How to Determine the Capital Requirement for a Portfolio of Annuity Liabilities

Jan Dhaene, Marc Goovaerts, Steven Vanduffel () and D. Vyncke

Review of Business and Economic Literature, 2001, vol. XLVI, issue 4, 533-544

Abstract: This paper illustrates an analytic method that can be used to determine the total capital requirements necessary to properly provide for the future obligations of a portfolio of annuity liabilities and to protect the enterprise from the related risks it faces. This example is based on the work of Kaas, Dhaene and Goovaerts (2000).

Date: 2001-04
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Persistent link: https://EconPapers.repec.org/RePEc:ete:revbec:20010405

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