In this letter, non-orthogonal amplify-and-forward (NAF) is considered in a half-duplex two-way system. We derive the closed-form outage probability in the high signal-to-noise ratio (SNR) region, and approximate it with a simpler version to enable power allocation. Then a closed-form power allocation scheme is proposed to improve the outage performance; it uses only statistical channel knowledge (SCK). It is validated that our analyses agree with simulation results and the proposed power allocation approaches the optimal power allocation.