November 2002 Meeting

Topic: Stochastic Modeling – Is it really "rocket science"?

This session will give a quick, yet in-depth, overview of stochastic processes as they apply to equity models.  In particular, the independent, lognormal distribution and the regime-switching model will be discussed.  Other items will include random number generators, arbitrage-free and risk neutral valuation.  Specific examples will revolve around embedded options inherent in Variable Annuities and how stochastic models can assist in the valuation, pricing and risk management strategies.

Speaker: Jeff Mohrenweiser, MMC Enterprise Risk Chicago, IL

Date:  Wednesday, November 13, 2002  3:30 Registration  /   4:00 Speakers /  5:00 Hors d’oeuvres

Location: CNA Insurance Companies,  Conference Center — 2nd Floor, Room 210 North
           Southeast corner of Jackson and Wabash, Chicago, IL 60606  

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