Wilkie investment model
The Wilkie investment model, 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. It has since been the subject of extensive study and debate. Wilkie himself updated and expanded the model in a second paper published in 1995. 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.

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Wilkie investment model - Wikipedia, the free encyclopedia
The Wilkie investment model, often just called Wilkie model, is a stochastic asset model developed by A. D. Wilkie that describes the behavior of various ...
en.wikipedia.org/wiki/Wilkie_investment_model
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Revisiting the Wilkie Investment Model - International Actuarial ...
Jun 12, 2008 ... Stochastic Asset Models, Wilkie investment model, Price Inflation, Share ... The Wilkie stochastic investment model, developed by A. D. Wilkie, ...
www.actuaries.org/AFIR/Colloquia/Rome2/Cairns_Kleinow_Sahin_Wilkie.pdf
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Wilkie Investment Model - Wiley Online Library
Wilkie investment model. Introduction. The Wilkie stochastic investment model, developed by Professor Wilkie, is described fully in two papers; the original ...
onlinelibrary.wiley.com/doi/10.1002/9780470012505.taw002/pdf
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1. Introduction to Stochastic Investment models - CiteSeer
This dissertation examines the Wilkie model and alternative models based on the basic ..... investment models and the problems associated with the use of these.
citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.198.7497&rep=rep1&type=pdf
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A Stochastic Investment Model for Actuarial Use - Society of Actuaries
A Stochastic Investment Model for Actuarial Use by. A. D. Wilkie. [Submitted to the Faculty on 19th November 1984]. 1. Introduction. 1.1. The purpose of this ...
www.soa.org/library/monographs/50th-anniversary/investment-section/1999/january/m-as99-2-06.pdf
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On the Application of the Wilkie Model to the TSX Price Index
This thesis evaluates the ability of Wilkie's stochastic investment models to predict TSX ... In the Wilkie Model, correlated econometric indices were modeled.
www.soa.org/library/proceedings/arch/2008/arch-2008-iss1-qiu.pdf
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On the Application of the Wilkie Model to the TSX Price Index
Aug 3, 2007 ... The Wilkie Model is the first stochastic investment model of long term returns of ... Many applications of Wilkie's hierarchy structural modeling.
www.soa.org/library/proceedings/arch/2008/arch-2008-iss1-qiu-slides.pdf
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Yet More on a Stochastic Economic Model: Part 1 - Mathematical ...
In this paper we review the Wilkie asset model for a variety of UK economic indices, ... ''A stochastic investment model for actuarial use'' (Wilkie, 1986), in which, ...
www.macs.hw.ac.uk/~andrewc/papers/AAS2010.pdf
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Wilkie models - Vose Software
The Wilkie Model is a stochastic asset model developed by A.D. Wilkie, which models the ... The Wilkie model has a cascade structure for the investment series,  ...
www.vosesoftware.com/ModelRiskHelp/Time_series/Wilkie_models.htm
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INVESTMENT RETURNS AND INFLATION MODELS ... - Insureware
The development of stochastic investment models for actuarial and investment applications ... relationships refer to Wilkie (1986, 1995) and Thomson (1996).
www.insureware.com/Library/Other/InvestmentReturn.pdf
Search results for "Wilkie investment model"
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Wilkie investment model in science
[PDF]Revisiting the Wilkie Investment Model - International Actuarial ...
Jun 12, 2008 ... Department of Actuarial Sciences, Hacettepe University, 06800, Beytepe, ... Stochastic Asset Models, Wilkie investment model, Price Inflation, ...
[PDF]A Comparison of the Wilkie Model and a “Yield-Macro Model” for UK ...
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, ... The Wilkie stochastic investment model, developed by A. D. Wilkie, is described ...
[PDF]STOCHASTIC INVESTMENT MODELS FOR ACTUARIAL ... - ROS
The starting point of this study is the Wilkie investment model (1995). ... University , Adem Yavuz Elveren for his support and kindness since we have met and.
[PDF]On the Application of the Wilkie Model to the TSX Price Index
Abstract. This thesis evaluates the ability of Wilkie's stochastic investment models to predict TSX price index yield. ... master program in the University of Calgary.
Wilkie investment model - Wikipedia, the free encyclopedia
The Wilkie investment model, often just called Wilkie model, is a stochastic asset model developed by A. D. Wilkie that describes the behavior of various ...
Wilkie Investment Model Wiley - Wiley Online Library
Sep 29, 2014 ... University of Waterloo, Department of Statistics and Acturial Science, ... The Wilkie stochastic investment model, developed by Professor Wilkie, ...
A review of Wilkie's stochastic investment model - City Research ...
A review of Wilkie's stochastic investment model (Report No. Actuarial ... 70). London, UK: Faculty of Actuarial Science & Insurance, City University London.
[PDF]1. Introduction to Stochastic Investment models - CiteSeer
The City University, London ... This dissertation examines the Wilkie model and alternative models based ... Comments on and Criticisms of the Wilkie Model.
Books on the term Wilkie investment model
Modern Actuarial Theory and Practice, Second Edition
Philip Booth, Robert Chadburn, Steven Haberman, 2004
The use of a model including a random shock component suffers from one major disadvantage: it is very difficult to produce reliable parameter estimates for the shock component. Shocks ... 5.5.4 The Wilkie Stochastic Investment Model 5.5.4.
WARBY PARKER WILKIE-200-50X18 POLARIZED CLIP-ON SUNGLASSES (Frame NOT Included)
WARBY PARKER WILKIE-200-50X18 POLARIZED CLIP-ON SUNGLASSES (Frame NOT Included)
Mary Hardy, 2003
Brand new, custom-made, clip-on sunglasses for your own eyeglasses frame will perfectly fit today's top-selling, brand name eyeglasses. Forget about buying expensive prescription sunglasses for another 300 or more US dollars, and you do not need to carry around another pair of glasses. Even with transition lenses for your prescription glasses,...
Investment Guarantees: Modeling and Risk Management for ...
Mary Hardy, 2003
THE WILIIlE MIJUEL The Wilkie Model Structure The Wilkie model (Wilkie 1986, 1995) was developed over a number of years, with an early version applied to GMMBs in the MGWP Report (1980) and the full version first applied to insurance  ...
Investment Guarantees: The New Science of Modeling and Risk Management for Equity-Linked Life Insurance
Investment Guarantees: The New Science of Modeling and Risk Management for Equity-Linked Life Insurance
Mary Hardy, 2003
A comprehensive guide to investment guarantees in equity-linked life insuranceDue to the convergence of financial and insurance markets, new forms of investment guarantees are emerging which require financial service professionals to become savvier in modeling and risk management. With chapters that discuss stock return models, dynamic hedging, ris...
Investment Mathematics
Andrew T. Adams, Philip M. Booth, David C. Bowie, 2003
However, the equity investment in pension funds creates additional risk, not only for the members of the scheme, but ... 17.9 THE WILKIE MODEL The Wilkie model is the name for a family of models, developed and subsequently refined by AD.
Financial Models of Insurance Solvency (Huebner International Series on Risk, Insurance and Economic Security)...
Financial Models of Insurance Solvency (Huebner International Series on Risk, Insurance and Economic Security)...
2013
The First International Conference on Insurance Solvency was held at the Wharton School, University of Pennsylvania from June 18th through June 20th, 1986. The conference was the inaugural event for Wharton's Center for Research on Risk and Insurance. In atten­ dance were thirty-nine representatives from Australia, Canada, France, Germany, Isr...
Handbook of Solvency for Actuaries and Risk Managers: Theory and Practice (Chapman & Hall/Crc Finance Series)
Handbook of Solvency for Actuaries and Risk Managers: Theory and Practice (Chapman & Hall/Crc Finance Series)
Arne Sandström, 2010
Reflecting the author’s wealth of experience in this field, Handbook of Solvency for Actuaries and Risk Managers: Theory and Practice focuses on the valuation of assets and liabilities, the calculation of capital requirement, and the calculation of the standard formula for the European Solvency II project. The first three sections of the book exami...
Financial Models of Insurance Solvency
J. David Cummins, Richard A. Derrig, 1989
We shall be concerned solely with the investment risk to the insurance company and we shall study this numerically ... experience of a single cohort of identical endowment assurance policies using Wilkie's stochastic investment model [1986] .
Asset/Liability Management of Financial Institutions: Maximising Shareholder Value through Risk-Conscious Investing...
Asset/Liability Management of Financial Institutions: Maximising Shareholder Value through Risk-Conscious Investing...
2003
As the first-ever definitive guide to Asset/Liability Management (ALM) across financial institutions, this book is essential in developing consistent frameworks for risk management. Leveraging the experience of 38 senior industry practitioners, it provides a unique and practical perspective on the practice of ALM. The book covers the management, te...
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Blog posts on the term
Wilkie investment model
Wilkie investment model - Wikipedia, the free encyclopedia
en.wikipedia.org/wiki/Wilkie_investment_model
Revisiting the Wilkie Investment Model - International Actuarial ...
www.actuaries.org/AFIR/Colloquia/Rome2/Cairns_Kleinow_Sahin_Wilkie.pdf
Willkie Farr & Gallagher discusses SEC Valuation Guidance | CLS Blue Sky Blog
The Securities and Exchange Commission recently issued valuation guidance for all registered investment companies and business development companies embedded in the adopting release relating to money market reform.
clsbluesky.law.columbia.edu/2014/10/08/willkie-farr-gallagher-discusses-sec-valuation-guidance/
Numerical evaluation of the Wilkie inflation model
www.sciencedirect.com/science/article/pii/016766879290020C
Katie Wilkie
What is the purpose of school? What is the goal, the desired outcome? There are probably a million different answers to this question, one for each person who has any kind of investment in students and schools. Tony Wagner, in his recent book, proposes that really successful teachers and schools produce innovators--people who have passion, purpose, and the motivation to make a difference in their chosen field. I went to the bookstore last Saturday to look for some books on education that I'd seen featured on Steve Hargadon's interview series (see the interview archive here).
kcwdigitized.blogspot.com/
Cambridge Journals Online - Transactions of the Faculty of Actuaries - Abstract - A Stochastic Investment Model for Actuarial Use.
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journals.cambridge.org/abstract_S0071368600009009
Cambridge Journals Online - Journal of the Institute of Actuaries - Abstract - Report on the Wilkie stochastic investment model
A FIMAG Working Party was set up in 1989 to consider the stochastic investment model proposed by A. D. Wilkie, which had been used by a number of actuaries for various purposes, but had not itself been discussed at the Institute. This is the Report of that Working Party. First, the Wilkie model is described. Then the model is reviewed, and alternative types of model are discussed. Possible applications of the model are considered, and the important question of is introduced. Finally the Report looks at possible future developments. In appendices, Clarkson describes a specific alternative model for inflation, and Wilkie describes some experiments with ARCH models. In further appendices possible applications of stochastic investment models to pension funds, to life assurance and to investment management are discussed.
journals.cambridge.org/abstract_S0020268100019879
Linda Wilkie | Research Announcements
LB606 Internal Deadline: March 9th by Linda Wilkie | March 4, 2015.
blog.unmc.edu/research-announcements/author/lwilkie/
Kyle Blackmon Brown Harris Stevens | Kyle Blackmon
Kyle Blackmon, one of the city’s elite luxury brokers who holds the distinction of New York City's priciest closed sale, has jumped to Urban Compass.
therealdeal.com/blog/2014/11/21/kyle-blackmon-leaves-bhs-for-urban-compass/
Watermelon Greenland | Hall Greenland's blog
Hall Greenland's blog
watermelongreenland.wordpress.com/
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