The aim of this paper is to define the market-consistent multi-period value of an insurance liability cash flow in discrete time subject to repeated capital requirements, and explore its properties. In line with current regulatory frameworks, the presented approach is based on a hypothetical transfer of the original liability and a replicating portfolio to an empty corporate entity, whose owner must comply with repeated one-period capital requirements but has the option to terminate the ownership at any time. The value of the liability is defined as the no-arbitrage price of the cash flow to the policyholders, optimally stopped from the owner’s perspective, taking capital requirements into account. The value is computed as the solution to a sequence of coupled optimal stopping problems or, equivalently, as the solution to a backward recursion.

中文翻译：

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离散现金负债现金流量的价值取决于资本要求

本文的目的是定义受重复资本要求的离散时间的保险负债现金流量的市场一致多期价值，并探讨其性质。根据当前的监管框架，提出的方法是基于将原始负债和复制资产组合虚假转移给空公司实体的，该公司的所有者必须遵守重复的一期资本要求，但可以选择在以下时间终止所有权：任何时候。负债的价值定义为流向保单持有人的现金的无套利价格，从所有者的角度出发，在考虑资本要求的情况下最佳地制止该价格。将该值作为对一系列耦合的最佳停止问题的解决方案进行计算，或者等效地作为对反向递归的解决方案进行计算。