By Emeritus Professor Michael Sherris

Preprints

Blake DP; Courbage C; MacMinn RD; Sherris M, 2011, Longevity Risks and Capital Markets: The 2010-2011 Update, http://dx.doi.org/10.2139/ssrn.1964636

Sherris M; Qiao C, 2011, Managing Systematic Mortality Risk with Group Self Pooling and Annuitisation Schemes, http://dx.doi.org/10.2139/ssrn.1791162

Arnold (-Gaille) S; Sherris M, 2010, Age Patterns and Trends in Mortality by Cause of Death and Implications for Modeling Longevity Risk, http://dx.doi.org/10.2139/ssrn.1694272

Sherris M; Arnold (-Gaille) S, 2010, Improving Longevity and Mortality Risk Models with Common Stochastic Long-Run Trends, http://dx.doi.org/10.2139/ssrn.1702029

Sherris M; Arnold (-Gaille) S, 2010, Modeling Long-Run Cause of Death Mortality Trends, http://dx.doi.org/10.2139/ssrn.1705696

Sherris M; Sun D, 2010, Risk Based Capital and Pricing for Reverse Mortgages Revisited, http://dx.doi.org/10.2139/ssrn.1588342

Sherris M; Tang A, 2010, Spatial Variability in Mortality and Socioeconomic Factors for Australian Mortality, http://dx.doi.org/10.2139/ssrn.1594522

Sherris M; Ding J, 2009, Pricing and Hedging Synthetic CDO Tranche Spread Risks, http://dx.doi.org/10.2139/ssrn.1361342

Sherris M; Zhang B, 2009, Economic Scenario Generation with Regime Switching Models, http://dx.doi.org/10.2139/ssrn.1446596

Sherris M; Njenga CN, 2009, Longevity Risk and the Econometric Analysis of Mortality Trends and Volatility, http://dx.doi.org/10.2139/ssrn.1458084

Sherris M; Wills S, 2008, Integrating Financial and Demographic Longevity Risk Models: An Australian Model for Financial Applications, http://dx.doi.org/10.2139/ssrn.1139724

Mitchell OS; Piggott J; Sherris M; Yow S, 2006, Financial Innovation for an Aging World, http://dx.doi.org/10.2139/ssrn.921041

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

Alai DH; Landsman Z; Sherris M, A Multivariate Tweedie Lifetime Model: Censoring and Truncation, http://dx.doi.org/10.2139/ssrn.2550507

Sherris M; Veprauskaite E, An Analysis of Reinsurance Optimisation in Life Insurance, http://dx.doi.org/10.2139/ssrn.2029314

Zhou Y; Sherris M; Ziveyi J; Xu M, Financial Engineering: A Flexible Longevity Bond to Manage Individual Longevity Risk, http://dx.doi.org/10.2139/ssrn.3580488

Gaille S; Sherris M, Forecasting Mortality Trends Allowing for Cause-of-Death Mortality Dependence, http://dx.doi.org/10.2139/ssrn.2202608

Xu M; Alonso-García J; Sherris M; Shao AW, Insuring Longevity Risk and Long-Term Care: Bequest, Housing and Liquidity, http://dx.doi.org/10.2139/ssrn.4057404

Arnold (-Gaille) S; Sherris M, International Cause-Specific Mortality Rates: New Insights from a Cointegration Analysis, http://dx.doi.org/10.2139/ssrn.2571324

Sherris M; Xu Y; Ziveyi J, Market Price of Longevity Risk for a Multi-Cohort Mortality Model with Application to Longevity Bond Option Pricing, http://dx.doi.org/10.2139/ssrn.3121520

Sherris M, On Sustainable Aged Care Financing in Australia, http://dx.doi.org/10.2139/ssrn.3870864

Hanewald K; Post T; Sherris M, Portfolio Choice in Retirement What is the Optimal Home Equity Release Product?, http://dx.doi.org/10.2139/ssrn.2407680

Xu M; Sherris M; Shao AW, Portfolio Insurance Strategies for a Target Annuitization Fund, http://dx.doi.org/10.2139/ssrn.3417818

Xu Y; Sherris M; Ziveyi J, The Application of A ffine Processes in Multi-Cohort Mortality Model, http://dx.doi.org/10.2139/ssrn.2698757

Shen Y; Sherris M; Ziveyi J, Valuation of Guaranteed Minimum Maturity Benefits in Variable Annuities with Surrender Options, http://dx.doi.org/10.2139/ssrn.2695265

Back to profile page