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Modelling Extreme Market Events. A Report of the Benchmarking Stochastic Models Working Party. Abstract of the Discussion Held by the Faculty of Actuaries

Published online by Cambridge University Press:  12 December 2011

R. Frankland ,
A. D. Smith ,
T. Wilkins ,
E. Varnell ,
A. Holtham ,
E. Biffis ,
S. Eshun  and
D. Dullaway
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Abstract

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Type
Sessional meetings: papers and abstracts of discussions
Information
British Actuarial Journal , Volume 15 , Issue 2 , July 2009 , pp. 275 - 293
Copyright
Copyright © Institute and Faculty of Actuaries 2009

References

REFERENCES

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Clarkson, R.S.,(1991). A non-linear stochastic model for inflation. Transactions of the 1st AFIR International Colloquium, Brighton, 3, 233–253.Google Scholar
Mandelbrot, B.B., & Hudson, R.L., (2005). The (Mis)behaviour of Markets: A fractal view of risk, ruin and reward. Profile Books, ISBN 1861977905.Google Scholar