  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 approach presented 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.
