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Updating wilkie's economic scenario generator for U.S. applications
Recurso electrónico / Electronic resource
Section: Articles
Title: Updating wilkie's economic scenario generator for U.S. applications / Saisai Zhang, Mary Hardy, David SaundersAuthor: Zhang, Saisai ‌
Notes: Sumario: 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.Related records: En: North American actuarial journal. - Schaumburg : Society of Actuaries, 1997- = ISSN 1092-0277. - 03/12/2018 Tomo 22 Número 4 - 2018 , p. 600-622Materia / lugar / evento: Cálculo actuarial ‌Matemática del seguro ‌Estados Unidos ‌Otros autores: Hardy, Mary ‌
Saunders, David ‌
Other categories: 6
Rights: In Copyright (InC)
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