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A Stochastic Investment Model for Actuarial Use

Published online by Cambridge University Press:  03 October 2014

A. D. Wilkie
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1.1. The purpose of this paper is to present to the actuarial profession a stochastic investment model which can be used for simulations of “possible futures” extending for many years ahead. The ideas were first developed for the Maturity Guarantees Working Party (MGWP) whose report was published in 1980. The ideas were further developed in my own paper “Indexing Long Term Financial Contracts” (1981). However, these two papers restricted themselves to a consideration of ordinary shares and of inflation respectively, whereas in this paper I shall present what seems to me to be the minimum model that might be used to describe the total investments of a life office or pension fund.

Type
Research Article
Information
Transactions of the Faculty of Actuaries , Volume 39 , 1984 , pp. 341 - 403
Copyright
Copyright © Institute and Faculty of Actuaries 1984

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References

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