Wilkie investment model
The Wilkie investment model, often just called Wilkie model, is a
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 extensive 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
- price inflation
- wage inflation
- share yield
- share dividend
- consols yield (long-term interest rate)
- bank rate (short-term interest rate)
References
- ^ Wilkie, A.D. (1986). "A stochastic investment model for Actuarial Use" (PDF). Transactions of the Faculty of Actuaries. 39: 341–403. .
- ^ Geoghegan, T J; Clarkson, R S; Feldman, K S; Green, S J; Kitts, A; Lavecky, J P; Ross, F J M; Smith, W J; Toutounchi, A (27 January 1992). "Report on the Wilkie investment model". Journal of the Institute of Actuaries. 119: 173–228. .
- ^ Şahin, Şule; Cairns, Andrew; Kleinow, Torsten; Wilkie, A. D. (12 June 2008). Revisiting the Wilkie Investment Model (PDF). International Actuarial Association, AFIR/ERM Sectional Colloquium, Rome, 2008.
- ^
Wilkie, A.D. (1995). "More on a stochastic asset model for actuarial use". British Actuarial Journal. 1 (5): 777–964. S2CID 153338215.