Updating Wilkie’s Economic Scenario Generator for U.S. Applications

Saisai Zhang, Mary Hardy and David Saunders

North American Actuarial Journal, 2018, vol. 22, issue 4, 600-622

Abstract: The Wilkie economic scenario generator has had a significant influence on economic scenario generators since the first formal publication in 1986 by Wilkie. In this article we update the model parameters using U.S. data to 2014, and review the model performance. In particular, we consider stationarity assumptions, parameter stability, and structural breaks.

Date: 2018
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DOI: 10.1080/10920277.2018.1466713

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