By Emeritus Professor Michael Sherris

Journal articles

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

Veprauskaite E; Sherris M, 2014, 'Reinsurance decisions in life insurance: An empirical test of the risk-return criterion', International Review of Financial Analysis, 35, pp. 128 - 139, http://dx.doi.org/10.1016/j.irfa.2014.08.001

Meyricke R; Sherris M, 2014, 'Longevity risk, cost of capital and hedging for life insurers under Solvency II', Insurance: Mathematics and Economics, 55, pp. 147 - 155, http://dx.doi.org/10.1016/j.insmatheco.2014.01.010

Alai DH; Chen H; Cho D; Hanewald K; Sherris M, 2014, 'Developing Equity Release Markets: Risk Analysis for Reverse Mortgages and Home Reversions', North American Actuarial Journal, 18, pp. 217 - 241, http://dx.doi.org/10.1080/10920277.2014.882252

Nirmalendran M; Sherris M; Hanewald K, 2014, 'Pricing and solvency of value-maximizing life annuity providers', ASTIN Bulletin, 44, pp. 39 - 61, http://dx.doi.org/10.1017/asb.2013.25

Fung MC; Ignatieva K; Sherris M, 2014, 'Systematic mortality risk: An analysis of guaranteed lifetime withdrawal benefits in variable annuities', Insurance: Mathematics and Economics, 58, pp. 103 - 115, http://dx.doi.org/10.1016/j.insmatheco.2014.06.010

Arnold (-Gaille) S; Sherris M, 2013, 'Forecasting Mortality Trends Allowing for Cause-of-Death Mortality Dependence', North American Actuarial Journal, 17, pp. 273 - 282, http://dx.doi.org/10.1080/10920277.2013.838141

Meyricke R; Sherris M, 2013, 'The determinants of mortality heterogeneity and implications for pricing annuities', Insurance: Mathematics and Economics, 53, pp. 379 - 387, http://dx.doi.org/10.1016/j.insmatheco.2013.06.002

Alai D; Landsman Z; Sherris M, 2013, 'Lifetime Dependence Modelling using the Truncated Multivariate Gamma Distribution', Insurance: Mathematics and Economics

Chen H; Sherris M; Sun T; Zhu W, 2013, 'Living with ambiguity: Pricing mortality-linked securities with smooth ambiguity preferences', Journal of Risk and Insurance, 80, pp. 705 - 732, http://dx.doi.org/10.1111/j.1539-6975.2013.12001.x

Blackburn C; Sherris M, 2013, 'Consistent dynamic affine mortality models for longevity risk applications', Insurance Mathematics and Economics, 53, pp. 64 - 73, http://dx.doi.org/10.1016/j.insmatheco.2013.04.007

Hanewald K; Piggott J; Sherris M, 2013, 'Individual post-retirement longevity risk management under systematic mortality risk', Insurance Mathematics and Economics, 52, pp. 87 - 97, http://dx.doi.org/10.1016/j.insmatheco.2012.11.002

Alai D; Landsman Z; Sherris M, 2013, 'Lifetime dependence modelling using a truncated multivariate gamma distribution', Insurance Mathematics and Economics, 52, pp. 542 - 549, http://dx.doi.org/10.1016/j.insmatheco.2013.03.01

Hanewald K; Sherris M, 2013, 'Postcode-Level House Price Models for Banking and Insurance Applications', Economic Record, http://dx.doi.org/10.1111/1475-4932.12045

Ziveyi J; Blackburn C; Sherris M, 2013, 'Pricing European Options on Deferred Annuities', Insurance Mathematics and Economics, 52, pp. 300 - 311, http://dx.doi.org/10.1016/j.insmatheco.2013.01.004

Sherris M; Alai D; Olivieri A, 2012, 'Modeling Longevity Dynamics for Pensions and Annuity Business.', JOURNAL OF PENSION ECONOMICS & FINANCE, 11, pp. 126 - 128, http://dx.doi.org/10.1017/S1474747210000454

Sherris M, 2012, 'The Longevity Revolution: The Benefits and Challenges of Living a Long Life.', JOURNAL OF PENSION ECONOMICS & FINANCE, 11, pp. 121 - 122, http://dx.doi.org/10.1017/S1474747210000417

Su S; Sherris M, 2012, 'Heterogeneity of Australian population mortality and implications for a viable life annuity market', Insurance Mathematics and Economics, 51, pp. 322 - 332, http://www.sciencedirect.com/science/article/pii/S0167668712000674

Sherris M; Qiao C, 2012, 'Managing Systematic Mortality Risk With Group Self-Pooling and Annuitization Schemes', Journal of Risk and Insurance, 2012, pp. 1 - 26, http://dx.doi.org/10.1111/j.1539-6975.2012.01483.x/abstract

Alai D; Sherris M, 2012, 'Rethinking age-period-cohort mortality trend models', Scandinavian Actuarial Journal, 2012, pp. 1 - 20, http://dx.doi.org/10.1080/03461238.2012.676563

Blake D; Courbage C; MacMinn R; Sherris M, 2011, 'Longevity risk and capital markets: The 2010-2011 update', Geneva Papers on Risk and Insurance: Issues and Practice, 36, pp. 489 - 500, http://dx.doi.org/10.1057/gpp.2011.27

Sherris M; Ding JJ, 2011, 'Comparison of market models for measuring and hedging synthetic CDO tranche spread risks', European Actuarial Journal, 1, http://dx.doi.org/10.1007/s13385-011-0025-1

Njenga C; Sherris M, 2011, 'Longevity Risk and the Econometric Analysis of Mortality Trends and Volatility', Asia-Pacific Journal of Risk and Insurance, 5, pp. 1 - 54, http://dx.doi.org/10.2202/2153-3792.1115

Ngai A; Sherris M, 2011, 'Longevity risk management for life and variable annuities: The effectiveness of static hedging using longevity bonds and derivatives', Insurance Mathematics and Economics, 49, pp. 100 - 114, http://dx.doi.org/10.1016/j.insmatheco.2011.02.009

Gaille S; Sherris M, 2011, 'Modelling Mortality with Common Stochastic Long-Run Trends', Geneva Papers on Risk and Insurance - Issues and Practice, 2011, pp. 595 - 621, http://dx.doi.org/10.1057/gpp.2011.19

Evans JR; Sherris M, 2011, 'The Development of a Life Annuity Market in Australia: an analysis of supplier risks and their mitigation', JASSA - Journal of the Securities Institute of Australia, 2011, pp. 11 - 15, http://www.finsia.com/AM/ContentManagerNet/HTMLDisplay.aspx?ContentID=17129&Section=JASSA1

Sherris M; Wills S, 2010, 'Securitization, structuring and pricing of longevity risk', Insurance Mathematics and Economics, 46, pp. 173 - 185, http://dx.doi.org/10.1016/j.insmatheco.2009.09.014

Sherris M; Carneiro LA, 2009, 'Demand For Reinsurance: Evidence from Australian Insurers', China-USA Business Review, 8, pp. 1 - 21

Sherris M; Carneiro LA, 2008, 'Corporate Interest Rate Risk Management with Derivatives in Australia: Empirical Results', Revista Contabilidade e Financas, 19, pp. 86 - 107

Sherris M; Yow S, 2008, 'Enterprise Risk Management, Insurer Value Maximisation, and Market Frictions', ASTIN Bulletin, 38, pp. 293 - 339

Yow S; Sherris M, 2008, 'Enterprise Risk Management, Insurer Value Maximisation, and Market Frictions', ASTIN Bulletin, 38, pp. 293 - 339, http://dx.doi.org/10.1017/s051503610001518x

Sherris M; Wills S, 2008, 'Financial Innovation and the Hedging of Longevity Risk', Asia Pacific Journal of Risk and Insurance, 38, pp. 52 - 64

Wu F; Valdez E; Sherris M, 2007, 'Simulating from exchangeable Archimedean copulas', Communications in Statistics: Simulation and Computation, 36, pp. 1019 - 1034, http://dx.doi.org/10.1080/03610910701539781

Furman E; Zitikis R, 2007, '"An Actuarial Premium Pricing Model for Nonnormal Insurance and Financial Risks in Incomplete Markets"', NORTH AMERICAN ACTUARIAL JOURNAL, 11, pp. 174 - +, http://dx.doi.org/10.1080/10920277.2007.10597479

Sherris M, 2007, 'An Actuarial Premium Pricing Model for Non-normal Insurance and Financial Risks in Incomplete Markets', North American Actuarial Journal, 11, pp. 119 - 136

Sherris M, 2007, 'Book Review: The Econometrics of Individual Risk: Credit, Insurance and Marketing', Journal of Economic Literature, XLV, pp. 1049 - 1053

Yow S; Sherris M, 2007, 'Enterprise Risk Management, Insurer Pricing and Capital Allocation', Geneva Papers on Risk and Insurance - Issues and Practice, July 2007, pp. 33 - 62

Sherris M; Valdez E; Wu ML, 2007, 'Simlating from Exchangeable Archimedean Copulas', Communications in Statistics - Simulation and Computation, 36, pp. 1019 - 1034

Sherris M, 2007, 'The econometrics of individual risk: Credit, insurance, and marketing', Journal of Economic Literature, 45, pp. 1049 - 1053

van der Hoek J; Sherris M, 2006, 'A flexible approach to multivariate risk modelling with a new class of copulas.', INSURANCE MATHEMATICS & ECONOMICS, 39, pp. 398 - 399, https://www.webofscience.com/api/gateway?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000242315600010&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=891bb5ab6ba270e68a29b250adbe88d1

Sherris M, 2006, 'Actuarial education and research: A perspective from down under', ASTIN Bulletin, 36, pp. 1 - 3

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