World Library  
Flag as Inappropriate
Email this Article

Wilkie investment model

Article Id: WHEBN0033332874
Reproduction Date:

Title: Wilkie investment model  
Author: World Heritage Encyclopedia
Language: English
Subject: Stochastic modelling (insurance), Poisson point process, Cox process, Continuum percolation theory, Insurance
Collection:
Publisher: World Heritage Encyclopedia
Publication
Date:
 

Wilkie investment model

The Wilkie investment model, often just called Wilkie model, is a stochastic asset model developed by A. D. Wilkie that describes the behavior of various economics factors as stochastic time series. These time series are generated by autoregressive models. The main factor of the model which influences all asset prices is the consumer price index. The model is mainly in use for actuarial work and asset liability management. Because of the stochastic properties of that model it is mainly combined with Monte Carlo methods.

Wilkie first proposed the model in 1986, in a paper published in the Transactions of the Faculty of Actuaries.[1] It has since been the subject of extensive study and debate.[2][3] Wilkie himself updated and expanded the model in a second paper published in 1995.[4] He advises to use that model to determine the "funnel of doubt", which can be seen as an interval of minimum and maximum development of a corresponding economic factor.

Components

  • price inflation
  • wage inflation
  • share yield
  • share dividend
  • consols yield (long term interest rate)
  • bank rate (short term interest rate)

References

  1. ^ Wilkie, A.D. (1986). "A stochastic investment model for Actuarial Use". Transactions of the Faculty of Actuaries 39: 341–403. 
  2. ^ Geoghegan, T J; Clarkson, R S; Feldman, K S; Green, S J; Kitts, A; Lavecky, J P; Ross, F J M; Smith, W J; Toutounchi, A (27 January 1992). "Report on the Wilkie investment model". Journal of the Institute of Actuaries 119: 173–228. 
  3. ^ Şahin, Şule; Cairns, Andrew; Kleinow, Torsten; Wilkie, A. D. (12 June 2008). "Revisiting the Wilkie Investment Model". International Actuarial Association, AFIR/ERM Sectional Colloquium, Rome, 2008. 
  4. ^ Wilkie, A.D. (1995). "More on a stochastic asset model for actuarial use". British Actuarial Journal. 
This article was sourced from Creative Commons Attribution-ShareAlike License; additional terms may apply. World Heritage Encyclopedia content is assembled from numerous content providers, Open Access Publishing, and in compliance with The Fair Access to Science and Technology Research Act (FASTR), Wikimedia Foundation, Inc., Public Library of Science, The Encyclopedia of Life, Open Book Publishers (OBP), PubMed, U.S. National Library of Medicine, National Center for Biotechnology Information, U.S. National Library of Medicine, National Institutes of Health (NIH), U.S. Department of Health & Human Services, and USA.gov, which sources content from all federal, state, local, tribal, and territorial government publication portals (.gov, .mil, .edu). Funding for USA.gov and content contributors is made possible from the U.S. Congress, E-Government Act of 2002.
 
Crowd sourced content that is contributed to World Heritage Encyclopedia is peer reviewed and edited by our editorial staff to ensure quality scholarly research articles.
 
By using this site, you agree to the Terms of Use and Privacy Policy. World Heritage Encyclopedia™ is a registered trademark of the World Public Library Association, a non-profit organization.
 



Copyright © World Library Foundation. All rights reserved. eBooks from World eBook Library are sponsored by the World Library Foundation,
a 501c(4) Member's Support Non-Profit Organization, and is NOT affiliated with any governmental agency or department.