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

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).

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Year of publication:	2001
Authors:	DHaene, J. ; Goovaerts, M. ; Vanduffel, S. ; Vyncke, D.
Published in:	Review of Business and Economics. - Faculteit Economie en Bedrijfswetenschappen. - Vol. XLVI.2001, 4, p. 533-544
Publisher:	Faculteit Economie en Bedrijfswetenschappen

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Type of publication:	Article
Language:	English
Source:	RePEc - Research Papers in Economics

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