wilkie

who's actually learning the updating equations for this model?

the only time you've needed to remember them is in S2004, so i'm gonna take my chances and ignore the topic.

i still don't get why actuaries regard this model so highly, it's not even compliant with the EMH, no investment bank will touch this model.

 

I think the only one they asked then was the inflation one which comes fairly naturally anyway.

Have you ever tried to run a stochastic model? If you can only output the information you need in a cascading model structure set up suitably for your needs, you could cut a 2000 sim run from 5 hours to maybe less than an hour?

 

i have used wilkie in the past, and yes it's fairly quick.

but just because it's easy to use, doesn't mean the numbers coming out can be trusted.

 

The same can be said of most of the other models we use though.

Any model is only as accurate as the design and assumptions make it.

 

precisely, and given the EMH underpins all of financial economics, don't you find it a bit worrying that actuaries place such a high regard for a model that breaks this basic rule?

 

I agree with Gareth’s comments above.

I thought the Wilkie model looked out of place in this course, but I assumed that it was included in the course material because Wilkie wrote part of the old 109 core reading.

Does anyone know if this model is commonly used in the real world?

 

it's the most commonly used model for ALM in pensions

 

I find this wilkie stuff to be quite dull really... pages and pages of equations! Would be fun setting it up perhaps but to study is not that interesting right now.

 

Even though I work in pensions, I doubt I will ever get to use it............... I think I've already learnt most of the technical stuff that I would ever use in a pensions role - from what I've seen after working in pensions for a while, I think one would only use 15-20% of the knowledge that they actually learn from the exams...... quite disappointing! But what is required to be learnt is pensions legislation (seems like something new needs to be learnt every day in this environment). I think the job title should be pensions lawyer as opposed to pensions actuary!

 

ive used it before, but really it was a joke. the actuary dictated the rough answer they required and the inputs to the model were tweaked until it gave the "right" answer...

i'd second that pension actuaries are really pension lawyers...that's why i left the field.