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More on a Stochastic Asset Model for Actuarial Use

Listed author(s):
  • Wilkie, A.D.
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    In this paper the ‘Wilkie investment model’ is discussed, updated and extended. The original model covered price inflation, share dividends, share dividend yields (and hence share prices) and long-term interest rates, and was based on data for the United Kingdom from 1919 to 1982, taken at annual intervals. The additional aspects now covered include: the extension of the data period to 1994 (with omission of the period from 1919 to 1923); the inclusion of models for a wages (earnings) index, short-term interest rates, property rentals and yields (and hence property prices) and yields on index-linked stock; consideration of data for observations more frequently than yearly, in particular monthly data; extension of the U.K. model to certain other countries; introduction of a model for currency exchange rates; extension of certain aspects of the model to a larger number of other countries; and consideration of more elaborate forms of time-series modelling, in particular cointegrated models and ARCH models.

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    Article provided by Cambridge University Press in its journal British Actuarial Journal.

    Volume (Year): 1 (1995)
    Issue (Month): 05 (December)
    Pages: 777-964

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    Handle: RePEc:cup:bracjl:v:1:y:1995:i:05:p:777-964_00
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