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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
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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
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

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References

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