By Emeritus Professor Michael Sherris

Journal articles

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

Fung MC; Ignatieva K; Sherris M, 2015, 'Managing Systematic Mortality Risk in Life Annuities: An Application of Longevity Derivatives', , http://dx.doi.org/10.2139/ssrn.2576575

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

Qiao C; Sherris M, 2013, 'Managing systematic mortality risk with group self-pooling and annuitization schemes', Journal of Risk and Insurance, 80, pp. 949 - 974, http://dx.doi.org/10.1111/j.1539-6975.2012.01483.x

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

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

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

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, 89, pp. 411 - 425, 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

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”, Zinoviy Landsman and Michael Sherris, January 2007', North American Actuarial Journal, 11, pp. 174 - 176, 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

Sherris M; van der Hoek J, 2006, 'Capital Allocation in Insurance: Economic Capital and the Allocation of the Default Option Value', North American Actuarial Journal, 10, pp. 39 - 61

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