Risk Management
Task Force

Equity Modeling (EM) Minutes

 

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.

  1. 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).

  2. 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.

  3. 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.

  4. Next Call: Julie will canvas for times on Friday July 25.

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