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A Review of Wilkie's Stochastic Asset Model

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  • Huber, P.P.

Abstract

This paper reviews the United Kingdom stochastic asset model developed by Wilkie (1995b). Certain aspects of the methodology used to develop this model could be problematic. Moreover, Wilkie (1995b) did not provide a complete evaluation of his model; certain economic theories and the constancy of the model's parameter values did not appear to have been specifically considered. This paper attempts to provide a comprehensive review of Wilkie's model.

Suggested Citation

  • Huber, P.P., 1997. "A Review of Wilkie's Stochastic Asset Model," British Actuarial Journal, Cambridge University Press, vol. 3(1), pages 181-210, April.
    • Handle: RePEc:cup:bracjl:v:3:y:1997:i:01:p:181-210_00
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    Cited by:

    1. Sergio Alvares Maffra & John Armstrong & Teemu Pennanen, 2020. "Stochastic modeling of assets and liabilities with mortality risk," Papers 2005.09974, arXiv.org.

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