investment Rating - The report maintains an "Overweight" rating for the insurance industry [2] Core Insights - The average duration gap in the insurance industry is approximately -7 years, with a trend of widening expected post-2024, particularly in the life insurance sector [5][21] - Large insurance companies generally maintain a duration gap around -5 years, while small to medium-sized insurers exhibit a widening gap, indicating a disparity in asset-liability management [5][21] - The report emphasizes the importance of managing duration gaps to mitigate interest rate risks and reinvestment risks, especially in a low-interest-rate environment [5][21] Summary by Sections 1. Introduction: Duration Gap in Insurance Asset-Liability Matching - Duration gap refers to the difference between asset duration and liability duration, categorized into various types [9] - The report highlights the increasing duration gap due to the issuance of long-term savings products by life insurers [9][10] 2. Calculation of Duration Gap and Industry Data Statistics - The average duration gap for life insurance companies from 2020 to 2022 was -6.67 years, -6.57 years, and -6.28 years, respectively [21] - The report identifies a trend where over 65% of companies have seen their duration gaps widen, with many experiencing an increase of over 2 years [23][26] 3. Significance and Measures for Duration Gap Management - Effective duration gap management is crucial for balancing asset-liability management in insurance companies [5] - Suggested measures to narrow the duration gap include increasing allocations to long-term bonds, developing long-term equity investments, and adjusting product structures to enhance liability duration [5][21] 4. Investment Recommendations - The report suggests focusing on companies like New China Life, Ping An, AIA, China Life, China Pacific, and PICC, which are well-positioned to benefit from the dual dividend attributes of insurance stocks [5][21]