By Emeritus Professor Michael Sherris

Journal articles

Kabuche D; Sherris M; Villegas AM; Ziveyi J, 2024, 'Pooling functional disability and mortality in long-term care insurance and care annuities: A matrix approach for multi-state pools', Insurance: Mathematics and Economics, 116, pp. 165 - 188, http://dx.doi.org/10.1016/j.insmatheco.2024.02.006

Nguyen H; Sherris M; Villegas AM; Ziveyi J, 2024, 'Scenario selection with LASSO regression for the valuation of variable annuity portfolios', Insurance: Mathematics and Economics, 116, pp. 27 - 43, http://dx.doi.org/10.1016/j.insmatheco.2024.01.006

Doan B; Reeves JJ; Sherris M, 2024, 'Portfolio management for insurers and pension funds and COVID-19: targeting volatility for equity, balanced, and target-date funds with leverage constraints', Annals of Actuarial Science, 18, pp. 78 - 101, http://dx.doi.org/10.1017/S1748499523000143

Alonso-García J; Sherris M; Thirurajah S; Ziveyi J, 2024, 'Taxation and policyholder behavior: the case of guaranteed minimum accumulation benefits', ASTIN Bulletin, 54, pp. 185 - 212, http://dx.doi.org/10.1017/asb.2023.38

Ungolo F; Garces LPDM; Sherris M; Zhou Y, 2024, 'AffineMortality: An R package for estimation, analysis, and projection of affine mortality models', Annals of Actuarial Science, http://dx.doi.org/10.1017/S1748499524000149

Ungolo F; Garces LPDM; Sherris M; Zhou Y, 2024, 'Estimation, Comparison, and Projection of Multifactor Age–Cohort Affine Mortality Models', North American Actuarial Journal, 28, pp. 570 - 592, http://dx.doi.org/10.1080/10920277.2023.2238793

Xu M; Alonso-García J; Sherris M; Shao AW, 2023, 'Insuring longevity risk and long-term care: Bequest, housing and liquidity', Insurance: Mathematics and Economics, 111, pp. 121 - 141, http://dx.doi.org/10.1016/j.insmatheco.2023.03.004

Park K; Sherris M, 2023, 'Actuarial modelling of Australian population retirement risks: an Australian functional disability and health state model', Decisions in Economics and Finance, http://dx.doi.org/10.1007/s10203-023-00418-w

Huang Z; Sherris M; Villegas AM; Ziveyi J, 2022, 'Modelling USA Age-Cohort Mortality: A Comparison of Multi-Factor Affine Mortality Models †', Risks, 10, http://dx.doi.org/10.3390/risks10090183

Fu Y; Sherris M; Xu M, 2022, 'Functional disability with systematic trends and uncertainty: A comparison between China and the US', Annals of Actuarial Science, 16, pp. 289 - 318, http://dx.doi.org/10.1017/S1748499521000233

Li S; Hardy HL; Sherris M; Villegas AM, 2022, 'A Managed Volatility Investment Strategy for Pooled Annuity Products', Risks, 10, http://dx.doi.org/10.3390/risks10060121

Sridaran D; Sherris M; Villegas AM; Ziveyi J, 2022, 'A GROUP REGULARISATION APPROACH FOR CONSTRUCTING GENERALISED AGE-PERIOD-COHORT MORTALITY PROJECTION MODELS', ASTIN Bulletin, 52, pp. 247 - 289, http://dx.doi.org/10.1017/asb.2021.29

Kessy SR; Sherris M; Villegas AM; Ziveyi J, 2022, 'Mortality forecasting using stacked regression ensembles', Scandinavian Actuarial Journal, 2022, pp. 591 - 626, http://dx.doi.org/10.1080/03461238.2021.1999316

Zhou Y; Sherris M; Ziveyi J; Xu M, 2021, 'An innovative design of flexible, bequest-enhanced life annuity with natural hedging', Scandinavian Actuarial Journal, 2022, pp. 488 - 509, http://dx.doi.org/10.1080/03461238.2021.1997795

Sherris M, 2021, 'On Sustainable Aged Care Financing in Australia', Australian Economic Review, 54, pp. 275 - 284, http://dx.doi.org/10.1111/1467-8462.12426

Sherris M; Wei P, 2021, 'A Multi-state Model of Functional Disability and Health Status in the Presence of Systematic Trend and Uncertainty', North American Actuarial Journal, 25, pp. 17 - 39, http://dx.doi.org/10.1080/10920277.2019.1708755

Xu Y; Sherris M; Ziveyi J, 2020, 'Market Price of Longevity Risk for a Multi-Cohort Mortality Model With Application to Longevity Bond Option Pricing', Journal of Risk and Insurance, 87, pp. 571 - 595, http://dx.doi.org/10.1111/jori.12273

Njenga CN; Sherris M, 2020, 'Modeling mortality with a Bayesian vector autoregression', Insurance: Mathematics and Economics, 94, pp. 40 - 57, http://dx.doi.org/10.1016/j.insmatheco.2020.05.011

Xu M; Sherris M; Shao AW, 2020, 'Portfolio insurance strategies for a target annuitization fund', ASTIN Bulletin, 50, pp. 873 - 912, http://dx.doi.org/10.1017/asb.2020.24

Sherris M; Xu Y; Ziveyi J, 2020, 'Cohort and value-based multi-country longevity risk management', Scandinavian Actuarial Journal, 2020, pp. 650 - 676, http://dx.doi.org/10.1080/03461238.2019.1711450

Xu Y; Sherris M; Ziveyi J, 2020, 'Continuous-time multi-cohort mortality modelling with affine processes', Scandinavian Actuarial Journal, 2020, pp. 526 - 552, http://dx.doi.org/10.1080/03461238.2019.1696223

Alai DH; Ignatieva K; Sherris M, 2019, 'The investigation of a forward-rate mortality framework', Risks, 7, pp. 61, http://dx.doi.org/10.3390/risks7020061

Alonso-García J; Sherris M, 2019, 'One size fits all? Drawdown structures in Australia and The Netherlands', Journal of the Economics of Ageing, 13, pp. 14 - 27, http://dx.doi.org/10.1016/j.jeoa.2018.07.002

Xu M; Sherris M; Meyricke R, 2019, 'Systematic Mortality Improvement Trends and Mortality Heterogeneity: Insights from Individual-Level HRS Data', North American Actuarial Journal, 23, pp. 197 - 219, http://dx.doi.org/10.1080/10920277.2018.1513369

Fung MC; Ignatieva K; Sherris M, 2019, 'Managing systematic mortality risk in life annuities: An application of longevity derivatives', Risks, 7, pp. 2, http://dx.doi.org/10.3390/risks7010002

Shao AW; Chen H; Sherris M, 2019, 'To borrow or insure? Long term care costs and the impact of housing', Insurance: Mathematics and Economics, 85, pp. 15 - 34, http://dx.doi.org/10.1016/j.insmatheco.2018.11.006

Doan B; Papageorgiou N; Reeves JJ; Sherris M, 2018, 'Portfolio management with targeted constant market volatility', Insurance: Mathematics and Economics, 83, pp. 134 - 147, http://dx.doi.org/10.1016/j.insmatheco.2018.09.010

Shen Y; Sherris M, 2018, 'Lifetime asset allocation with idiosyncratic and systematic mortality risks', Scandinavian Actuarial Journal, 2018, pp. 294 - 327, http://dx.doi.org/10.1080/03461238.2017.1343749

Chang Y; Sherris M, 2018, 'Longevity risk management and the development of a value-based longevity index', Risks, 6, pp. 10, http://dx.doi.org/10.3390/risks6010010

Shao AW; Hanewald K; Sherris M, 2018, 'House Price Models for Banking and Insurance Applications: The Impact of Property Characteristics', Asia-Pacific Journal of Risk and Insurance, 12, pp. 20170003, http://dx.doi.org/10.1515/apjri-2017-0003

Li Z; Shao AW; Sherris M, 2017, 'The impact of systematic trend and uncertainty on mortality and disability in a multistate latent factor model for transition rates', North American Actuarial Journal, 21, pp. 594 - 610, http://dx.doi.org/10.1080/10920277.2017.1330157

Liu C; Sherris M, 2017, 'Immunization and hedging of post retirement income annuity products', Risks, 5, pp. 19, http://dx.doi.org/10.3390/risks5010019

Wong A; Sherris M; Stevens R, 2017, 'Natural Hedging Strategies for Life Insurers: Impact of Product Design and Risk Measure', Journal of Risk and Insurance, 84, pp. 153 - 175, http://dx.doi.org/10.1111/jori.12079

Fong JH; Sherris M; Yap J, 2017, 'Forecasting disability: application of a frailty model', Scandinavian Actuarial Journal, 2017, pp. 125 - 147, http://dx.doi.org/10.1080/03461238.2015.1092168

Blackburn C; Hanewald K; Olivieri A; Sherris M, 2017, 'Longevity Risk Management and Shareholder Value for a Life Annuity Business', ASTIN Bulletin - The Journal of the International Actuarial Association, 47, pp. 43 - 77, http://dx.doi.org/10.1017/asb.2016.32

Alai DH; Landsman Z; Sherris M, 2016, 'Multivariate Tweedie lifetimes: The impact of dependence', Scandinavian Actuarial Journal, 2016, pp. 692 - 712, http://dx.doi.org/10.1080/03461238.2015.1007891

Alai DH; Landsman Z; Sherris M, 2016, 'Modelling lifetime dependence for older ages using a multivariate Pareto distribution', Insurance: Mathematics and Economics, 70, pp. 272 - 285, http://dx.doi.org/10.1016/j.insmatheco.2016.06.016

Ziveyi JONATHAN; Sherris MICHAEL; Shen Y, 2016, 'Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options', Insurance: Mathematics and Economics, http://dx.doi.org/10.1016/j.insmatheco.2016.04.006

Sherris M, 2016, 'Editorial', Geneva Papers on Risk and Insurance: Issues and Practice, 41, pp. 1 - 3, http://dx.doi.org/10.1057/gpp.2015.32

Hanewald K; Post T; Sherris M, 2016, 'Portfolio Choice in Retirement - What is the Optimal Home Equity Release Product?', Journal of Risk and Insurance, 83, pp. 421 - 446, http://dx.doi.org/10.1111/jori.12068

Shao A; Sherris M; Fong JH, 2015, 'Product Pricing and Solvency Capital Requirements for Long-Term Care Insurance', Scandinavian Actuarial Journal, 2017, pp. 175 - 208, http://dx.doi.org/10.1080/03461238.2015.1095793

Arnold-Gaille S; Sherris M, 2015, 'INTERNATIONAL CAUSE-SPECIFIC MORTALITY RATES: NEW INSIGHTS FROM A COINTEGRATION ANALYSIS', ASTIN Bulletin, 46, pp. 9 - 38, http://dx.doi.org/10.1017/asb.2015.24

Alai DH; Landsman Z; Sherris M, 2015, 'A multivariate Tweedie lifetime model: Censoring and truncation', Insurance: Mathematics and Economics, 64, pp. 203 - 213, http://dx.doi.org/10.1016/j.insmatheco.2015.05.011

Shao AW; Hanewald K; Sherris M, 2015, 'Reverse mortgage pricing and risk analysis allowing for idiosyncratic house price risk and longevity risk', Insurance: Mathematics and Economics, 63, pp. 76 - 90, http://dx.doi.org/10.1016/j.insmatheco.2015.03.026

Arnold (-Gaille) S; Sherris M, 2015, 'Causes-of-Death Mortality: What Do We Know on Their Dependence?', North American Actuarial Journal, 19, pp. 116 - 128, http://dx.doi.org/10.1080/10920277.2015.1011279

Fong JH; Piggott J; Sherris M, 2015, 'Longevity selection and liabilities in public sector pension funds', Journal of Risk and Insurance, 82, pp. 33 - 64, http://dx.doi.org/10.1111/j.1539-6975.2013.12005.x

Sherris M, 2015, 'Whither actuarial research?', Annals of Actuarial Science, 9, pp. 1 - 2, http://dx.doi.org/10.1017/S1748499514000335

Fong JH; Shao AW; Sherris M, 2015, 'Multistate Actuarial Models of Functional Disability', North American Actuarial Journal, 19, pp. 41 - 59, http://dx.doi.org/10.1080/10920277.2014.978025

Cho D; Hanewald K; Sherris M, 2015, 'Risk Analysis for Reverse Mortgages with Different Payout Designs', Asia-Pacific Journal of Risk and Insurance, 9, pp. 77 - 105, http://dx.doi.org/10.1515/apjri-2014-0012

Alai DH; Gaille SA; Sherris M, 2014, 'Modelling cause-of-death mortality and the impact of cause-elimination', Annals of Actuarial Science, 9, pp. 167 - 186, http://dx.doi.org/10.1017/S174849951400027X

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