Credit Risk Modeling Techniques For Life Insurers

The Financial Reporting Section and Committees on Finance Research and on Life Insurance Research, are pleased to make available a new report on credit risk modeling techniques for life insurers. Authored by Donald van Deventer, Robert Jarrow, Sean Klein, and Rich Owens of Kamakura Corporation, this study explores current actuarial practice of modeling credit losses including identifying current practice through a company survey of life insurers and evaluating current practice in light of recent available research on credit losses and asset defaults. Among the research is an exploration of what characteristics about a firm appear to coincide with the robustness and complexity of its approach to credit risk.

The Sponsors would like to thank the following individuals that served on the Project Oversight Group:

Mark Alberts, Chair
David R. Cantor
Ing Chian Ching
Jonathan Glowacki
Joonghee Huh
Marshall Lin
Shirley Lowe
Gang Ma
Rong Rong
Ronora Stryker, SOA Research Actuary
Jan Schuh, SOA Sr. Research Administrator

If you have questions or comments on this research, please contact Ronora Stryker, SOA Research Actuary, at rstryker@soa.org.