Yet more on a stochastic economic model: part 2: initial conditions, select periods and neutralising parameters

A. D. Wilkie and Şule Şahin

Annals of Actuarial Science, 2016, vol. 10, issue 1, 1-51

Abstract: In this paper, we consider a number of practical and theoretical aspects of the Wilkie asset model, many of which apply to any similar model used for simulation over time. We discuss the experience of the Wilkie model since 2009. We then discuss the variables that can form the working set, the input set and the output set, all of which may be different. There are different ways of simulating, either in a linear parallel structure or in a branching tree structure. We then discuss the initial conditions required, which may be market conditions at some date, or may be “neutral” initial conditions, which may be defined in different ways. One method of generating initial conditions would be to simulate them randomly, from their own long-term distribution, and we show how to calculate the means, variances and covariances of these. What we call “neutralising parameters” may have a role, and we discuss how these may be found. Finally, we suggest using additional information in the first periods of the simulation to adjust the formulae or parameters for a limited “select period”.

Date: 2016
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://www.cambridge.org/core/product/identifier/ ... type/journal_article link to article abstract page (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cup:anacsi:v:10:y:2016:i:01:p:1-51_00

Access Statistics for this article

More articles in Annals of Actuarial Science from Cambridge University Press Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
Bibliographic data for series maintained by Kirk Stebbing ().