Wilkie investment model

The Wilkie investment model or often just called Wilkie model is a stochastic asset model developed by A.D. Wilkie that describes the behavior of various economics factors as stochastic time series. These time series are generated by autoregressive models. The main factor of the model which influences all asset prices is the consumer price index. The model is mainly in use for actuarial work and asset liability management. Because of the stochastic properties of that model it is mainly combined with Monte-Carlo-Methods.

Wilkie first proposed the model in 1986, in a paper published in the Transactions of the Faculty of Actuaries.[1] It has since been the subject of extensively study and debate.[2][3] Wilkie himself updated and expanded the model in a second paper published in 1995.[4] He advises to use that model to determine the "funnel of doubt", which can be seen as an interval of minimum and maximum development of a corresponding economic factor.

Components

References

  1. ^ Wilkie, A.D. (1986). "A stochastic investment model for Actuarial Use". Transactions of the Faculty of Actuaries 39: 341–403. http://www.ressources-actuarielles.net/EXT/ISFA/1226.nsf/9c8e3fd4d8874d60c1257052003eced6/45598228d0f74430c125760600616281/$FILE/wilkie_1986.pdf. 
  2. ^ Geoghegan, T J; Clarkson, R S; Feldman, K S; Green, S J; Kitts, A; Lavecky, J P; Ross, F J M; Smith, W J et al. (27 January 1992). "Report on the Wilkie investment model". Journal of the Institute of Actuaries 119: 173–228. http://www.actuaries.org.uk/research-and-resources/documents/report-wilkie-stochastic-investment-model. 
  3. ^ Şahin, Şule; Cairns, Andrew; Kleinow, Torsten; Wilkie, A. D. (12 June 2008). "Revisiting the Wilkie Investment Model". International Actuarial Association, AFIR/ERM Sectional Colloquium, Rome, 2008. http://www.actuaries.org/AFIR/Colloquia/Rome2/Cairns_Kleinow_Sahin_Wilkie.pdf. 
  4. ^ Wilkie, A.D. (1995). "More on a stochastic asset model for actuarial use". British Actuarial Journal.