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A non-linear stochastic asset model for actuarial use

By S.P. Whitten and R. Guy Thomas

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 of 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 (by email, on request) a collection of spreadsheets, which they have used to simulate the stochastic asset models which are considered in this paper

Topics: HG
Year: 1999
OAI identifier: oai:kar.kent.ac.uk:29800

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