In this paper, the first study of stochastic economic modelling with Chinese data is conducted for actuarial use. Univariate models, vector autoregression and two cascade systems (equity-driving cascade system and price-inflation-driving cascade system) are described and compared. We focus on...

Compared with other developed stock markets, the Chinese stock market has a unique informational and trading environment. Given this unique environment, we find that intangible information (which is orthogonal to past accounting information) and arbitrage risk are potential sources of the value...