  In this paper, we propose a stochastic investment model for actuarial use in
South Africa by modelling price inflation rates, share dividends, long term and
short-term interest rates for the period 1960-2018 and inflation-linked bonds
for the period 2000-2018. Possible bi-directional relations between the
economic series have been considered, the parameters and their confidence
intervals have been estimated recursively to examine their stability and the
model validation has been tested. The model is designed to provide long-term
forecasts that should find application in long-term modelling for institutions
such as pension funds and life insurance companies in South Africa
