A stochastic investment model for actuarial use in South Africa
نویسندگان
چکیده
In this paper, we propose a stochastic investment model for actuarial use in South Africa by modelling price inflation rates, share dividends, long-term and short-term interest rates the period 1960–2018 inflation-linked bonds 2000–2018. Possible bi-directional relations between economic series have been considered, parameters their confidence intervals estimated recursively to examine stability, validation has tested. The is designed provide forecasts that should find application institutions such as pension funds life insurance companies Africa
 Keywords: Stochastic models; inflation; dividend yields; dividends; prices; rates; bonds;
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ژورنال
عنوان ژورنال: South African Actuarial Journal
سال: 2021
ISSN: ['1680-2179']
DOI: https://doi.org/10.4314/saaj.v20i1.3