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Equity Modeling (EM)
Subgroup
June 11, 2003
3:00 p.m.Central Time
Attendance:
Josephine Marks (Leader), Novian Junus, Michael Sakoulas, Rob Stone, Darin
Zimmerman.
- Resolution of gaps in reading material. Novian will do a high level
write up for gap # 3 (Parameter Estimation) and check with two other
subgroups for material. Michael Sakoulas will look at some of the remaining
gaps # 5 (Random Number Generations and Variance Reduction Techniques),
# 6 (Monte Carlo Simulations), # 11 (Historical Simulations) and # 12
(Practical Applications) in consultation with Darin Zimmerman. Rob Stone
will look at Gap # 4 (Correlations).
- Darin Zimmerman reported on the sessions in Washington. Attendance
at the risk management sessions was light indicating limited interest.
Our output appears to be well on par with that from other subgroups.
There were quite a few questions but limited open discussion.
- Next steps: Topics of interest for further research. Working document
on practical applications. Josephine will contact Geoff Hancock to see
if he would take a first cut at what the latter might include in the
area of hedging strategies and reinsurance, given that he is the most
active practitioner in the advisory field in the group. (Other names
mentioned were Ravi Ravindran). Rob Stone offered to provide a first
cut at spreadsheets for applications. The focus would be on managing
risk. The research project could be to develop an automated tool (e.g.
excel) for managing risks.
- Next Call: Julie will canvas for times on Friday July 25.
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