Hostname: page-component-586b7cd67f-t8hqh Total loading time: 0 Render date: 2024-11-22T15:41:02.605Z Has data issue: false hasContentIssue false
  • English
  • Français

Comments on a model of retail price inflation

Published online by Cambridge University Press:  20 April 2012

A. Kitts
A. Kitts
Affiliation:
Department of Social Statistics, University of Southampton
Get access Rights & Permissions [Opens in a new window]

Abstract

The paper comments on the estimation and sensitivity of the retail price inflation component of the stochastic financial model proposed by Professor Wilkie. Statistical tests provide evidence of nonindependence and non-normality of residuals, suggesting non-linearity. However, it is noted that the model is most sensitive to the assumption of long-term mean inflation.

Keywords

InflationModelSimulationTime-series
Type
Research Article
Information
Journal of the Institute of Actuaries , Volume 117 , Issue 2 , September 1990 , pp. 407 - 413
Copyright
Copyright © Institute and Faculty of Actuaries 1990

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

Benjamin, B. & Pollard, J. H. (1980). The Analysis of Mortality and Other Actuarial Statistics. Second Edition. Heinemann, London.Google Scholar
Box, G. E. P. & Jenkins, G. M. (1976). Time Series Analysis, Forecasting and Control. Holden-Day, San Francisco.Google Scholar
Boyle, P. P. (1976). Rates of Return as Random Variables. Journal of Risk and Insurance, 43: 693–713.CrossRefGoogle Scholar
Chatfield, C. (1980). The Analysis of Time Series: An Introduction. Second Edition. Chapman and Hall, London.Google Scholar
Engle, R. F. (1982). Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica, 50: No. 4: 987 1007.CrossRefGoogle Scholar
Filliben, J. J. (1975). The Probability of Plot Correlation Coefficient Test for Normality. Technometrics. 17 (1): 111–17.CrossRefGoogle Scholar
Taylor, S. (1986). Modelling Financial Time Series. Wiley, Chichester.Google Scholar
Wilkie, A. D. (1981). Indexing Long Term Financial Contracts. J.I.A. 108: 299–360; and, (1982). T.F.A. 38: 55.Google Scholar
Wilkie, A. D. (1984) ‘Steps Towards a Comprehensive Stochastic Investment Model’. O.A.R.D. 36. Institute of Actuaries.Google Scholar
Wilkie, A. D. (1986). A Stochastic Investment Model for Actuarial Use. T.F.A. 39: 341 73.Google Scholar
Wilkie, A. D. (1986a). Some Applications of Stochastic Investment Models. J.I.A.S.S. 29: 25 51.Google Scholar