Centro de Documentacion de Fundación MAPFRE - Updating wilkie's economic scenario generator for U.S. applications

MAP20190014458

Updating wilkie's economic scenario generator for U.S. applications / Saisai Zhang, Mary Hardy, David Saunders

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

En: North American actuarial journal. - Schaumburg : Society of Actuaries, 1997- = ISSN 1092-0277. - 03/12/2018 Tomo 22 Número 4 - 2018 , p. 600-622

1. Cálculo actuarial . 2. Matemática del seguro . 3. Estados Unidos . I. Hardy, Mary . II. Saunders, David . III. Título.