Yet More on a Stochastic Economic Model: Part 1: Updating and Refitting, 1995 to 2009

Wilkie, A. D.; Şahın, Şule; Cairns, Andrew J. G.; Kleinow, Torsten

doi:10.1017/s1748499510000072

Cited by 27 publications

(34 citation statements)

References 11 publications

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“…Furthermore, these models were fitted to data from numerous developed countries and an exchange rate model was proposed. Sahin et al (2008) and Wilkie et al (2010) reviewed the Wilkie asset model for a variety of UK economic indices in each case by updating the parameters to June 2009. They discussed how the model has performed from 1994 to 2009 and estimated the values of the parameters and their confidence intervals over various sub-periods to study their stability.…”

Section: Comparison Of the Wilkie Model And The Yield-macro Modelmentioning

confidence: 99%

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A yield-macro model for actuarial use in the United Kingdom

et al. 2014

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We construct yield curve models for the UK nominal, real and implied inflation spot rates considering the linkage between their term structures and some macroeconomic variables, in particular, realised inflation and real GDP growth. The paper extends the benchmark "yield-only" model proposed by Şahin et al. (2014) by exploring the bidirectional relations between the yield curve factors and the macroeconomic variables and proposes a "yield-macro" model. Although a simple autoregressive order one process fits the yield curve factors quite well the insertion of some macroeconomic variables such as realised inflation and real GDP growth improves the models significantly. We also model macroeconomic variables that take the term structures into account and compare the yield-macro model with Wilkie's model both philosophically and empirically.

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Section: Comparison Of the Wilkie Model And The Yield-macro Modelmentioning

confidence: 99%

“…They observe also that besides the stochastic uncertainty built into the model by the random innovations there is also parameter uncertainty arising from the estimated values of the parameters. We use the updated parameters presented in Wilkie et al (2010) for the Wilkie model in this comparison.…”

Section: Comparison Of the Wilkie Model And The Yield-macro Modelmentioning

confidence: 99%

A yield-macro model for actuarial use in the United Kingdom

et al. 2014

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“…Sahin et al (2008) revisit the Wilkie investment model by updating the parameters to 2007 and studying the parameter stability. Wilkie et al (2011) update the Wilkie (1995) model to 2009, and the results report that the residuals of many series are much fatter-tailed than a normal distribution. Butt (2010) builds both a Kemp model (as discussed by Smith, 1995) and a Wilkie-type model based on Australian data for stochastic management of closed defined benefit retirement schemes.…”

Section: Introductionmentioning

confidence: 99%

Stochastic economic models for actuarial use: an example from China

Huang

Butt

2014

Ann. actuar. sci.

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In this paper, the first study of stochastic economic modelling with Chinese data is conducted for actuarial use. Univariate models, vector autoregression and two cascade systems (equity-driving cascade system and price-inflation-driving cascade system) are described and compared. We focus on six major economic assumptions for modelling purposes, which are price inflation rate, wage inflation rate, long-term interest rate, short-term interest rate, equity total return and bond total return. Granger causality tests are used to identify the driving force of a cascade system. Robust standard errors are estimated for each model. Diagnostic checking of residuals, goodness-of-fit measures and out-of-sample validations are applied for model selection. By comparing different models for each variable, we find that the equity-driving cascade system is the best structure for actuarial use in China. The forecasts of the variables could be applied as economic inputs to stochastic projection models of insurance portfolios or pension funds for short-term asset and liability cash flow forecasting.

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“…Introduction 1.1. In Parts 1 and 2 of this series of papers (Wilkie et al, 2011;Wilkie & Sahin, 2016), we updated the Wilkie model (see Wilkie 1986 andWilkie 1995) to 2009 and described several aspects of using such an annual model. In Part 3 we turn to considering ways to make the model applicable to shorter time steps by stochastic interpolation between the points of a stochastically generated annual model.…”

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confidence: 99%