The value of a liability cash flow in discrete time subject to capital requirements
定义了离散时间下受重复资本要求约束的保险负债现金流市场一致多期价值，通过假设将负债和复制组合转移至空壳公司，所有者可随时终止但需满足资本要求，价值由最优停止问题的解给出。
Abstract 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.