Hostname: page-component-5db58dd55d-8lnk4 Total loading time: 0 Render date: 2026-05-26T07:16:00.374Z Has data issue: true hasContentIssue false
  • English
  • Français

A Non-Linear Stochastic Asset Model for Actuarial Use

Published online by Cambridge University Press:  10 June 2011

S.P. Whitten  and
R.G. Thomas
S.P. Whitten
Affiliation:
Warburg Dillon Read, 1 Finsbury Avenue, London, EC2M 2PP, U.K. Tel: +44(0)171-567-8000; Fax: +44(0)171-568-4800; E-mail: Simon.Whitten@wdr.com
R.G. Thomas
Affiliation:
Varsity Actuarial Limited, The Radfall, Summer Lane, Tyler Hill, Canterbury, CT2 9NH, U.K. Tel: +44(0)1227-463-214; Fax: +44(0)1227-463-214; E-mail: R.G.Thomas@ukc.ac.uk
Get access Rights & Permissions [Opens in a new window]

Abstract

This paper reviews the stochastic asset model described in Wilkie (1995) and previous work on refining this model. The paper then considers the application on non-linear modelling to investment series, considering both ARCH techniques and threshold modelling. The paper suggests a threshold autoregressive (TAR) system as a useful progression from the Wilkie (1995) model. The authors are making available (on compact disk) a collection of spreadsheets, which they have used to simulate the stochastic asset models which are considered in this paper.

Keywords

Non-Linear ModelsThreshold ModelsARCH ModelsWilkie ModelTime-Series ModelsPrice InflationWagesLong-Term and Short-Term Interest RatesShare Dividend YieldsShare Dividends

Information

Type
Sessional meetings: papers and abstracts of discussions
Information
British Actuarial Journal , Volume 5 , Issue 5 , 01 December 1999 , pp. 919 - 953
Copyright
Copyright © Institute and Faculty of Actuaries 1999

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

Article purchase

Temporarily unavailable