By Emeritus Professor Michael Sherris

Preprints

Lyu L; Sherris M; Ungolo F; Ye Z, 2026, Prudential Liquidity Rules beyond Banking: Evidence from Refundable Deposit Funding for Residential Care Providers, http://dx.doi.org/10.2139/ssrn.6886871

KESSY S; Shen Y; Sherris M; Temple J; Ziveyi J, 2024, Estimating Transition Probabilities Using Repeated Cross-sectional Data, http://dx.doi.org/10.2139/ssrn.4800795

Kabuche D; Sherris M; Villegas A; Ziveyi J, 2023, Pooling Functional Disability and Mortality in Long-Term Care Insurance and Care Annuities: A Matrix Approach for Multi-State Pools, http://dx.doi.org/10.2139/ssrn.4479051

Ungolo F; Sherris M; Zhou Y, 2021, affine_mortality: A Github repository for estimation, analysis, and projection of affine mortality models, http://dx.doi.org/10.2139/ssrn.3912983

Fu Y; Sherris M; Xu M, 2021, Functional Disability with Systematic Trends and Uncertainty: A Comparison between China and the U.S., http://dx.doi.org/10.2139/ssrn.3785743

Ungolo F; Sherris M; Zhou Y, 2021, Multi-factor, Age-Cohort, Affine Mortality Models: A Multi-Country Comparison, http://dx.doi.org/10.2139/ssrn.3912981

Doan BH; Reeves JJ; Sherris M, 2021, Portfolio Management for Insurers and Pension Funds and COVID-19: Targeting Volatility for Equity, Balanced and Target-Date Funds with Leverage Constraints, http://dx.doi.org/10.2139/ssrn.3773495

SriDaram D; Sherris M; Villegas A; Ziveyi J, 2021, A Group Regularisation Approach for Constructing Generalised Age-Period-Cohort Mortality Projection Models, http://dx.doi.org/10.2139/ssrn.3790991

KESSY S; Sherris M; Villegas A; Ziveyi J, 2021, Mortality Forecasting Using Stacked Regression Ensembles, http://dx.doi.org/10.2139/ssrn.3823511

Alonso-García J; Sherris M; Thirurajah S; Ziveyi J, 2020, Taxation and Policyholder Behavior: The Case of Guaranteed Minimum Accumulation Benefits, http://dx.doi.org/10.2139/ssrn.3629101

Sherris M; Wei P, 2019, A Multi-State Model of Functional Disability and Health Status in the Presence of Systematic Trend and Uncertainty, http://dx.doi.org/10.2139/ssrn.3445761

Huang Z; Sherris M; Villegas A; Ziveyi J, 2019, The Application of Affine Processes in Cohort Mortality Risk Models, http://dx.doi.org/10.2139/ssrn.3446924

Li Z; Shao AW; Sherris M, 2016, The Impact of Systematic Trend and Uncertainty on Mortality and Disability in a Multi-State Latent Factor Model for Transition Rates, http://dx.doi.org/10.2139/ssrn.2731492

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

Chang Y; Sherris M, 2015, A Value Based Cohort Index for Longevity Risk Management, http://dx.doi.org/10.2139/ssrn.2569507

Xu M; Sherris M; Meyricke R, 2015, Mortality Heterogeneity and Systematic Mortality Improvement, http://dx.doi.org/10.2139/ssrn.2701650

Shao AW; Sherris M; Fong JH, 2015, Product Pricing and Solvency Capital Requirements for Long-Term Care Insurance, http://dx.doi.org/10.2139/ssrn.2574533

Sherris M, 2015, Data Analytics in Actuarial Education and Research, http://dx.doi.org/10.2139/ssrn.2701855

Papageorgiou NA; Reeves JJ; Sherris M, 2015, Equity Investing with Targeted Constant Volatility Exposure, http://dx.doi.org/10.2139/ssrn.2614828

Liu C; Sherris M, 2015, Immunization and Hedging of Longevity Risk, http://dx.doi.org/10.2139/ssrn.2596989

Xu M; Sherris M; Shao AW, 2015, Portfolio Insurance Strategies for Target Annuitisation Funds, http://dx.doi.org/10.2139/ssrn.2698728

Xu Y; Sherris M; Ziveyi J, 2015, The Application of Affine Processes in Multi-Cohort Mortality Model, http://dx.doi.org/10.2139/ssrn.2603524

Shao AW; Chen H; Sherris M, 2015, To Borrow or Insure? Long Term Care Costs and the Impact of Housing, http://dx.doi.org/10.2139/ssrn.2707350

Alai DH; Ignatieva K; Sherris M, 2014, A Multivariate Forward-Rate Mortality Framework, http://dx.doi.org/10.2139/ssrn.2539434

Shen Y; Sherris M, 2014, Lifetime Asset Allocation with Idiosyncratic and Systematic Mortality Risks, http://dx.doi.org/10.2139/ssrn.2428006

Hanewald K; Post T; Sherris M, 2014, Portfolio Choice in Retirement: What is the Optimal Home Equity Release Product?, http://dx.doi.org/10.2139/ssrn.2414505

Shao AW; Hanewald K; Sherris M, 2014, Reverse Mortgage Pricing and Risk Analysis Allowing for Idiosyncratic House Price Risk and Longevity Risk, http://dx.doi.org/10.2139/ssrn.2393813

Wong A; Sherris M; Stevens R, 2013, Managing Life Insurer Risk and Profitability: Annuity Market Development Using Natural Hedging Strategies, http://dx.doi.org/10.2139/ssrn.2206022

Sherris M; Zhou Q, 2013, Model Risk, Mortality Heterogeneity, and Implications for Solvency and Tail Risk, http://dx.doi.org/10.2139/ssrn.2337159

Fung SMC; Ignatieva K; Sherris M, 2013, Systematic Mortality Risk: An Analysis of Guaranteed Lifetime Withdrawal Benefits in Variable Annuities, http://dx.doi.org/10.2139/ssrn.2279274

Meyricke R; Sherris M, 2013, The Determinants of Mortality Heterogeneity and Implications for Pricing Underwritten Annuities, http://dx.doi.org/10.2139/ssrn.2226076

Alai DH; Chen H; Cho D; Hanewald K; Sherris M, 2013, Developing Equity Release Markets: Risk Analysis for Reverse Mortgages and Home Reversions, http://dx.doi.org/10.2139/ssrn.2198619

Shao AW; Sherris M; Hanewald K, 2013, Disaggregated House Price Indices, http://dx.doi.org/10.2139/ssrn.2237783

Meyricke R; Sherris M, 2013, Longevity Risk, Cost of Capital and Hedging for Life Insurers Under Solvency II, http://dx.doi.org/10.2139/ssrn.2331660

Sherris M; Zhou Q, 2013, Model Risk, Mortality Heterogeneity and Implications for Solvency and Tail Risk, http://dx.doi.org/10.2139/ssrn.2258814

Alai DH; Arnold (-Gaille) S; Sherris M, 2013, Modelling Cause-of-Death Mortality and the Impact of Cause-Elimination, http://dx.doi.org/10.2139/ssrn.2233693

Fong JH; Shao AW; Sherris M, 2013, Multi-State Actuarial Models of Functional Disability, http://dx.doi.org/10.2139/ssrn.2261013

Alai DH; Landsman Z; Sherris M, 2013, Multivariate Tweedie Lifetimes: The Impact of Dependence, http://dx.doi.org/10.2139/ssrn.2246526

Hanewald K; Post T; Sherris M, 2013, Portfolio Choice in Retirement - What is the Optimal Home Equity Release Product?, http://dx.doi.org/10.2139/ssrn.2280883

Cho D; Hanewald K; Sherris M, 2013, Risk Management and Payout Design of Reverse Mortgages, http://dx.doi.org/10.2139/ssrn.2233688

Fung MC; Ignatieva K; Sherris M, 2013, Systematic Mortality Risk: An Analysis of Guaranteed Lifetime Withdrawal Benefits in Variable Annuities, http://dx.doi.org/10.2139/ssrn.2279283

Chen H; Sherris M; Sun T; Zhu W, 2012, Living with Ambiguity: Pricing Mortality-Linked Securities with Smooth Ambiguity Preferences, http://dx.doi.org/10.2139/ssrn.2007342

Alai DH; Landsman Z; Sherris M, 2012, Lifetime Dependence Modelling Using a Truncated Multivariate Gamma Distribution, http://dx.doi.org/10.2139/ssrn.2033454

Sherris M; Quang D, 2012, Portfolio Selection for Insurance Linked Securities: An Application of Multiple Criteria Decision Making, http://dx.doi.org/10.2139/ssrn.2020712

Ziveyi J; Blackburn C; Sherris M, 2012, Pricing European Options on Deferred Annuities, http://dx.doi.org/10.2139/ssrn.2005461

Fong JH; Piggott J; Sherris M, 2012, Public Sector Pension Funds in Australia: Longevity Selection and Liabilities, http://dx.doi.org/10.2139/ssrn.2078683

Nirmalendran M; Sherris M; Hanewald K, 2012, Solvency Capital, Pricing and Capitalization Strategies of Life Annuity Providers, http://dx.doi.org/10.2139/ssrn.2069594

Sherris M; Su S, 2011, Heterogeneity of Australian Population Mortality and Implications for a Viable Life Annuity Market, http://dx.doi.org/10.2139/ssrn.1779442

Sherris M; Njenga C, 2011, Modeling Mortality with a Bayesian Vector Autoregression, http://dx.doi.org/10.2139/ssrn.1776532

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

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