All Stories

  1. Systematic Mortality Improvement Trends and Mortality Heterogeneity: Insights from Individual-Level HRS Data

    Article • North American Actuarial Journal, February 2019, Taylor & Francis

    Michael Sherris

  2. House Price Models for Banking and Insurance Applications: The Impact of Property Characteristics

    Article • Asia-Pacific Journal of Risk and Insurance, December 2017, De Gruyter

    Michael Sherris

  3. Lifetime asset allocation with idiosyncratic and systematic mortality risks

    Article • Scandinavian Actuarial Journal, June 2017, Taylor & Francis

    Michael Sherris

  4. LONGEVITY RISK MANAGEMENT AND SHAREHOLDER VALUE FOR A LIFE ANNUITY BUSINESS

    Article • Astin Bulletin, November 2016, Cambridge University Press

    Michael Sherris, Prof Annamaria Olivieri

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

    Article • Astin Bulletin, December 2015, Cambridge University Press

    Michael Sherris, Séverine Arnold

  6. Risk Analysis for Reverse Mortgages with Different Payout Designs

    Article • Asia-Pacific Journal of Risk and Insurance, January 2015, De Gruyter

    Michael Sherris

  7. Reinsurance decisions in life insurance: An empirical test of the risk–return criterion

    Article • International Review of Financial Analysis, October 2014, Elsevier

    Michael Sherris

  8. Asset Management

    Article • September 2014, Wiley

    Michael Sherris

  9. Systematic mortality risk: An analysis of guaranteed lifetime withdrawal benefits in variable annuities

    Article • Insurance Mathematics and Economics, September 2014, Elsevier

    Michael Sherris

  10. Longevity risk, cost of capital and hedging for life insurers under Solvency II

    Article • Insurance Mathematics and Economics, March 2014, Elsevier

    Michael Sherris

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

    Article • North American Actuarial Journal, January 2014, Taylor & Francis

    Michael Sherris

  12. PRICING AND SOLVENCY OF VALUE-MAXIMIZING LIFE ANNUITY PROVIDERS

    Article • Astin Bulletin, October 2013, Cambridge University Press

    Michael Sherris

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

    Article • North American Actuarial Journal, October 2013, Taylor & Francis

    Michael Sherris

  14. The determinants of mortality heterogeneity and implications for pricing annuities

    Article • Insurance Mathematics and Economics, September 2013, Elsevier

    Michael Sherris

  15. Living With Ambiguity: Pricing Mortality‐Linked Securities With Smooth Ambiguity Preferences

    Article • Journal of Risk & Insurance, July 2013, Wiley

    Michael Sherris

  16. LONGEVITY SELECTION AND LIABILITIES IN PUBLIC SECTOR PENSION FUNDS

    Article • Journal of Risk & Insurance, July 2013, Wiley

    Michael Sherris

  17. Consistent dynamic affine mortality models for longevity risk applications

    Article • Insurance Mathematics and Economics, July 2013, Elsevier

    Michael Sherris

  18. Postcode‐Level House Price Models for Banking and Insurance Applications

    Article • Economic Record, June 2013, Wiley

    Michael Sherris

  19. Lifetime dependence modelling using a truncated multivariate gamma distribution

    Article • Insurance Mathematics and Economics, May 2013, Elsevier

    Michael Sherris

  20. Pricing European options on deferred annuities

    Article • Insurance Mathematics and Economics, March 2013, Elsevier

    Michael Sherris

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

    Article • SSRN Electronic Journal, January 2013, Elsevier

    Michael Sherris

  22. Multivariate Tweedie Lifetimes: The Impact of Dependence

    Article • SSRN Electronic Journal, January 2013, Elsevier

    Michael Sherris

  23. Individual post-retirement longevity risk management under systematic mortality risk

    Article • Insurance Mathematics and Economics, January 2013, Elsevier

    Michael Sherris

  24. Heterogeneity of Australian population mortality and implications for a viable life annuity market

    Article • Insurance Mathematics and Economics, September 2012, Elsevier

    Michael Sherris

  25. Managing Systematic Mortality Risk With Group Self‐Pooling and Annuitization Schemes

    Article • Journal of Risk & Insurance, July 2012, Wiley

    Michael Sherris

  26. Rethinking age-period-cohort mortality trend models

    Article • Scandinavian Actuarial Journal, April 2012, Taylor & Francis

    Michael Sherris

  27. Lifetime Dependence Modelling Using the Truncated Multivariate Gamma Distribution

    Article • SSRN Electronic Journal, January 2012, Elsevier

    Michael Sherris

  28. Public Sector Pension Funds in Australia: Longevity Selection and Liabilities

    Article • SSRN Electronic Journal, January 2012, Elsevier

    Michael Sherris

  29. The Longevity Revolution: The Benefits and Challenges of Living a Long Life. Robert N. Butler. Public Affairs Press, 2008, ISBN 978-1-58648-553-5, 576 pages.

    Article • Journal of Pension Economics and Finance, January 2012, Cambridge University Press

    Michael Sherris

  30. Modeling Longevity Dynamics for Pensions and Annuity Business. Ermanno Pitacco, Michel Denuit, Steven Haberman and Annamaria Olivieri. Oxford University Press, 2009, ISBN 978-0-1995-4727-2, 400 pages.

    Article • Journal of Pension Economics and Finance, January 2012, Cambridge University Press

    Michael Sherris

  31. Longevity Risk and Capital Markets: The 2010–2011 Update

    Article • The Geneva Papers on Risk and Insurance Issues and Practice, October 2011, Springer Science + Business Media

    Michael Sherris

  32. Modelling Mortality with Common Stochastic Long-Run Trends

    Article • The Geneva Papers on Risk and Insurance Issues and Practice, October 2011, Springer Science + Business Media

    Michael Sherris

  33. Longevity Risk and the Econometric Analysis of Mortality Trends and Volatility

    Article • Asia-Pacific Journal of Risk and Insurance, July 2011, De Gruyter

    Michael Sherris

  34. Longevity risk management for life and variable annuities: The effectiveness of static hedging using longevity bonds and derivatives

    Article • Insurance Mathematics and Economics, July 2011, Elsevier

    Michael Sherris

  35. Comparison of market models for measuring and hedging synthetic CDO tranche spread risks

    Article • European Actuarial Journal, June 2011, Springer Science + Business Media

    Michael Sherris

  36. Modeling Mortality with a Bayesian Vector Autoregression

    Article • SSRN Electronic Journal, January 2011, Elsevier

    Michael Sherris

  37. Securitization, structuring and pricing of longevity risk

    Article • Insurance Mathematics and Economics, February 2010, Elsevier

    Michael Sherris

  38. Modeling Long-Run Cause of Death Mortality Trends

    Article • SSRN Electronic Journal, January 2010, Elsevier

    Michael Sherris

  39. Financial Innovation and the Hedging of Longevity Risk

    Article • Asia-Pacific Journal of Risk and Insurance, September 2008, De Gruyter

    Michael Sherris

  40. Asset–Liability Management for Life Insurers

    Article • July 2008, Wiley

    Michael Sherris

  41. Enterprise Risk Management, Insurer Value Maximisation, and Market Frictions

    Article • Astin Bulletin, May 2008, Cambridge University Press

    Michael Sherris

  42. Corporate interest rate risk management with derivatives in Australia: empirical results

    Article • Revista Contabilidade & Finanças, April 2008, FapUNIFESP (SciELO)

    Michael Sherris

  43. Author Reply: An Actuarial Premium Pricing Model for Nonnormal Insurance and Financial Risks in Incomplete Markets by Zinoviy Landsman and Michael Sherris - Discussion by Edward Furman; Ricardas Zitikis

    Article • North American Actuarial Journal, October 2007, Taylor & Francis

    Michael Sherris

  44. Simulating from Exchangeable Archimedean Copulas

    Article • Communications in Statistics - Simulation and Computation, August 2007, Taylor & Francis

    Michael Sherris

  45. “An Actuarial Premium Pricing Model for Nonnormal Insurance and Financial Risks in Incomplete Markets”, Zinoviy Landsman and Michael Sherris, January 2007

    Article • North American Actuarial Journal, July 2007, Taylor & Francis

    Michael Sherris

  46. An Actuarial Premium Pricing Model for Nonnormal Insurance and Financial Risks in Incomplete Markets

    Article • North American Actuarial Journal, January 2007, Taylor & Francis

    Michael Sherris

  47. Financial Innovation for an Aging World

    Article • August 2006, National Bureau of Economic Research

    Michael Sherris

  48. Enhancing insurer value through reinsurance optimization

    Article • Insurance Mathematics and Economics, June 2006, Elsevier

    Michael Sherris

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

    Article • Astin Bulletin, May 2006, Cambridge University Press

    Michael Sherris

  50. Capital Allocation In Insurance

    Article • North American Actuarial Journal, April 2006, Taylor & Francis

    Michael Sherris

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

    Article • Journal of Risk & Insurance, February 2006, Wiley

    Michael Sherris

  52. Asset Management

    Article • September 2004, Wiley

    Michael Sherris

  53. Contingent claim pricing using probability distortion operators: methods from insurance risk pricing and their relationship to financial theory

    Article • Applied Mathematical Finance, January 2003, Taylor & Francis

    Michael Sherris

  54. Risk measures and insurance premium principles

    Article • Insurance Mathematics and Economics, August 2001, Elsevier

    Michael Sherris

  55. A class of non-expected utility risk measures and implications for asset allocations

    Article • Insurance Mathematics and Economics, February 2001, Elsevier

    Michael Sherris

  56. Risk sensitive asset allocation

    Article • Journal of Economic Dynamics and Control, July 2000, Elsevier

    Michael Sherris

  57. “Term Structure Models: A Perspective from the Long Rate”, Yong Yao, July, 1999

    Article • North American Actuarial Journal, July 1999, Taylor & Francis

    Michael Sherris

  58. “Long-Term Yield Rates for Actuarial Valuations”, Jacques F. Carriere, July, 1999

    Article • North American Actuarial Journal, July 1999, Taylor & Francis

    Michael Sherris

  59. Interest Rate Risk Management

    Article • North American Actuarial Journal, April 1997, Taylor & Francis

    Michael Sherris

  60. The Valuation of Option Features in Retirement Benefits

    Article • Journal of Risk & Insurance, September 1995, JSTOR

    Michael Sherris

  61. Leveraged Leasing: An Example of the use of Investment Appraisal Techniques.

    Article • Journal of the Staple Inn Actuarial Society, December 1987, Cambridge University Press

    Michael Sherris

  62. Disaggregated House Price Indices

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Michael Sherris

  63. Economic Scenario Generation with Regime Switching Models

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Michael Sherris

  64. The Determinants of Mortality Heterogeneity and Implications for Pricing Underwritten Annuities

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Michael Sherris

  65. Lifetime Asset Allocation with Idiosyncratic and Systematic Mortality Risks

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Michael Sherris

  66. Risk Based Capital and Pricing for Reverse Mortgages Revisited

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Michael Sherris

  67. Spatial Variability in Mortality and Socioeconomic Factors for Australian Mortality

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Michael Sherris

  68. Managing Systematic Mortality Risk with Group Self Pooling and Annuitisation Schemes

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Michael Sherris

  69. Pricing and Hedging Synthetic CDO Tranche Spread Risks

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Michael Sherris

  70. Financial Innovation for an Aging World

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Michael Sherris

  71. Risk Management and Payout Design of Reverse Mortgages

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Michael Sherris

  72. An Analysis of Reinsurance Optimisation in Life Insurance

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Michael Sherris

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

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Michael Sherris

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

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Michael Sherris

  75. Multi-State Actuarial Models of Functional Disability

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Michael Sherris

  76. Pricing European Options on Deferred Insurance Contracts

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Michael Sherris

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

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Michael Sherris

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

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Michael Sherris

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

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Michael Sherris

  80. Longevity Risks and Capital Markets: The 2010-2011 Update

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Michael Sherris

  81. Longevity Risk Management and the Development of a Life Annuity Market in Australia

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Michael Sherris

  82. Longevity Risk and the Econometric Analysis of Mortality Trends and Volatility

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Michael Sherris

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

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Michael Sherris

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

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Michael Sherris

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

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Michael Sherris

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

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Michael Sherris

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

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Michael Sherris

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

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Michael Sherris

  89. Solvency Capital, Pricing and Capitalization Strategies of Life Annuity Providers

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Michael Sherris

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

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Michael Sherris

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

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Michael Sherris

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

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Michael Sherris

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

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Michael Sherris

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

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Michael Sherris

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

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Michael Sherris

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

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Michael Sherris