Stochastic investment models for actuarial use in the UK

The objective of this thesis is to construct a stochastic term structure model for actuarial use in the UK. The starting point of this study is the Wilkie investment model (1995). We review the Wilkie model by updating the data and re-estimating the parameters. Then, we focus on the interest rate pa...

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Bibliographic Details
Main Author: Sahin, Sule
Other Authors: Cairns, Andrew ; Kleinow, Torsten ; Wilkie, David
Published: Heriot-Watt University 2010
Subjects:
Online Access:https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.547659