The Probability of Default Model for Insurance Companies in the United States of America, Canada, and France.

In the fall of 2022, the Academy commissioned Prof. Jin-Chuan Duan and his team at the National University of Singapore’s Credit Research Initiative (NUS-CRI) to produce estimates of the probability of default for each insurance entity in the United States, Canada and France for the period 2009 – 2021.  This report explains exactly how those estimates were produced and assesses the quality of the estimates.