Whitten, S.P. and Thomas, R.G. (1999) A non-linear stochastic asset model for actuarial use. British Actuarial Journal, 5 (5). pp. 919-953. ISSN 1357-3217.
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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.
|Subjects:||H Social Sciences > HG Finance|
|Divisions:||Faculties > Science Technology and Medical Studies > School of Mathematics Statistics and Actuarial Science > Actuarial Science|
|Depositing User:||R.G. Thomas|
|Date Deposited:||07 Jul 2012 12:44|
|Last Modified:||13 Mar 2013 19:48|
|Resource URI:||http://kar.kent.ac.uk/id/eprint/29800 (The current URI for this page, for reference purposes)|
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