Society of Actuaries Releases Kamakura Corporation Study “Credit Risk Modeling Techniques for Life Insurers”

New York - 11 October 2012

Kamakura Corporation announced today that the Society of Actuaries has released a new report authored by Kamakura researchers on credit risk modeling techniques in the life insurance industry. The report was prepared under the auspices of the Financial Reporting Section and Committees on Finance Research and Life Insurance Research of the Society of Actuaries. The primary authors of the study from Kamakura Corporation were Senior Research Fellow Dr. Sean Patrick Klein and Kamakura Chief Actuary Richard Owens. Klein and Owens were assisted by Kamakura Managing Director for Research Prof. Robert A. Jarrow and Kamakura founder Dr. Donald R. van Deventer.

The study explores current actuarial practice of modeling credit losses. The study identifies current practice through a company survey of life insurers and evaluates 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 paper is available on the Society of Actuaries web site.

Martin Zorn, Chief Administrative Officer for Kamakura Corporation, said Thursday, “Kamakura Corporation is honored to be selected to prepare this study under the direction of the Society of Actuaries. Kamakura would like to express its gratitude to the Society of Actuaries for its advice on the study and to the sophisticated credit risk professionals in the life insurance industry who participated in this study. We believe that the study contains many important implications for the future of credit risk analytics for all segments of the financial services sector.”

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