A Stochastic Asset Model & Calibration for Long-Term Financial Planning Purposes
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Document ID: 2001-605 (previously Report 57)
Published on: 31st May 2001
The report provides a specification for a stochastic model for equity returns, inflation and the term structures of real and nominal interest rates together with a discussion of the possible approaches to parameter selection. We contrast the model’s output with a typical calibration of the Wilkie investment model. The report was presented at the June 2001 UK Actuaries’ Investment Conference.
