The Wilkie Model for Retail Price Inflation Revisited

Chan, William; Wang, S.

doi:10.1017/s1357321700000155

Cited by 9 publications

(7 citation statements)

References 18 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Table 4.3 shows the details of the detected outliers and the corresponding events. Chan & Wang (1998) and Hendry (2001) identify similar turbulent points for the U.K. inflation series.…”

Section: Resultsmentioning

confidence: 76%

On a Simple Graphical Approach to Modelling Economic Fluctuations with an Application to United Kingdom Price Inflation, 1265 to 2005

Chan¹,

Ng²,

Tong³

2006

Ann. actuar. sci.

View full text Add to dashboard Cite

Structural instability in economic time series is widely reported in the literature. It is most prevalent in such series as price indices and inflation related data. Many methods have been developed for analysing and modelling structural changes in a univariate time series model. However, most of them assume that the data are generated by one fixed type (linear or non-linear) of the time series processes. This paper proposes a strategy for modelling different segments of an economic time series by different linear or non-linear models. A graphical procedure is suggested for detecting the model change points. The proposed procedure is illustrated by modelling annual United Kingdom price inflation series over the period 1265 to 2005. Stochastic modelling of inflation rates is an important topic to actuaries for dealing with long-term index linked insurance business. The proposed method suggests dividing the U.K. inflation series into four segments for modelling. Inflation projections based on the latest segment of the data are obtained through simulations. To get a better understanding of the impact of structural changes on inflation projections we also perform a forecasting study.

show abstract

“…Table 4.3 shows the details of the detected outliers and the corresponding events. Chan & Wang (1998) and Hendry (2001) identify similar turbulent points for the U.K. inflation series.…”

Section: Resultsmentioning

confidence: 76%

On a Simple Graphical Approach to Modelling Economic Fluctuations with an Application to United Kingdom Price Inflation, 1265 to 2005

Chan¹,

Ng²,

Tong³

2006

Ann. actuar. sci.

View full text Add to dashboard Cite

show abstract

“…Stochastic Investment Modelling: a Multiple Time-Series Approach 547 2.5 Chan & Wang (1998) performed a time-series outlier analysis on U.K. inflation data. In some circumstances, not adjusting for outliers could lead to model mis-specification (Chan, 1992) and biased parameter estimation (Chang et al, 1988).…”

Section: á Preliminary Data Analysismentioning

confidence: 99%

“…Wright (1998) proposed an alternative model based on vector autoregression. Chan & Wang (1998) refined the price inflation component of the Wilkie model by performing a time-series outlier analysis. Whitten & Thomas (1999) suggested a threshold-type non-linear model for U.K. investment series.…”

mentioning

confidence: 99%

Stochastic Investment Modelling: a Multiple Time-Series Approach

Chan

2002

Br. Actuar. J.

Self Cite

View full text Add to dashboard Cite

ASBTRACTIn this paper we adopt the multiple time-series modelling approach suggested by Tiao & Box (1981) to construct a stochastic investment model for price inflation, share dividends, share dividend yields and long-term interest rates in the United Kingdom. This method has the advantage of being direct and transparent. The sequential and iterative steps of tentative specification, estimation and diagnostic checking parallel those of the well-known Box-Jenkins method in the univariate time-series analysis. It is not required to specify any a priori causality as compared to some other stochastic asset models in the literature.

show abstract

“…A stochastic investment model tries to project how investment returns on different assets such as equities or bonds vary over time. It is possible to use this to work out how investing in different assets could affect investments over time [7].…”

Section: Introductionmentioning

confidence: 99%

Stochastic Asset Models for Actuarial Use in Ghana

Tee¹,

Ofosu-Hene²

2017

IJSDA

View full text Add to dashboard Cite

The need for stochastic asset models has evolved from a common global standard for risk management in the Solvency II regime in Europe, IAIS Common Principles, Global ORSA standards NAIC, EIOPA, and OSFI. But the challenges in developing markets such as; lack of good quality data, inconsistent data coverage, market data not having long enough history, and lack of liquidity in certain parts of asset market have caused the absence of such models in Ghana. There have been a number of actuarial stochastic asset models designed for simulating future economic and investment conditions in several parts of the world. This study has discussed three of such models and determined which best fits the Ghanaian economic data. The data used for the empirical analysis in this study were taken from the Bank of Ghana database and the Ghana Stock Exchange. The study re-calibrated the models to derive the parameter set then compared the model results numerically after running 10000 simulations for 50 horizons. Investigations about the basic statistics of the simulated results for all the models are compared. The analysis revealed that all of the Ghanaian investment series used in the stochastic investment modeling are non-stationary in their mean, variance and auto-covariance. The study then found that the "Wilkie linear model" produced simulated values with similar characteristics to the historical data whiles the Whitten & Thomas TAR model produced simulated values with minimal forecast error. The study therefore suggests that since the "Wilkie linear model" has a relatively better parsimony, ready economic interpretation and its ability to mimic some important features of the Ghanaian economic series it deserves the attention of the actuary seeking to model jointly the behavior of asset returns and economic variables that matter in economic capital determination of insurance and pension business in Ghana.

show abstract

The Wilkie Model for Retail Price Inflation Revisited

Cited by 9 publications

References 18 publications

On a Simple Graphical Approach to Modelling Economic Fluctuations with an Application to United Kingdom Price Inflation, 1265 to 2005

On a Simple Graphical Approach to Modelling Economic Fluctuations with an Application to United Kingdom Price Inflation, 1265 to 2005

Stochastic Investment Modelling: a Multiple Time-Series Approach

Stochastic Asset Models for Actuarial Use in Ghana

Contact Info

Product

Resources

About