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The Wilkie Model for Retail Price Inflation Revisited

Published online by Cambridge University Press:  10 June 2011

W.S. Chan  and
S. Wang
W.S. Chan
Affiliation:
Department of Statistics, The University of Hong Kong, Pokfulam Road, Hong Kong. Tel: + 852-2859-2466; Fax: + 852-2858-5041; E-mail; ecscws@nus.edu.sg
S. Wang
Affiliation:
SCOR Reinsurance Company, One Pierce Place, Itasca, IL 60143-4049, USA. Tel: + 1-312-663-9393: Fax: + 1-312-663-6611; E-mail: scorus/itasca/swang%5512559@mcimail.com
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Abstract

A first order autoregressive model was proposed in Wilkie (1995) for the retail price inflation series as a part of his stochastic investment model. In this paper we apply time series outlier analysis to the data set and a revised model is derived. It significantly alleviates the problem of leptokurtic and positive skewed residual distribution as found in the original model. Finally, ARCH models for the original series and the outlier-adjusted data are also considered.

Keywords

ARCH ModelsPrice InflationStochastic Asset ModelsTime-Series OutliersWilkie Model
Type
Sessional meetings: papers and abstracts of discussions
Information
British Actuarial Journal , Volume 4 , Issue 3 , 01 August 1998 , pp. 637 - 652
Copyright
Copyright © Institute and Faculty of Actuaries 1998

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References

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