DHaene, J.; Goovaerts, M.; Vanduffel, S.; Vyncke, D. - In: Review of Business and Economics XLVI (2001) 4, pp. 533-544
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...