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Stochastic investment model
Known as:
Stochastic asset model
A stochastic investment model tries to forecast how returns and prices on different assets or asset classes, (e. g. equities or bonds) vary over time…
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Related topics
Related topics
14 relations
Black–Derman–Toy model
Black–Karasinski model
Black–Scholes model
Chen model
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Broader (1)
Monte Carlo methods in finance
Papers overview
Semantic Scholar uses AI to extract papers important to this topic.
2018
2018
Decision-Dependent Stochastic Generation Expansion Planning with Large Amounts of Wind Power
Yiduo Zhan
,
Q. Zheng
,
Jianhui Wang
2018
Corpus ID: 4660610
Power generation expansion planning needs to deal with future uncertainties carefully, given that the invested generation assets…
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2017
2017
Construction of Multistage Scenario Tree for Insurance Activity
T. Kovacheva
2017
Corpus ID: 62937689
In the paper a stochastic asset model can be used for long term financial planning and observations in insurance. The scenario…
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Review
2015
Review
2015
Aspects and Applications of the Wilkie Investment Model
N. Ishak
2015
Corpus ID: 157401953
The Wilkie model is a stochastic asset model, developed by A.D. Wilkie in 1984 with a purpose to explore the behaviour of…
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2013
2013
Stochastic investment model for offshore oil and gas production
Maren Omli Flasnes
2013
Corpus ID: 107718293
This report presents a stochastic multistage model that addresses strategic subsea separator investment decisions with reservoir…
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Review
2009
Review
2009
Integrated Production Model With Stochastic Simulation to Define Teotleco Exploitation Plan
Fabiola Czwienzek
,
J. Pérez
,
Javier Salve
,
Ismael E Martínez Ramírez
,
Miguel Gerardo Vasquez
,
R. A. Hernandez
2009
Corpus ID: 60937884
IPM models (MBAL, PROSPER and GAP) have been found to be very useful in the calculation of production forecasts and the…
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2002
2002
STRATEGIC FINANCIAL MANAGEMENT IN A GENERAL INSURANCE COMPANY
J. Mariathasan
,
Peter F. Rains
,
J. Mariathasan
,
Peter F. Rains
2002
Corpus ID: 84837569
The paper considers the objectives of company modelling for management purposes by consideration of the criteria likely to be…
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2000
2000
Contribution and solvency risk in a defined benefit pension scheme
S. Haberman
,
Zoltan Butt
,
Chryssoula Megaloudi
2000
Corpus ID: 37054229
1999
1999
A stochastic investment model for asset and liability management
Y. Yakoubov
,
M. Teeger
,
D. Duval
1999
Corpus ID: 18776516
This paper describes a stochastic investment model, designed for use as a tool in the asset and liability management of UK…
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Review
1999
Review
1999
A Non-Linear Stochastic Asset Model for Actuarial Use
S. Whitten
,
R. Thomas
British Actuarial Journal
1999
Corpus ID: 53616465
ABSTRACT This paper reviews the stochastic asset model described in Wilkie (1995) and previous work on refining this model. The…
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1998
1998
Outlier Analysis of Annual Retail Price Inflation:A Cross-Country Study
W. Chan
1998
Corpus ID: 43449820
t Wilkie's stochastic investment model and its variants have been increasingly applied by actuaries around the world to actuarial…
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