Back to Search Start Over

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

Authors :
Saisai Zhang
David Saunders
Mary R. Hardy
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.

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