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A Review of Wilkie's Stochastic Asset Model

Published online by Cambridge University Press:  10 June 2011

P.P. Huber
P.P. Huber
Affiliation:
Swiss Re Life & Health Ltd, Tower 42 International Financial Centre, Old Broad Street, London, EC2N 1HQ, U.K. Tel: +44 (0)20 7204 3994; Fax: +44 (0)20 7204 3941; E-mail: paul [email protected]
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Abstract

This paper reviews the United Kingdom stochastic asset model developed by Wilkie (1995b). Certain aspects of the methodology used to develop this model could be problematic. Moreover, Wilkie (1995b) did not provide a complete evaluation of his model; certain economic theories and the constancy of the model's parameter values did not appear to have been specifically considered. This paper attempts to provide a comprehensive review of Wilkie's model.

Keywords

Stochastic Asset ModelsWilkie's ModelFinancial Time Series
Type
Sessional meetings: papers and abstracts of discussions
Information
British Actuarial Journal , Volume 3 , Issue 1 , 01 April 1997 , pp. 181 - 210
Copyright
Copyright © Institute and Faculty of Actuaries 1997

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