By Emeritus Professor Michael Sherris

Journal articles

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

Sherris M; Chandra V, 2006, 'Capital Management and Frictional Costs in Insurance', Australian Actuarial Journal, 12, pp. 399 - 447

Sherris M; van der Hoek J; Hamada M, 2006, 'Dynamic Portfolio Allocation, the Dual Theory of Choice and Probability Distortion Functions', ASTIN Bulletin, 36, pp. 187 - 217

Hamada M; Sherris M; Hoek JVD, 2006, 'Dynamic Portfolio Allocation, the Dual Theory of Choice and Probability Distortion Functions', ASTIN Bulletin, 36, pp. 187 - 217, http://dx.doi.org/10.1017/s0515036100014458

Sherris M; Krvavych Y, 2006, 'Enhancing insurer value through reinsurance optimization', Insurance Mathematics and Economics, 38, pp. 495 - 517

Sherris M; Mitchell O; Piggott JR, 2006, 'Financial Innovation for an Ageing World',

Sherris M, 2006, 'Solvency, Capital Allocation and fair Rate of Return in Insurance', Journal of Risk and Insurance, 73, pp. 71 - 96

Sherris M; Sutherland-Wong C, 2005, 'Risk-Based Regulatory Capital for Insurers: A Case Study', Journal of Actuarial Practice, 12, pp. 5 - 45

Sherris M; Hamada M, 2003, 'Contingent Claim Pricing Using Probability Distortion Operators: Methods from Insurance Risk Pricing and their Relationship to Financial Theory', Applied Mathematical Finance, 10, pp. 19 - 47

Sherris M, 2003, 'Economic Valuation: Something Old, Something New', Australian Actuarial Journal, 9, pp. 625 - 665

Landsman Z; Sherris M, 2001, 'Risk measures and insurance premium principles', Insurance Mathematics and Economics, 29, pp. 103 - 115, http://dx.doi.org/10.1016/S0167-6687(01)00076-2

Van Der Hoek J; Sherris M, 2001, 'A class of non-expected utility risk measures and implications for asset allocations', Insurance Mathematics and Economics, 28, pp. 69 - 82, http://dx.doi.org/10.1016/S0167-6687(00)00067-6

Sherris M; van der Hoek J, 2001, 'A Class of Non-Expected Utility Risk Measures and Implications for Asset Allocation, Insurance: Mathematics and Economics', Insurance Mathematics and Economics, pp. 69 - 82

Sherris M; Landsman Z, 2001, 'Risk Measures and Insurance Premium Principles, Insurance: Mathematics and Economics', Insurance Mathematics and Economics, pp. 103 - 115

Sherris M; Pliska S; Bielecki T, 2000, 'Risk Sensitive Asset Allocation', Journal of Economic Dynamics and Control, pp. 1145 - 1177

Sherris M, 1999, '“term structure models: A perspective from the long rate”, yong yao, july, 1999', North American Actuarial Journal, 3, pp. 138 - 138, http://dx.doi.org/10.1080/10920277.1999.10595840

Sherris M; Tedesco L; Zehnwirth B, 1999, 'Investment Returns and Inflation Models: Some Australian Evidence', British Actuarial Journal, pp. 237 - 267

Sherris M, 1999, 'Long-Term Yield Rates for Actuarial Valuations', North American Actuarial Journal, pp. 22 - 23

Sherris M, 1999, 'Term Structure Models: A Perspective from the Long Rate', North American Actuarial Journal, pp. 138 - 138

Sherris M, 1998, 'Actuarial Model Assumptions for Inflation, Equity Returns, and Interest Rates', Journal of Actuarial Practice, pp. 227 - 253

Sherris M, 1998, 'Discussion of `Presidential Address`', Transactions of the Institute of Actuaries of Australia -- 1997, pp. 71 - 74

Sherris M, 1998, 'Review of Financial Calculus by M. Baxter and A. Rennie', North American Actuarial Journal, 2, pp. 134 - 135

Adams M; Sherris M; Hossain M, 1997, 'The determinants of external audit costs in the New Zealand life insurance industry', Journal of International Financial Management and Accounting, 8, pp. 69 - 86, http://dx.doi.org/10.1111/1467-646X.00018

Ang A; Sherris M, 1997, 'Interest rate risk management: Developments in interest rate term structure modeling for risk management and valuation of interest-rate-dependent cash flows', North American Actuarial Journal, 1, pp. 1 - 26, http://dx.doi.org/10.1080/10920277.1997.10595601

Pollard JH; Sherris M, 1980, 'Application of matrix methods to pension funds', Scandinavian Actuarial Journal, 1980, pp. 77 - 95, http://dx.doi.org/10.1080/03461238.1980.10408642

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

Conference Papers

Sherris M; Krvavych Y, 2006, 'Insurer Risk Management In The Presence Of Frictional Costs', Paris, presented at 28th International Congress of Actuaries, Paris, 28 May 2006 - 02 June 2006

Sherris M; van der Hoek J, 2004, 'Capital Allocation in Insurance: Economic Capital and the Allocation of the Default Option Value', in 14th Annual International AFIR Colloquium, Boston, Massachusetts, presented at 14th Annual International AFIR Colloquium, Boston, Massachusetts, 08 November 2004 - 09 November 2004

Sherris M, 2003, 'Equilibrium Insurance Pricing, Market Value of Liabilities and Optimal Capitalization', in Berhouwer H; Kleynen R (ed.), International AFIR Colloqium 2003, Maastricht, The Netherlands, pp. 195 - 220, presented at International AFIR Colloqium 2003, Maastricht, The Netherlands, 17 September 2003 - 19 September 2003

Sherris M, 2002, 'Contingent Claim Pricing using Probability Distortion Operators', in AFIR, Cancun, Mexico, presented at AFIR, Cancun, Mexico

Sherris M; Hamada M; van der Hoek J, 2001, 'Martingale Methods in Portfolio Allocation with Distortion Operators', in XIth Annual International AFIR Colloquium, Toronto, presented at XIth Annual International AFIR Colloquium, Toronto

Sherris M, 2000, 'Investment Strategies for Retirement', in Diana Olsberg (ed.), Ageing and Active. Australia in the 21st Century. Future challenges and opportunities for Australia`s ageing population, Sydney, pp. 16 - 20, presented at Ageing and Active. Australia in the 21st Century. Future challenges and opportunities for Australia`s ageing population, Sydney, -

Sherris M; Hoek J, 1999, 'Non Expected Utility Risk Measures and Implications for Asset Allocation', in Sherris M; van der Hoek J (ed.), Institute of Actuaries of Australia Biennial Convention, pp. 1 - 38, presented at Institute of Actuaries of Australia Biennial Convention

Sherris M, 1994, 'The valuation of option features in retirement benefits', in JOURNAL OF RISK AND INSURANCE, AMER RISK INSURANCE ASSOC, INC, PA, UNIV PENN, WHARTON SCH, PHILADELPHIA, pp. 509 - 534, presented at 4th International Conference on Insurance Solvency and Finance, PA, UNIV PENN, WHARTON SCH, PHILADELPHIA, 25 April 1994 - 27 April 1994, http://dx.doi.org/10.2307/253821

Reports

Kudrna G; Chomik R; Bateman H; Piggott J; Keane M; Sherris M; De Cure M; Woodland A, 2020, CEPAR Submission to the Retirement Income Review

Working Papers

Garces LP; Kolar J; Sherris M; Ungolo F, 2022, Affine Mortality Models with Jumps: Parameter Estimation and Forecasting, CEPAR Working Paper 2022/12, http://dx.doi.org, https://cepar.edu.au/publications/working-papers/affine-mortality-models-jumps-parameter-estimation-and-forecasting

Alonso-García J; Sherris M, 2017, One Size Fits All? Drawdown Structures in Australia and the Netherlands, Elsevier, http://dx.doi.org10.2139/ssrn.3025064

Sherris M; Zhang BW, 2009, Economic Scenario Generation with Regime Switching Models, http://dx.doi.org

Sherris M; Njenga C, 2009, Longevity Risk and the Econometric Analysis of Mortality Trends and Volatility, http://dx.doi.org

Sherris M; Landsman Z, 2005, Pricing in the Multi-Line Insurer with Dependent Gamma Distributed Risks allowing for Frictional Costs of Capital, http://dx.doi.org

Shen Y; Sherris M; Wang Y; Ziveyi J, The Valuation and Assessment of Retirement Income Products: a Unified Markov Chain Monte Carlo Framework, Elsevier BV, http://dx.doi.org10.2139/ssrn.4595961, https://doi.org/10.2139/ssrn.4595961

Preprints

Fung MC; Ignatieva K; Sherris M, 2015, Managing Systematic Mortality Risk in Life Annuities: An Application of Longevity Derivatives, http://dx.doi.org/10.48550/arxiv.1508.00090

SriDaram D; Sherris M; Villegas A; Ziveyi J, A Group Regularisation Approach for Constructing Generalised Age-Period-Cohort Mortality Projection Models, http://dx.doi.org/10.2139/ssrn.3790991

Li S; Labit Hardy H; Sherris M; Villegas A, A Managed Volatility Investment Strategy for Pooled Annuity Products, http://dx.doi.org/10.2139/ssrn.3455806

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