Ph. D, Faculty of Science, University of Witwatersrand, 2011 / Research in the area of stochastic models for actuarial use in South Africa is limited to
relatively few publications. Until recently, there has been little focus on actuarial
stochastic models that describe the empirical stochastic behaviour of South African
financial and economic variables. A notable exception is Thomson’s (1996) proposed
methodology and model. This thesis presents a collection of five papers that were
presented at conferences or submitted for peer review in the South African Actuarial
Journal between 1996 and 2006. References to subsequent publications in the field are
also provided. Such research has implications for medium and long-term financial
simulations, capital adequacy, resilience reserving and asset allocation benchmarks as
well as for the immunization of short-term interest rate risk, for investment policy
determination and the general quantification and management of risk pertaining to those
assets and liabilities.
This thesis reviews Thomson’s model and methodology from both a statistical and
economic perspective, and identifies various problems and limitations in that approach.
New stochastic models for actuarial use in South Africa are proposed that improve the
asset and liability modelling process and risk quantification. In particular, a new Multiple
Markov-Switching (MMS) model framework is presented for modelling South African
assets and liabilities, together with an optimal immunization framework for nominal
liability cash flows. The MMS model is a descriptive model with structural features and
parameter estimates based on historical data. However, it also incorporates theoretical
aspects in its design, thereby providing a balance between purely theoretical models and those based only on empirical considerations.
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:wits/oai:wiredspace.wits.ac.za:10539/10421 |
| Date | 16 September 2011 |
| Creators | Maitland, Alexander James |
| Source Sets | South African National ETD Portal |
| Language | English |
| Detected Language | English |
| Type | Thesis |
| Format | application/pdf |
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