Risk Management
Task Force

Extreme Value Models (EVM) Minutes


Extreme Value Models (EVM) Subgroup
October 11, 2004
9:00 a.m. Central Time

Tom Edwalds (Leader), Steve Craighead, Bob Guth, and Max Rudolph

Secretary for call: Bob Guth

Web liaison: Kevin Strobel (not present)

The minutes from the July 13 call have been posted to the SOA web site.

There was no news to report from the Risk Management Section Council.

Max Rudolph reported on the planning for the Extreme Value sessions at the May 2005 ERM Symposium in Chicago. Max is leader of the planning for the track "Advanced Topics in ERM." Cliff Angstman's suggestion for a buzz group on event risk was referred to the "Risk Identification and Measurement" track. If that track does not choose to use the idea, Max will place it in the "Advanced Topics" track. We will not rerun the Extreme Value Modeling topic from last year. Max suggested that several buzz group leaders would be needed from the EVM work group. Event risk ideas can be viewed at www.RMS.com where the WC, Life, and Health Insurance Study is available.

The Spring Meetings are considering more embedded mini-sessions. We had no immediate plans for one of these.

Steve Craighead’s article covering the ERM symposium mini-seminar on extreme values should be in the RM newsletter soon. There is interest in the Excel spreadsheet on the EVM web page. There is also further interest in the Influenza article.

None of the EVM subgroup had time to review and write up details about using any of the web links to outside resources.

The group discussed the future role and direction of the EVM group. We noted that there are three areas of interest, namely a pure science part, an emphasis on practical responses and hedges for extreme events, and tools for understanding extreme value models. Steve described a simulation model (using game theory) for the national insurance system and its regulation, and will consider whether it can be available in the public domain. Such a system might be useful in simulation of the impacts of extreme events.

We expect that the group will focus on the buzz group ERM sessions for the next six months, and that other projects will come up after that time.

No time was set for the next call.

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