A stochastic asset-liability model using stable distributions

The salient feature under examination in this thesis is the assumption that the error terms, ZD(t) and Zy(t), are normally distributed. This assumption is common to most of the stochastic asset models that are in widespread use within the actuarial profession. An example is the well known Wilkie model (Wilkie (1984, 1995)).

Grantor dc:publisher.institution

Division of Actuarial Science

Year dc:date.issued

1997

Author dc:creator

• Finkelstein, Gary Steele

Advisors dc:contributor.advisor

• Dorrington, Rob
• MacDonald, Iain

Language dc:language.iso

eng

Handle dc:identifier.uri

http://hdl.handle.net/11427/21338

OAI identifier oai:identifier

oai:open.uct.ac.za:11427/21338