A Review of Wilkie's Stochastic Asset Model

P.P. Huber

British Actuarial Journal, 1997, vol. 3, issue 1, 181-210

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.

Date: 1997
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