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Updating Wilkie’s Economic Scenario Generator for U.S. Applications
- Source :
- North American Actuarial Journal. 22:600-622
- Publication Year :
- 2018
- Publisher :
- Informa UK Limited, 2018.
-
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.
- Subjects :
- Statistics and Probability
Economics and Econometrics
050208 finance
Generator (computer programming)
Computer science
05 social sciences
Model parameters
01 natural sciences
Stability (probability)
010104 statistics & probability
Control theory
0502 economics and business
0101 mathematics
Statistics, Probability and Uncertainty
Subjects
Details
- ISSN :
- 23250453 and 10920277
- Volume :
- 22
- Database :
- OpenAIRE
- Journal :
- North American Actuarial Journal
- Accession number :
- edsair.doi...........e17092331c5a517c40b654e76d858aa7
- Full Text :
- https://doi.org/10.1080/10920277.2018.1466713