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

DOI10.1080/10920277.2018.1466713zbMath1411.91415OpenAlexW2911716022WikidataQ128491799 ScholiaQ128491799MaRDI QIDQ4634004

David Saunders, Saisai Zhang, Mary R. Hardy

Publication date: 7 May 2019

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2018.1466713

zbMATH Keywords

inflationinterest ratedividend yieldeconomic scenario generator

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Interest rates, asset pricing, etc. (stochastic models) (91G30) Corporate finance (dividends, real options, etc.) (91G50)

Related Items (4)

Ensemble Economic Scenario Generators: Unity Makes Strength ⋮ ECONOMIC SCENARIO GENERATOR AND PARAMETER UNCERTAINTY: A BAYESIAN APPROACH ⋮ ON COMPLEX ECONOMIC SCENARIO GENERATORS: IS LESS MORE? ⋮ FAIR TRANSITION FROM DEFINED BENEFIT TO TARGET BENEFIT

Uses Software

• astsa
• YUIMA

Cites Work

• Some Applications of Lévy Processes to Stochastic Investment Models for Actuarial Use
• Some Nonlinear Threshold Autoregressive Time Series Models for Actuarial Use
• A Regime-Switching Model of Long-Term Stock Returns
• Structural Break Estimation for Nonstationary Time Series Models
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