Correct me if I'm wrong, but this is actually a double jeopardy on the ins company if they have any asset-liability mismatch as disintermediation can rise on the liability side under similar conditions. As policy holders borrow against/close out their policies to invest the money elsewhere (gaining higher yields) the duration on the liabilities portfolio shortens. Therefore, you have rising asset duration and shortening liability duration. The decline in the asset portfolio value (as rates rise) may lead the insurance company to have to liquidate assets at a poor value to backfill the redemptions ocurring as a result of disintermediation.
