A Stochastic Investment Model for Actuarial UseA Stochastic Investment Model for Actuarial Use The purpose of this paper is to present to the ... exponentially lagged effect and an additional direct effect, and on the residual, YE(t), from the yield ...
Description: The purpose of this paper is to present to the actuarial profession a stochastic investment model which can be used for simulations extending for many years ahead. Discussed in the paper are the general reasons for choosing the style of model, the general model and how to use it, the assumptions and the sensitivity of model to the assumptions made and the possible applications in the investment and actuarial fields.Hide
- Authors: A D Wilkie
- Date: Oct 1999
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Investments; Modeling & Statistical Methods>Stochastic models