Abstract
Applications of stochastic asset return models have been documented
in a number of actuarial papers. One of the major problems
associated with most models is the occurrence of structural changes,
that is the changes of relationship between the economic variables
that are important to most actuarial problems. As our projection time
horizon increases, the probability of occurrence of structural changes
may also increase. Since a large proportion of the problems that
actuaries deal with are of a long term nature, modelling structural
changes becomes an important issue.
in a number of actuarial papers. One of the major problems
associated with most models is the occurrence of structural changes,
that is the changes of relationship between the economic variables
that are important to most actuarial problems. As our projection time
horizon increases, the probability of occurrence of structural changes
may also increase. Since a large proportion of the problems that
actuaries deal with are of a long term nature, modelling structural
changes becomes an important issue.
| Original language | English |
|---|---|
| Number of pages | 40 |
| Publication status | Published - 2005 |
| Event | Institute of Actuaries of Australia Biennial Convention 2005 - Australia, Australia Duration: 1 Jan 2005 → … |
Conference
| Conference | Institute of Actuaries of Australia Biennial Convention 2005 |
|---|---|
| Country/Territory | Australia |
| Period | 1/01/05 → … |
| Other | May 8-11 2005 |