Description: This SOA research report produced by Kamakura Corporation helps illuminate credit risk modeling techniques within the life insurance industry. It includes a review of available research on the subject from academic and industry sources, the development and distribution of a survey on actual techniques used within the industry, and all associated analysis. The finance and economics literature review provides a historical review of academic research on credit modeling with Altman Z-scores, Merton’s structural model and more recent “reduced form models” The industry literature includes discussions of the various credit modeling techniques, factor-based approaches, credit migration models, structural models, reduced form models, hybrid models, actuarial models and credit scoring models. As credit risk modeling is an extremely broad topic, the scope of the survey is narrowed to particular asset classes and functions. There were 22 responses in total to the survey from locations in Canada, Europe and the United states.