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Updating Wilkie’s Economic Scenario Generator for U.S. Applications

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  • Saisai Zhang
  • Mary Hardy
  • David Saunders

Abstract

The Wilkie economic scenario generator has had a significant influence on economic scenario generators since the first formal publication in 1986 by Wilkie. In this article we update the model parameters using U.S. data to 2014, and review the model performance. In particular, we consider stationarity assumptions, parameter stability, and structural breaks.

Suggested Citation

  • Saisai Zhang & Mary Hardy & David Saunders, 2018. "Updating Wilkie’s Economic Scenario Generator for U.S. Applications," North American Actuarial Journal, Taylor & Francis Journals, vol. 22(4), pages 600-622, October.
    • Handle: RePEc:taf:uaajxx:v:22:y:2018:i:4:p:600-622
    DOI: 10.1080/10920277.2018.1466713
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