On the Asset Models, as a Part of All-Company Insurance Analysis

Our work is aimed at testing and further developing the asset models, the Willie model and its variants, which are presented in the Practical Risk Theory study book by Day kin, Pentikainen and Personnel (1993). Empirical data collected from 12 countries is studied. The observations confirm the appropriateness of the basic structure of the above models where inflation is used as a background factor, driving the flow of asset values as well as income gained from different sorts of investments. Furthermore, the feature is also confirmed that the behavior of the capital market is subject to significant changes in its character, period by period, and that abrupt crashes in equity and property values appear so frequently and in such large dimensions, that they should be taken into account in one way or another. This seems to suggest that the models can still be improved by also engaging other background variables than merely inflation.