Michael Sherris

University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies

Professor of Actuarial Studies and Chief Investigator CEPAR

UNSW Business School

Risk and Actuarial Studies

Sydney, NSW 2052

Australia

http://www.asb.unsw.edu.au/schools/Pages/MichaelSherris.aspx

UNSW Business School

Professor of Actuarial Studies

Sydney, NSW 2052

Australia

SCHOLARLY PAPERS

81

DOWNLOADS
Rank 3,668

SSRN RANKINGS

Top 3,668

in Total Papers Downloads

12,670

SSRN CITATIONS
Rank 4,660

SSRN RANKINGS

Top 4,660

in Total Papers Citations

128

CROSSREF CITATIONS

159

Scholarly Papers (81)

1.

Securitization, Structuring and Pricing of Longevity Risk

UNSW Australian School of Business Research Paper No. 2008ACTL06
Number of pages: 33 Posted: 02 Jun 2008 Last Revised: 07 Nov 2011
Michael Sherris and Samuel Wills
University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and Independent
Downloads 817 (35,777)
Citation 2

Abstract:

Loading...

Longevity risk, securitization

2.

Pricing and Hedging Synthetic CDO Tranche Spread Risks

UNSW Australian School of Business Research Paper No. 2009ACTL04
Number of pages: 20 Posted: 18 Mar 2009 Last Revised: 01 Apr 2009
Michael Sherris and Jie Ding
University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and Macquarie University
Downloads 709 (43,409)
Citation 2

Abstract:

Loading...

credit risk, CDO, Gaussian copula, base correlation, implied copula

3.
Downloads 601 ( 54,027)
Citation 7

Financial Innovation for an Aging World

Pension Research Council
Number of pages: 52 Posted: 03 Aug 2006
Olivia S. Mitchell, John Piggott, Michael Sherris and Shaun Yow
University of Pennsylvania - The Wharton School, University of New South Wales (UNSW) - Australian School of Business, School of Economics, University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and University of New South Wales (UNSW)
Downloads 531 (62,369)
Citation 1

Abstract:

Loading...

Aging, insurance, old-age risk, annuities, pensions, long-term care, reverse mortgage, securitization, longevity risk, guarantee, mortality swaps

Financial Innovation for an Aging World

NBER Working Paper No. w12444
Number of pages: 48 Posted: 21 Aug 2006 Last Revised: 04 Jul 2010
Olivia S. Mitchell, John Piggott, Michael Sherris and Shaun Yow
University of Pennsylvania - The Wharton School, University of New South Wales (UNSW) - Australian School of Business, School of Economics, University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and University of New South Wales (UNSW)
Downloads 70 (395,270)
Citation 4

Abstract:

Loading...

4.

Longevity Risk Management for Life and Variable Annuities: Effectiveness of Static Hedging Using Longevity Bonds and Derivatives

UNSW Australian School of Business Research Paper No. 2010ACTL03
Number of pages: 39 Posted: 12 Apr 2010 Last Revised: 12 Mar 2012
Michael Sherris and Andrew Ngai
University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and PricewaterhouseCoopers Australia
Downloads 538 (62,098)
Citation 4

Abstract:

Loading...

longevity risk, risk based capital, static hedging, q-forwards, longevity bonds, life annuities, variable annuities

5.

Economic Scenario Generation with Regime Switching Models

UNSW Australian School of Business Research Paper No. 2009ACTL05
Number of pages: 32 Posted: 11 Aug 2009
Michael Sherris and Boqi Zhang
University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and affiliation not provided to SSRN
Downloads 485 (70,587)
Citation 7

Abstract:

Loading...

Economic scenarios, regime switching, multivariate models

6.

An Analysis of Reinsurance Optimisation in Life Insurance

UNSW Australian School of Business Research Paper No. AIPAR 2012/2
Number of pages: 20 Posted: 26 Mar 2012
Michael Sherris and Elena Veprauskaite
University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and University of Bath - School of Management
Downloads 440 (79,352)

Abstract:

Loading...

life insurance, optimal reinsurance, proportional reinsurance, mean-variance criteria

7.

Longevity Risk and the Econometric Analysis of Mortality Trends and Volatility

UNSW Australian School of Business Research Paper No. 2009ACTL08
Number of pages: 41 Posted: 20 Aug 2009 Last Revised: 12 Apr 2011
Michael Sherris and Carolyn Njenga
University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and University of New South Wales (UNSW) - School of Actuarial Studies
Downloads 427 (82,267)
Citation 8

Abstract:

Loading...

longevity risk, unit roots, VAR, VECM

8.

Developing Equity Release Markets: Risk Analysis for Reverse Mortgages and Home Reversions

North American Actuarial Journal, Forthcoming
Number of pages: 49 Posted: 17 Jan 2013 Last Revised: 01 Apr 2014
University of Kent, University of Hawaii at Manoa, University of New South Wales (UNSW) - ARC Centre of Excellence in Population Ageing Research (CEPAR), UNSW Sydney - School of Risk & Actuarial Studies and ARC Centre of Excellence in Population Ageing Research (CEPAR) and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 414 (85,274)
Citation 10

Abstract:

Loading...

Reverse Mortgage, Home Reversion, Vector Autoregressive Models, Stochastic Discount Factors, Risk-Based Capital

9.

Risk Based Capital and Pricing for Reverse Mortgages Revisited

UNSW Australian School of Business Research Paper No. 2010ACTL04
Number of pages: 43 Posted: 13 Apr 2010 Last Revised: 12 Apr 2011
Michael Sherris and David Sun
University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and University of New South Wales (UNSW) - School of Actuarial Studies
Downloads 390 (91,328)
Citation 4

Abstract:

Loading...

longevity risk, risk based capital, reverse mortgages, Vector Autoregressive Model

10.

Integrating Financial and Demographic Longevity Risk Models: An Australian Model for Financial Applications

UNSW Australian School of Business Research Paper No. 2008ACTL05
Number of pages: 24 Posted: 02 Jun 2008 Last Revised: 12 Apr 2011
Michael Sherris and Samuel Wills
University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and Independent
Downloads 383 (93,305)
Citation 2

Abstract:

Loading...

longevity, mortality, pricing, risk management

11.

Risk Management and Payout Design of Reverse Mortgages

UNSW Australian School of Business Research Paper No. 2013ACTL07
Number of pages: 34 Posted: 15 Mar 2013
Daniel Cho, Katja Hanewald and Michael Sherris
University of New South Wales (UNSW) - ARC Centre of Excellence in Population Ageing Research (CEPAR), UNSW Sydney - School of Risk & Actuarial Studies and ARC Centre of Excellence in Population Ageing Research (CEPAR) and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 363 (99,224)
Citation 7

Abstract:

Loading...

Reverse mortgage, Income stream, Equity release, Vector autoregressive model, Stochastic discount factor, Risk-based capital

12.

Equity Investing with Targeted Constant Volatility Exposure

FIRN Research Paper No. 2614828, UNSW Business School Research Paper
Number of pages: 45 Posted: 05 Jun 2015 Last Revised: 02 Feb 2017
HEC Montreal - Department of Finance, UNSW Business School, University of New South Wales and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 355 (101,710)
Citation 2

Abstract:

Loading...

GARCH, Outliers, Portfolio management, Volatility forecasting, Volatility timing

13.

House Price Risk Models for Banking and Insurance Applications

UNSW Australian School of Business Research Paper No. 2011ACTL11
Number of pages: 37 Posted: 18 Nov 2011
Katja Hanewald and Michael Sherris
UNSW Sydney - School of Risk & Actuarial Studies and ARC Centre of Excellence in Population Ageing Research (CEPAR) and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 351 (103,017)

Abstract:

Loading...

house price risk, statistical models, risk management

14.

Longevity Risk, Cost of Capital and Hedging for Life Insurers Under Solvency II

UNSW Australian School of Business Research Paper No. 2013ACTL18
Number of pages: 30 Posted: 24 Sep 2013
Ramona Meyricke and Michael Sherris
UNSW Australia Business School, School of Risk & Actuarial Studies and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 263 (140,265)

Abstract:

Loading...

capital management, solvency, longevity risk, reinsurance, securitization

15.

Portfolio Selection for Insurance Linked Securities: An Application of Multiple Criteria Decision Making

UNSW Australian School of Business Research Paper No. AIPAR 2012/4
Number of pages: 30 Posted: 12 Mar 2012
Michael Sherris and Dominic Quang
University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and UNSW Business School
Downloads 250 (147,526)

Abstract:

Loading...

portfolio selection, insurance linked securities, multiple criteria decision making, Analytical Hierarchy Process, ELECTRE

16.

Reverse Mortgage Pricing and Risk Analysis Allowing for Idiosyncratic House Price Risk and Longevity Risk

UNSW Australian School of Business Research Paper No. 2014ACTL01
Number of pages: 39 Posted: 11 Feb 2014
Adam Wenqiang Shao, Katja Hanewald and Michael Sherris
University of New South Wales - ARC Centre of Excellence in Population Ageing Research (CEPAR), UNSW Sydney - School of Risk & Actuarial Studies and ARC Centre of Excellence in Population Ageing Research (CEPAR) and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 249 (148,115)
Citation 9

Abstract:

Loading...

Equity release products, idiosyncratic house price risk, stochastic mortality, Willis-Sherris mortality model

Portfolio Choice in Retirement – What is the Optimal Home Equity Release Product?

Forthcoming in the Journal of Risk and Insurance
Number of pages: 40 Posted: 12 Mar 2014 Last Revised: 26 Aug 2014
Katja Hanewald, Thomas Post and Michael Sherris
UNSW Sydney - School of Risk & Actuarial Studies and ARC Centre of Excellence in Population Ageing Research (CEPAR), Maastricht University - School of Business and Economics - Department of Finance and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 96 (326,325)

Abstract:

Loading...

retirement, home equity release, reverse mortgage, home reversion plan

Portfolio Choice in Retirement - What is the Optimal Home Equity Release Product?

UNSW Australian School of Business Research Paper No. 2013ACTL13
Number of pages: 34 Posted: 19 Jun 2013
Katja Hanewald, Thomas Post and Michael Sherris
UNSW Sydney - School of Risk & Actuarial Studies and ARC Centre of Excellence in Population Ageing Research (CEPAR), Maastricht University - School of Business and Economics - Department of Finance and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 95 (328,572)
Citation 1

Abstract:

Loading...

retirement, home equity release, reverse mortgage, home reversion plan

Portfolio Choice in Retirement: What is the Optimal Home Equity Release Product?

Netspar Discussion Paper No. 03/2014-007
Number of pages: 41 Posted: 26 Mar 2014
Katja Hanewald, Thomas Post and Michael Sherris
UNSW Sydney - School of Risk & Actuarial Studies and ARC Centre of Excellence in Population Ageing Research (CEPAR), Maastricht University - School of Business and Economics - Department of Finance and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 54 (451,481)

Abstract:

Loading...

Retirement, home equity release, reverse mortgage, home reversion plan

18.

Pricing European Options on Deferred Annuities

UNSW Australian School of Business Research Paper No. AIPAR 2012/1
Number of pages: 39 Posted: 15 Feb 2012 Last Revised: 04 Feb 2013
Jonathan Ziveyi, Craig Blackburn and Michael Sherris
University of New South Wales; ARC Centre of Excellence in Population Ageing Research and School of Risk & Actuarial Studies, University of New South Wales (UNSW) - School of Actuarial Studies and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 204 (179,131)
Citation 1

Abstract:

Loading...

Mortality risk, Deferred insurance products, European options, Laplace Transforms

19.

Consistent Dynamic Affine Mortality Models for Longevity Risk Applications

UNSW Australian School of Business Research Paper No. 2011ACTL08
Number of pages: 20 Posted: 09 May 2011 Last Revised: 14 Feb 2012
Craig Blackburn and Michael Sherris
University of New South Wales (UNSW) - School of Actuarial Studies and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 201 (181,677)
Citation 6

Abstract:

Loading...

mortality model, longevity risk, multi-factor, affine, arbitrage-free, consistent, Kalman Filter, Swedish Mortality

20.

Modeling Mortality with a Bayesian Vector Autoregression

UNSW Australian School of Business Research Paper No. 2011ACTL04
Number of pages: 39 Posted: 08 Mar 2011 Last Revised: 12 Apr 2011
Michael Sherris and Carolyn Njenga
University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and University of New South Wales (UNSW) - School of Actuarial Studies
Downloads 200 (182,500)
Citation 3

Abstract:

Loading...

mortality, parameter risk, vector auto-regression, Bayesian, Heligman-Pollard model

21.

Modelling Cause-of-Death Mortality and the Impact of Cause-Elimination

UNSW Australian School of Business Research Paper No. 2013ACTL08
Number of pages: 21 Posted: 15 Mar 2013 Last Revised: 28 Jan 2016
University of Kent, University of Lausanne - Faculty of Business and Economics and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 195 (186,710)
Citation 4

Abstract:

Loading...

Cause-of-Death Mortality, Multinomial Logistic Regression, Cause-Elimination, Life Expectancy, Mortality Forecasts

22.

Multi-State Actuarial Models of Functional Disability

UNSW Australian School of Business Research Paper No. 2013ACTL14
Number of pages: 33 Posted: 06 May 2013
Joelle H. Fong, Adam Wenqiang Shao and Michael Sherris
National University of Singapore, University of New South Wales - ARC Centre of Excellence in Population Ageing Research (CEPAR) and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 194 (187,586)
Citation 6

Abstract:

Loading...

morbidity, health transitions, long-term care insurance, generalized linear models

23.

Forecasting Mortality Trends Allowing for Cause-of-Death Mortality Dependence

UNSW Australian School of Business Research Paper No. 2013ACTL02
Number of pages: 16 Posted: 17 Jan 2013 Last Revised: 31 Jan 2013
Severine Arnold (-Gaille) and Michael Sherris
University of Lausanne - Faculty of Business and Economics and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 190 (191,175)
Citation 2

Abstract:

Loading...

Mortality forecasts, Causes of death, VECM, Dependence, Common trends

24.

Rethinking Age-Period-Cohort Mortality Trend Models

UNSW Australian School of Business Research Paper No. 2011ACTL2009
Number of pages: 28 Posted: 13 May 2011 Last Revised: 02 Apr 2012
Daniel H. Alai and Michael Sherris
University of Kent and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 176 (204,482)
Citation 2

Abstract:

Loading...

Mortality Modelling, Age-Period-Cohort Models, Generalized Linear Models, Lee-Carter Models

25.

To Borrow or Insure? Long Term Care Costs and the Impact of Housing

Insurance: Mathematics and Economics, 85:15-34, March 2019
Number of pages: 39 Posted: 22 Dec 2015 Last Revised: 11 May 2020
Adam Wenqiang Shao, Hua Chen and Michael Sherris
University of New South Wales - ARC Centre of Excellence in Population Ageing Research (CEPAR), University of Hawaii at Manoa and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 173 (207,511)
Citation 2

Abstract:

Loading...

life-cycle model, longevity risk, long-term care insurance, residential house, reverse mortgage

26.

Managing Life Insurer Risk and Profitability: Annuity Market Development Using Natural Hedging Strategies

UNSW Australian School of Business Research Paper No. 2013ACTL04
Number of pages: 21 Posted: 24 Jan 2013
Andy Wong, Michael Sherris and Ralph Stevens
University of New South Wales (UNSW) - School of Actuarial Studies, University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and CPB Netherlands Bureau of Economic Policy Analysis
Downloads 171 (209,614)
Citation 2

Abstract:

Loading...

Life insurance, annuity, risk based capital, profit loading, natural hedging

27.

Age Patterns and Trends in Mortality by Cause of Death and Implications for Modeling Longevity Risk

UNSW Australian School of Business Research Paper No. 2010ACTL12
Number of pages: 22 Posted: 20 Oct 2010 Last Revised: 12 Apr 2011
Severine Arnold (-Gaille) and Michael Sherris
University of Lausanne - Faculty of Business and Economics and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 155 (227,710)
Citation 5

Abstract:

Loading...

mortality trends, causes of death, circulatory system, cancer, respiratory system, accidents, infectious diseases

28.

Individual Post-Retirement Longevity Risk Management Under Systematic Mortality Risk

UNSW Australian School of Business Research Paper No. 2011ACTL10
Number of pages: 42 Posted: 17 Aug 2011
Katja Hanewald, John Piggott and Michael Sherris
UNSW Sydney - School of Risk & Actuarial Studies and ARC Centre of Excellence in Population Ageing Research (CEPAR), University of New South Wales (UNSW) - Australian School of Business, School of Economics and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 153 (230,125)
Citation 4

Abstract:

Loading...

longevity risk, optimal insurance, life annuity, market frictions, group self-annuitization (GSA)

29.

Immunization and Hedging of Longevity Risk

UNSW Business School Research Paper No. 2015ACTL12
Number of pages: 39 Posted: 23 Apr 2015
Changyu Liu and Michael Sherris
School of Risk & Actuarial Studies and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 150 (233,828)
Citation 1

Abstract:

Loading...

immunization, hedging, delta, gamma, longevity bond

30.

Life Insurer Longevity Risk Management, Solvency and Shareholder Value

UNSW Australian School of Business Research Paper No. 2013ACTL20
Number of pages: 34 Posted: 26 Nov 2013 Last Revised: 02 Dec 2013
University of New South Wales (UNSW) - School of Actuarial Studies, UNSW Sydney - School of Risk & Actuarial Studies and ARC Centre of Excellence in Population Ageing Research (CEPAR), University of Parma - Dipartimento di Scienze Economiche e Aziendali and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 147 (237,737)
Citation 1

Abstract:

Loading...

longevity risk, capital management, solvency, reinsurance, securitization

31.

Spatial Variability in Mortality and Socioeconomic Factors for Australian Mortality

UNSW Australian School of Business Research Paper No. 2010 ACTL 05
Number of pages: 35 Posted: 25 Apr 2010 Last Revised: 12 Apr 2011
Michael Sherris and Andy Tang
University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and affiliation not provided to SSRN
Downloads 143 (243,231)
Citation 3

Abstract:

Loading...

Mortality, Logistic regression, Geodemographic, Spatial, Hierarchical Bayes

32.

Managing Systematic Mortality Risk with Group Self Pooling and Annuitisation Schemes

UNSW Australian School of Business Research Paper No. 2011ACTL06
Number of pages: 28 Posted: 23 Mar 2011 Last Revised: 12 Apr 2011
Michael Sherris and Chao Qiao
University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and PricewaterhouseCoopers
Downloads 139 (248,832)
Citation 2

Abstract:

Loading...

group self-annuitisation, pooled annuity, longevity risk, extreme value distribution, Gompertz-Makeham mortality

33.

Product Pricing and Solvency Capital Requirements for Long-Term Care Insurance

UNSW Business School Research Paper No. 2015ACTL03
Number of pages: 49 Posted: 06 Mar 2015
Adam Wenqiang Shao, Michael Sherris and Joelle H. Fong
University of New South Wales - ARC Centre of Excellence in Population Ageing Research (CEPAR), University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and National University of Singapore
Downloads 135 (254,682)
Citation 4

Abstract:

Loading...

Long-term care insurance; Solvency II; solvency capital requirements

34.

Modeling Long-Run Cause of Death Mortality Trends

UNSW Australian School of Business Research Paper No. 2010ACTL14
Number of pages: 24 Posted: 08 Nov 2010 Last Revised: 12 Apr 2011
Michael Sherris and Severine Arnold (-Gaille)
University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and University of Lausanne - Faculty of Business and Economics
Downloads 132 (259,081)

Abstract:

Loading...

VECM, causes of death, mortality trends

35.

Equity Release Products Allowing for Individual House Price Risk

11th Emerging Researchers in Ageing Conference, 2012
Number of pages: 6 Posted: 06 Jan 2013
Adam Wenqiang Shao, Michael Sherris and Katja Hanewald
University of New South Wales - ARC Centre of Excellence in Population Ageing Research (CEPAR), University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and UNSW Sydney - School of Risk & Actuarial Studies and ARC Centre of Excellence in Population Ageing Research (CEPAR)
Downloads 116 (284,915)

Abstract:

Loading...

equity release products, individual house price risk, no negative equity guarantee

36.

Lifetime Dependence Modelling Using a Truncated Multivariate Gamma Distribution

UNSW Australian School of Business Research Paper No. AIPAR 2012/3
Number of pages: 24 Posted: 02 Apr 2012 Last Revised: 26 Mar 2013
Daniel H. Alai, Zinoviy Landsman and Michael Sherris
University of Kent, University of Haifa, Department of Statistics and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 115 (286,686)

Abstract:

Loading...

Systematic Longevity Risk, Dependence, Multivariate Gamma, Lifetime Distribution, Annuity Valuation

Systematic Mortality Risk: An Analysis of Guaranteed Lifetime Withdrawal Benefits in Variable Annuities

UNSW Australian School of Business Research Paper No. 2013ACTL15
Number of pages: 28 Posted: 15 Jun 2013 Last Revised: 30 Sep 2015
Simon Man Chung Fung, Katja Ignatieva and Michael Sherris
Commonwealth Bank of Australia, University of New South Wales - Australian School of Business and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 106 (305,394)
Citation 1

Abstract:

Loading...

variable annuity, guaranteed lifetime withdrawal benefits (GLWB), systematic mortality risk, parameter risk, model risk, static hedging

Systematic Mortality Risk: An Analysis of Guaranteed Lifetime Withdrawal Benefits in Variable Annuities

Number of pages: 28 Posted: 15 Jun 2013 Last Revised: 17 Oct 2016
Simon Man Chung Fung, Katja Ignatieva and Michael Sherris
Commonwealth Bank of Australia, University of New South Wales - Australian School of Business and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 7 (739,421)
Citation 8

Abstract:

Loading...

variable annuity, guaranteed lifetime withdrawal benefits (GLWB), systematic mortality risk, parameter risk, model risk, static hedging

38.

Solvency Capital, Pricing and Capitalization Strategies of Life Annuity Providers

UNSW Australian School of Business Research Paper No. 2012 AIPAR 05
Number of pages: 24 Posted: 29 May 2012
Maathumai Nirmalendran, Michael Sherris and Katja Hanewald
affiliation not provided to SSRN, University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and UNSW Sydney - School of Risk & Actuarial Studies and ARC Centre of Excellence in Population Ageing Research (CEPAR)
Downloads 111 (293,830)

Abstract:

Loading...

life annuity, insurance regulation, solvency, longevity risk

39.

Longevity Risks and Capital Markets: The 2010-2011 Update

Pension Institute Discussion Paper No. PI-1113
Number of pages: 14 Posted: 01 Dec 2011 Last Revised: 24 Jun 2020
City, University of London, Haute Ecole de Gestion de Genève - University of Applied Sciences Western Switzerland (HES-SO), National Chengchi University and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 99 (317,590)
Citation 1

Abstract:

Loading...

40.

Public Sector Pension Funds in Australia: Longevity Selection and Liabilities

UNSW Australian School of Business Research Paper No. 2012 AIPAR 06
Number of pages: 44 Posted: 07 Jun 2012
Joelle H. Fong, John Piggott and Michael Sherris
National University of Singapore, University of New South Wales (UNSW) - Australian School of Business, School of Economics and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 94 (328,378)

Abstract:

Loading...

pensions, defined benefits, public sector, pensions, mortality, longevity risk

41.

Lifetime Asset Allocation with Idiosyncratic and Systematic Mortality Risks

UNSW Australian School of Business Research Paper No. 2014ACTL04
Number of pages: 27 Posted: 23 Apr 2014 Last Revised: 30 Apr 2014
Yang Shen and Michael Sherris
University of New South Wales (UNSW) - Australian School of Business and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 92 (332,866)
Citation 2

Abstract:

Loading...

Investment-consumption, life insurance, stochastic mortality, longevity risk

Model Risk, Mortality Heterogeneity and Implications for Solvency and Tail Risk

UNSW Australian School of Business Research Paper No. 2013ACTL13
Number of pages: 32 Posted: 02 May 2013
Michael Sherris and Qiming Zhou
University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and University of New South Wales (UNSW) - ARC Centre of Excellence in Population Ageing Research (CEPAR)
Downloads 90 (340,282)
Citation 1

Abstract:

Loading...

mortality heterogeneity, Markov ageing model, life annuities, insurer solvency, tail risk

Model Risk, Mortality Heterogeneity, and Implications for Solvency and Tail Risk

Published in Maurer, R., O. Mitchell, and P. Hammond (Eds.) (2014). Recreating Sustainable Retirement: Resilience, Solvency, and Tail Risk. Oxford, UK: Oxford University Press., Pension Research Council Working Paper, PRC WP2013-21
Posted: 08 Oct 2013 Last Revised: 03 Apr 2020
Michael Sherris and Qiming Zhou
University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and University of New South Wales (UNSW) - ARC Centre of Excellence in Population Ageing Research (CEPAR)

Abstract:

Loading...

43.

Disaggregated House Price Indices

UNSW Australian School of Business Research Paper No. 2013ACTL09
Number of pages: 45 Posted: 23 Mar 2013
Adam Wenqiang Shao, Michael Sherris and Katja Hanewald
University of New South Wales - ARC Centre of Excellence in Population Ageing Research (CEPAR), University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and UNSW Sydney - School of Risk & Actuarial Studies and ARC Centre of Excellence in Population Ageing Research (CEPAR)
Downloads 89 (339,849)
Citation 1

Abstract:

Loading...

disaggregated house price index, hedonic models, repeat-sales models, hybrid models

Living with Ambiguity: Pricing Mortality-Linked Securities with Smooth Ambiguity Preferences

Journal of Risk and Insurance, Forthcoming
Number of pages: 40 Posted: 18 Feb 2012 Last Revised: 01 Apr 2014
Hua Chen, Michael Sherris, Tao Sun and Wenge Zhu
University of Hawaii at Manoa, University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies, Independent and Shanghai University of Finance and Economics
Downloads 87 (347,714)
Citation 3

Abstract:

Loading...

ambiguity, ambiguity aversion, mortality-linked securities

Living with Ambiguity: Pricing Mortality‐Linked Securities with Smooth Ambiguity Preferences

Journal of Risk and Insurance, Vol. 80, Issue 3, pp. 705-732, 2013
Number of pages: 28 Posted: 30 Aug 2013
Hua Chen, Michael Sherris, Tao Sun and Wenge Zhu
University of Hawaii at Manoa, University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies, Independent and Shanghai University of Finance and Economics
Downloads 1 (799,684)
  • Add to Cart

Abstract:

Loading...

International Cause-Specific Mortality Rates: New Insights from a Cointegration Analysis

UNSW Business School Research Paper No. 2015ACTL08
Number of pages: 34 Posted: 01 Mar 2015 Last Revised: 26 Mar 2015
Severine Arnold (-Gaille) and Michael Sherris
University of Lausanne - Faculty of Business and Economics and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 48 (476,030)
Citation 1

Abstract:

Loading...

Causes of death, mortality trends, cointegration, dependence, common trends, biological aging

International Cause-Specific Mortality Rates: New Insights from a Cointegration Analysis

ASTIN Bulletin, Forthcoming
Number of pages: 42 Posted: 28 Jan 2016
Severine Arnold (-Gaille) and Michael Sherris
University of Lausanne - Faculty of Business and Economics and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 39 (517,726)

Abstract:

Loading...

Causes of death, mortality trends, cointegration, dependence, common trends, biological aging

46.

Improving Longevity and Mortality Risk Models with Common Stochastic Long-Run Trends

UNSW Australian School of Business Research Paper No. 2010ACTL13
Number of pages: 37 Posted: 03 Nov 2010 Last Revised: 12 Apr 2011
Michael Sherris and Severine Arnold (-Gaille)
University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and University of Lausanne - Faculty of Business and Economics
Downloads 87 (344,742)
Citation 2

Abstract:

Loading...

Mortality Trends, Heligman-Pollard Model, Lee-Carter Model, VAR, VECM

47.

Managing Systematic Mortality Risk in Life Annuities: An Application of Longevity Derivatives

UNSW Business School Research Paper No. 20015ACTL04
Number of pages: 29 Posted: 12 Mar 2015
Simon Man Chung Fung, Katja Ignatieva and Michael Sherris
Commonwealth Bank of Australia, University of New South Wales - Australian School of Business and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 84 (352,000)
Citation 1

Abstract:

Loading...

longevity risk management; longevity swaps; longevity options; hedge effectiveness

48.

Heterogeneity of Australian Population Mortality and Implications for a Viable Life Annuity Market

UNSW Australian School of Business Research Paper No. 2011ACTL05
Number of pages: 22 Posted: 09 Mar 2011 Last Revised: 11 Jan 2018
Michael Sherris and Shu Su
University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and University of New South Wales - School of Actuarial Studies
Downloads 83 (354,488)
Citation 1

Abstract:

Loading...

longevity risk, mortality heterogeneity, frailty model, Markov ageing model, physiological age, annuity pricing

Market Price of Longevity Risk for a Multi-Cohort Mortality Model with Application to Longevity Bond Option Pricing

UNSW Business School Research Paper
Number of pages: 38 Posted: 12 Feb 2018
Michael Sherris, Yajing Xu and Jonathan Ziveyi
University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies, UNSW Australia Business School, School of Risk & Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads 81 (363,192)
Citation 6

Abstract:

Loading...

Multi-cohort mortality model, Market price of longevity risk, Longevity indexes

Market Price of Longevity Risk for a Multi‐Cohort Mortality Model with Application to Longevity Bond Option Pricing

Journal of Risk and Insurance, Vol. 87, Issue 3, pp. 571-595, 2020
Number of pages: 25 Posted: 30 Sep 2020
Yajing Xu, Michael Sherris and Jonathan Ziveyi
UNSW Australia Business School, School of Risk & Actuarial Studies, University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and University of New South Wales; ARC Centre of Excellence in Population Ageing Research and School of Risk & Actuarial Studies
Downloads 0
  • Add to Cart

Abstract:

Loading...

50.

Mortality Forecasting Using Stacked Regression Ensembles

Number of pages: 33 Posted: 12 Apr 2021
University of New South Wales, University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies, University of New South Wales (UNSW) - ARC Centre of Excellence in Population Ageing Research (CEPAR) and University of New South Wales; ARC Centre of Excellence in Population Ageing Research and School of Risk & Actuarial Studies
Downloads 77 (373,242)

Abstract:

Loading...

Stacked regression, ensemble learning, cross-validation, model uncertainty, model combination, age-period-cohort model, mortality forecasting

51.

The Impact of Systematic Trend and Uncertainty on Mortality and Disability in a Multi-State Latent Factor Model for Transition Rates

UNSW Business School Research Paper No. 2016ACTL04
Number of pages: 33 Posted: 13 Feb 2016
Zixi Li, Adam Wenqiang Shao and Michael Sherris
UNSW Australia Business School, School of Risk & Actuarial Studies, University of New South Wales - ARC Centre of Excellence in Population Ageing Research (CEPAR) and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 77 (370,469)
Citation 6

Abstract:

Loading...

long term care, systematic trend and uncertainty, disability, multi-state transitions, latent factor

52.

Multivariate Tweedie Lifetimes: The Impact of Dependence

UNSW Australian School of Business Research Paper No. 2013ACTL12
Number of pages: 25 Posted: 09 Apr 2013 Last Revised: 07 May 2013
Daniel H. Alai, Zinoviy Landsman and Michael Sherris
University of Kent, University of Haifa, Department of Statistics and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 76 (373,242)

Abstract:

Loading...

systematic longevity risk, dependence, multivariate Tweedie, lifetime distribution

53.

Mortality Heterogeneity and Systematic Mortality Improvement

UNSW Business School Research Paper No. 2015ACTL23
Number of pages: 35 Posted: 10 Dec 2015
Mengyi Xu, Michael Sherris and Ramona Meyricke
Purdue University, University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads 75 (376,097)
Citation 2

Abstract:

Loading...

mortality improvement, mortality heterogeneity, longitudinal data, stochastic mortality models, marginal models

54.

A Value Based Cohort Index for Longevity Risk Management

UNSW Business School Research Paper No. 2015ACTL02
Number of pages: 22 Posted: 26 Feb 2015
Yang Chang and Michael Sherris
School of Risk and Actuarial Studies, ARC Center of Excellence in Population Ageing Research (CEPAR) and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 74 (378,945)
Citation 6

Abstract:

Loading...

Cohort mortality, Value index, Mortality risk, Interest rate risk, Hedge efficiency

55.

The Application of Affine Processes in Multi-Cohort Mortality Model

UNSW Business School Research Paper No. 2015ACTL13
Number of pages: 36 Posted: 07 May 2015
Yajing Xu, Michael Sherris and Jonathan Ziveyi
UNSW Australia Business School, School of Risk & Actuarial Studies, University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads 68 (396,685)
Citation 5

Abstract:

Loading...

Multi-cohort mortality model, Affne framework, Common factors, Cohort specific factors, Mortality projections

56.

Portfolio Management for Insurers and Pension Funds and COVID-19: Targeting Volatility for Equity, Balanced and Target-Date Funds with Leverage Constraints

Number of pages: 38 Posted: 27 Jan 2021
Bao Huy Doan, Jonathan J. Reeves and Michael Sherris
University of New South Wales, UNSW Business School, University of New South Wales and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 66 (406,188)

Abstract:

Loading...

COVID-19 pandemic, Equity investment, Portfolio management, Target-date funds, Volatility management

57.

Data Analytics in Actuarial Education and Research

7th Australasian Actuarial Education and Research Symposium
Number of pages: 18 Posted: 10 Dec 2015
Michael Sherris
University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 63 (412,873)

Abstract:

Loading...

58.

The Determinants of Mortality Heterogeneity and Implications for Pricing Underwritten Annuities

UNSW Australian School of Business Research Paper No. 2013ACTL05
Number of pages: 36 Posted: 28 Feb 2013
Ramona Meyricke and Michael Sherris
UNSW Australia Business School, School of Risk & Actuarial Studies and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 63 (412,873)
Citation 4

Abstract:

Loading...

mortality heterogeneity, frailty modeling, annuity pricing, longitudinal data, generalized linear mixed models

59.

Longevity Risk, Cost of Capital and Hedging for Life Insurers Under Solvency II

UNSW Australian School of Business Research Paper No. 2013ACTL18
Number of pages: 30 Posted: 28 Sep 2013
Ramona Meyricke and Michael Sherris
UNSW Australia Business School, School of Risk & Actuarial Studies and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 54 (444,332)
Citation 4

Abstract:

Loading...

capital management, solvency, longevity risk, reinsurance, securitization

60.

A Group Regularisation Approach for Constructing Generalised Age-Period-Cohort Mortality Projection Models

UNSW Business School Research Paper Forthcoming
Number of pages: 33 Posted: 25 Feb 2021
UNSW Australia Business School, School of Risk & Actuarial Studies, University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies, University of New South Wales (UNSW) - ARC Centre of Excellence in Population Ageing Research (CEPAR) and University of New South Wales; ARC Centre of Excellence in Population Ageing Research and School of Risk & Actuarial Studies
Downloads 44 (484,410)
Citation 1

Abstract:

Loading...

Mortality projection, regularisation, cross validation, age-period-cohort model

61.

Financial Engineering: A Flexible Longevity Bond to Manage Individual Longevity Risk

Number of pages: 35 Posted: 14 May 2020
Yuxin Zhou, Michael Sherris, Jonathan Ziveyi and Mengyi Xu
affiliation not provided to SSRN, University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies, University of New South Wales; ARC Centre of Excellence in Population Ageing Research and School of Risk & Actuarial Studies and Purdue University
Downloads 41 (497,628)

Abstract:

Loading...

Longevity Risk, Stochastic Mortality, Longevity Bond, Immunization, Natural Hedging

62.

Valuation of Guaranteed Minimum Maturity Benefits in Variable Annuities with Surrender Options

Number of pages: 27 Posted: 25 Nov 2015
Yang Shen, Michael Sherris and Jonathan Ziveyi
University of New South Wales (UNSW) - Australian School of Business, University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and University of New South Wales; ARC Centre of Excellence in Population Ageing Research and School of Risk & Actuarial Studies
Downloads 41 (497,628)
Citation 2

Abstract:

Loading...

Guaranteed minimum maturity benefits, Surrender options, Numerical integration

63.

A Multivariate Forward-Rate Mortality Framework

UNSW Business School Research Paper No. 2014ACTL08
Number of pages: 24 Posted: 18 Dec 2014 Last Revised: 02 Jan 2015
Daniel H. Alai, Katja Ignatieva and Michael Sherris
University of Kent, University of New South Wales - Australian School of Business and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 39 (506,769)
Citation 1

Abstract:

Loading...

longevity risk, Olivier-Smith model, forward-rate mortality framework, minimum covariance pattern, copulas

64.

A Multi-State Model of Functional Disability and Health Status in the Presence of Systematic Trend and Uncertainty

Number of pages: 41 Posted: 07 Sep 2019
Michael Sherris and Pengyu Wei
University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 38 (511,368)
Citation 1

Abstract:

Loading...

65.

The Application of Affine Processes in Cohort Mortality Risk Models

UNSW Business School Research Paper Forthcoming
Number of pages: 28 Posted: 07 Sep 2019
University of New South Wales (UNSW) - ARC Centre of Excellence in Population Ageing Research (CEPAR), University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies, University of New South Wales (UNSW) and University of New South Wales; ARC Centre of Excellence in Population Ageing Research and School of Risk & Actuarial Studies
Downloads 33 (536,325)
Citation 1

Abstract:

Loading...

mortality models, continuous time, cohort curve, affine rates, Kalman filter

66.

A Multivariate Tweedie Lifetime Model: Censoring and Truncation

UNSW Business School Research Paper No. 2015ACTL01
Number of pages: 27 Posted: 17 Jan 2015
Daniel H. Alai, Zinoviy Landsman and Michael Sherris
University of Kent, University of Haifa, Department of Statistics and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 33 (536,325)

Abstract:

Loading...

systematic longevity risk, dependence, multivariate Tweedie, lifetime distribution, censoring, truncation

67.

A Managed Volatility Investment Strategy for Pooled Annuity Products

UNSW Business School Research Paper Forthcoming
Number of pages: 28 Posted: 27 Sep 2019
UNSW Sydney, University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies, University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and University of New South Wales (UNSW)
Downloads 32 (541,550)

Abstract:

Loading...

pooled annuity, equity investment, managed volatility, longevity risk

68.

One Size Fits All? Drawdown Structures in Australia and the Netherlands

The Journal of the Economics of Ageing. Available online 25 July 2018. DOI: 10.1016/j.jeoa.2018.07.002
Number of pages: 36 Posted: 25 Aug 2017 Last Revised: 04 Aug 2018
Jennifer Alonso-García and Michael Sherris
Université Libre de Bruxelles (ULB) - Department of Mathematics and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 28 (563,816)

Abstract:

Loading...

Utility, CEC, Income, Retirement Income, Means-test

69.

Taxation and Policyholder Behavior: The Case of Guaranteed Minimum Accumulation Benefits

CEPAR Working Paper 2020/17
Number of pages: 43 Posted: 10 Jul 2020 Last Revised: 03 Feb 2021
Université Libre de Bruxelles (ULB) - Department of Mathematics, University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies, KPMG and University of New South Wales; ARC Centre of Excellence in Population Ageing Research and School of Risk & Actuarial Studies
Downloads 27 (569,858)

Abstract:

Loading...

taxation, retirement income, policyholder behavior, pricing, method of lines, surrender, variable annuity

70.

Solvency, Capital Allocation, and Fair Rate of Return in Insurance

Journal of Risk and Insurance, Vol. 73, No. 1, pp. 71-96, March 2006
Number of pages: 26 Posted: 08 May 2006
Michael Sherris
University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 19 (622,273)
Citation 4
  • Add to Cart

Abstract:

Loading...

71.

The Application of Affine Processes in Multi-Cohort Mortality Model

7th Australasian Actuarial Education and Research Symposium
Number of pages: 22 Posted: 03 Dec 2015
Yajing Xu, Michael Sherris and Jonathan Ziveyi
UNSW Australia Business School, School of Risk & Actuarial Studies, University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and University of New South Wales; ARC Centre of Excellence in Population Ageing Research and School of Risk & Actuarial Studies
Downloads 17 (636,122)

Abstract:

Loading...

72.

Functional Disability with Systematic Trends and Uncertainty: A Comparison between China and the U.S.

UNSW Business School Research Paper Forthcoming
Number of pages: 55 Posted: 19 Mar 2021
Yu Fu, Michael Sherris and Mengyi Xu
Central University of Finance and Economics, University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and Purdue University
Downloads 15 (657,566)

Abstract:

Loading...

functional disability, life expectancy, systematic trend and uncertainty, multi-state latent factor intensity model

73.

Natural Hedging Strategies for Life Insurers: Impact of Product Design and Risk Measure

Journal of Risk and Insurance, Vol. 84, Issue 1, pp. 153-175, 2017
Number of pages: 23 Posted: 06 Feb 2017
Andy Wong, Michael Sherris and Ralph Stevens
University of New South Wales (UNSW) - School of Actuarial Studies, University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and CPB Netherlands Bureau of Economic Policy Analysis
Downloads 2 (752,090)
Citation 1
  • Add to Cart

Abstract:

Loading...

74.

Managing Systematic Mortality Risk with Group Self‐Pooling and Annuitization Schemes

Journal of Risk and Insurance, Vol. 80, Issue 4, pp. 949-974, 2013
Number of pages: 26 Posted: 18 Dec 2013
Chao Qiao and Michael Sherris
PricewaterhouseCoopers and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 1 (764,215)
Citation 12
  • Add to Cart

Abstract:

Loading...

75.

Portfolio Choice in Retirement - What is the Optimal Home Equity Release Product?

Journal of Risk and Insurance, Vol. 83, Issue 2, pp. 421-446, 2016
Number of pages: 26 Posted: 23 May 2016
Katja Hanewald, Thomas Post and Michael Sherris
UNSW Sydney - School of Risk & Actuarial Studies and ARC Centre of Excellence in Population Ageing Research (CEPAR), Maastricht University - School of Business and Economics - Department of Finance and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 0 (781,920)
Citation 1
  • Add to Cart

Abstract:

Loading...

76.

Modelling Mortality with Common Stochastic Long-Run Trends

The Geneva Papers on Risk and Insurance - Issues and Practice, No, 36(4), 595- 621, 2011
Posted: 10 Jul 2015
Severine Arnold (-Gaille) and Michael Sherris
University of Lausanne - Faculty of Business and Economics and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies

Abstract:

Loading...

mortality trends, Heligman-Pollard model, Lee-Carter model, VECM; causes of death, mortality forecasts

77.

Causes-of-Death Mortality: What Do We Know on Their Dependence?

North American Actuarial Journal, 2015, No 19(2), 116-128
Posted: 02 Mar 2015 Last Revised: 10 Jul 2015
Severine Arnold (-Gaille) and Michael Sherris
University of Lausanne - Faculty of Business and Economics and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies

Abstract:

Loading...

Causes of death, mortality trends, cointegration, dependence, common trends

78.

Longevity Selection and Liabilities in Public Sector Pension Funds

Journal of Risk and Insurance, Vol. 82, Issue 1, pp. 33-64, 2015
Number of pages: 32 Posted: 21 Feb 2015
Joelle H. Fong, John Piggott and Michael Sherris
National University of Singapore, University of New South Wales (UNSW) - Australian School of Business, School of Economics and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 0 (781,920)
  • Add to Cart

Abstract:

Loading...

79.

Postcode‐Level House Price Models for Banking and Insurance Applications

Economic Record, Vol. 89, Issue 286, pp. 411-425, 2013
Number of pages: 15 Posted: 14 Sep 2013
Katja Hanewald and Michael Sherris
UNSW Sydney - School of Risk & Actuarial Studies and ARC Centre of Excellence in Population Ageing Research (CEPAR) and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 0 (781,920)
  • Add to Cart

Abstract:

Loading...

80.

Contingent Claim Pricing Using Probability Distortion Operators: Methods from Insurance Risk Pricing and Their Relationship to Financial Theory

Posted: 04 Feb 2011
Mahmoud Hamada and Michael Sherris
RWE Supply and Trading and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies

Abstract:

Loading...

Contingent Claim Pricing, Probability Distortion Functions, Non-expected Utility, Insurance Pricing, Black And Sholes

81.

Dynamic Portfolio Allocation, the Dual Theory of Choice and Probability Distortion Functions

Posted: 03 Feb 2011
Mahmoud Hamada, Michael Sherris and John Van der Hoek
RWE Supply and Trading, University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and University of Adelaide - Faculty of Engineering, Computer and Mathematical Sciences

Abstract:

Loading...

Portfolio allocation, dual theory, probability distortion, equilibrium pricing