A Non-Linear Stochastic Asset Model for Actuarial Use

S.P. Whitten

34 citations0/0 files storedBritish Actuarial Journal

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Probability and Risk Models

Abstract

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.

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References

1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1977Time Series Analysis: Forecasting and Control 1977Time Series Analysis: Forecasting and Control 1992ARCH modeling in finance 1993Threshold arch models and asymmetries in volatility 1984A Stochastic Investment Model for Actuarial Use 1996On a double-threshold autoregressive heteroscedastic time series model 1996How Actuaries Can Use Financial Economics

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2004Some Nonlinear Threshold Autoregressive Time Series Models for Actuarial Use 2011Yet More on a Stochastic Economic Model: Part 1: Updating and Refitting, 1995 to 2009

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