Risk Management
Task Force

Equity Modeling Subgroup



Credit Risk Management | Economic Capital Calculation and Allocation
Enterprise Risk Management | Equity Modeling | Extreme Value Models
Health Risk Management | Policyholder Behavior in the Tail
Pricing for Risk | Risk Based Capital Covariance | Risk Management Metrics

Modeling and Managing Equity Risk
“The Equity Modeling Subgroup has concluded their activities and provides the following Recommended Reading List for those who would like to investigate the topic in greater detail.”

Next Steps
The subgroup has completed its initial goals. However, the members would urge other actuaries to “take the torch” and provide further analysis and tools for this important topic. Suggestions on ways to proceed are provided in the following document:

Equity Modeling Subgroup Summary

“The Risk Management Task Force would like to thank all of the members of the Modeling and Managing Equity Risk subgroup for volunteering their time, thought and support during the project. Special thanks goes to Josephine Marks for leading the subgroup.

Michael Bean Larry Johnson
Kitty Ching Novian Junus
Andy Chua Hubert Mueller
Jules Constantinou Martin Le Roux
David Graham Berni Rabinowitz
Geoffrey Hancock Michael Sakoulas
Martin Hill Rob Stone
Charles Hill Darin Zimmerman
David Hopewell  

Your volunteer efforts are greatly appreaciated!

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