A Non-Linear Stochastic Asset Model for Actuarial Use

S.P. Whitten and R.G. Thomas

British Actuarial Journal, 1999, vol. 5, issue 5, 919-953

Abstract: This paper reviews the stochastic asset model described in Wilkie (1995) and previous work on refining this model. The paper then considers the application on non-linear modelling to investment series, considering both ARCH techniques and threshold modelling. The paper suggests a threshold autoregressive (TAR) system as a useful progression from the Wilkie (1995) model. The authors are making available (on compact disk) a collection of spreadsheets, which they have used to simulate the stochastic asset models which are considered in this paper.

Date: 1999
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