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More on a Stochastic Asset Model for Actuarial Use


  • Wilkie, A.D.


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.

Suggested Citation

  • Wilkie, A.D., 1995. "More on a Stochastic Asset Model for Actuarial Use," British Actuarial Journal, Cambridge University Press, vol. 1(05), pages 777-964, December.
  • Handle: RePEc:cup:bracjl:v:1:y:1995:i:05:p:777-964_00

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    1. Consiglio, Andrea & Saunders, David & Zenios, Stavros A., 2006. "Asset and liability management for insurance products with minimum guarantees: The UK case," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 645-667, February.
    2. Consiglio, Andrea & Cocco, Flavio & Zenios, Stavros A., 2008. "Asset and liability modelling for participating policies with guarantees," European Journal of Operational Research, Elsevier, vol. 186(1), pages 380-404, April.
    3. Duxbury, Darren & Summers, Barbara & Hudson, Robert & Keasey, Kevin, 2013. "How people evaluate defined contribution, annuity-based pension arrangements: A behavioral exploration," Journal of Economic Psychology, Elsevier, vol. 34(C), pages 256-269.
    4. Cairns, Andrew J. G., 2000. "A discussion of parameter and model uncertainty in insurance," Insurance: Mathematics and Economics, Elsevier, vol. 27(3), pages 313-330, December.
    5. Sule Sahin & Adem Yavuz Elveren, 2009. "A Cost Analysis of a Minimum Pension Guarantee for the Individual Pension System in Turkey," Working Paper Series, Department of Economics, University of Utah 2009_13, University of Utah, Department of Economics.
    6. Johnny Siu-Hang Li & Mary R. Hardy & Ken Seng Tan, 2010. "On Pricing and Hedging the No-Negative-Equity Guarantee in Equity Release Mechanisms," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 77(2), pages 499-522.
    7. Stahl, Gerhard & Sibbertsen, Philipp & Bertram, Philip, 2011. "Modellrisiko = Spezifikation + Validierung," Hannover Economic Papers (HEP) dp-468, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    8. Cairns, Andrew J. G. & Parker, Gary, 1997. "Stochastic pension fund modelling," Insurance: Mathematics and Economics, Elsevier, vol. 21(1), pages 43-79, October.
    9. Hong-Chih Huang, 2010. "Optimal Multiperiod Asset Allocation: Matching Assets to Liabilities in a Discrete Model," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 77(2), pages 451-472.
    10. Jan G. de Gooijer & Antoni Vidiella-i-Anguera, 2000. "Modelling Seasonalities in Nonlinear Inflation Rates using SEASETARs," Tinbergen Institute Discussion Papers 00-098/4, Tinbergen Institute.
    11. Tokat, Yesim & Rachev, Svetlozar T. & Schwartz, Eduardo S., 2003. "The stable non-Gaussian asset allocation: a comparison with the classical Gaussian approach," Journal of Economic Dynamics and Control, Elsevier, vol. 27(6), pages 937-969, April.
    12. Kim Changki, 2005. "Surrender Rate Impacts on Asset Liability Management," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 1(1), pages 1-36, June.
    13. Eckhard Platen, 2009. "Real World Pricing of Long Term Contracts," Research Paper Series 262, Quantitative Finance Research Centre, University of Technology, Sydney.
    14. Youssouf A. F. Toukourou & Franc{c}ois Dufresne, 2015. "ON Integrated Chance Constraints in ALM for Pension Funds," Papers 1503.05343,
    15. De Gooijer, Jan G. & Vidiella-i-Anguera, Antoni, 2003. "Nonlinear stochastic inflation modelling using SEASETARs," Insurance: Mathematics and Economics, Elsevier, vol. 32(1), pages 3-18, February.
    16. Booth, Philip & Walsh, Duncan, 2001. "An option pricing approach to valuing upward only rent review properties with multiple reviews," Insurance: Mathematics and Economics, Elsevier, vol. 28(2), pages 151-171, April.
    17. Blake, David & Cairns, Andrew J. G. & Dowd, Kevin, 2001. "Pensionmetrics: stochastic pension plan design and value-at-risk during the accumulation phase," Insurance: Mathematics and Economics, Elsevier, vol. 29(2), pages 187-215, October.
    18. repec:gam:jrisks:v:5:y:2017:i:4:p:57-:d:117091 is not listed on IDEAS
    19. Berketi, Alexandra K. & Macdonald, Angus S., 1999. "The effect of the nature of the liabilities on the solvency and maturity payouts of a UK life office fund: a stochastic evaluation," Insurance: Mathematics and Economics, Elsevier, vol. 24(1-2), pages 117-138, March.
    20. Berketi, Alexandra K., 1999. "Insolvency risk and its impact on the policyholders' investment choices: a mean-variance approach for participating life insurance business in UK," Insurance: Mathematics and Economics, Elsevier, vol. 25(3), pages 349-372, December.
    21. Chan, W.S. & Cheung, S.H., 2005. "A bivariate threshold time series model for analyzing Australian interest rates," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 68(5), pages 429-437.
    22. Chan, W.S. & Cheung, S.H. & Zhang, L.X. & Wu, K.H., 2008. "Temporal aggregation of equity return time-series models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 78(2), pages 172-180.
    23. Lee, Yung-Tsung, 2015. "A Framework to Charge for Unit-Linked Contracts When Considering Guaranteed Risk," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 5(3), pages 495-509, March.
    24. Haberman, Steven & Lam, Yuk Patrick & Wong, 1997. "Moving average rates of return and the variability of pension contributions and fund levels for a defined benefit pension scheme," Insurance: Mathematics and Economics, Elsevier, vol. 20(2), pages 115-135, September.
    25. Boyle, Phelim P. & Hardy, Mary R., 1997. "Reserving for maturity guarantees: Two approaches," Insurance: Mathematics and Economics, Elsevier, vol. 21(2), pages 113-127, November.

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