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

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  • J. DHaene
  • M. Goovaerts
  • S. Vanduffel
  • D. Vyncke

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).

Suggested Citation

  • J. DHaene & M. Goovaerts & S. Vanduffel & D. Vyncke, 2001. "How to Determine the Capital Requirement for a Portfolio of Annuity Liabilities," Review of Business and Economic Literature, KU Leuven, Faculty of Economics and Business (FEB), Review of Business and Economic Literature, vol. 0(4), pages 533-544.
    • Handle: RePEc:ete:revbec:20010405
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