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A Non-Linear Stochastic Asset Model for Actuarial Use

Author

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  • Whitten, S.P.
  • Thomas, R.G.

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.

Suggested Citation

  • Whitten, S.P. & Thomas, R.G., 1999. "A Non-Linear Stochastic Asset Model for Actuarial Use," British Actuarial Journal, Cambridge University Press, vol. 5(5), pages 919-953, December.
    • Handle: RePEc:cup:bracjl:v:5:y:1999:i:05:p:919-953_00
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    Cited by:

    1. 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.
    2. 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.
    3. Man-Wai Ng & Wai-Sum Chan, 2004. "Robustness of alternative non-linearity tests for SETAR models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(3), pages 215-231.
    4. Siu, Tak Kuen, 2016. "A self-exciting threshold jump–diffusion model for option valuation," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 168-193.

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