By Emeritus Professor Michael Sherris

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

Sherris M; Wei P, 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

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

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

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

Garces LPD; Kolar J; Sherris M; Ungolo F, Affine Mortality Models with Jumps: Parameter Estimation and Forecasting, , http://dx.doi.org/10.2139/ssrn.4220454

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

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

Zhou Y; Garces LPD; Shen Y; Sherris M; Ziveyi J, Age-Dependent Multi-Cohort Affine Mortality Model with Cohort Correlation, , http://dx.doi.org/10.2139/ssrn.4456316

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

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

Alai DH; Chen H; Cho DW; Hanewald K; Sherris M, 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, Disaggregated House Price Indices, , http://dx.doi.org/10.2139/ssrn.2237783

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Shao AW; Chen H; Sherris M, Managing Retirement Risks with Reverse Mortgage Loans and Long-Term Care Insurance, , http://dx.doi.org/10.2139/ssrn.2707350

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

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

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

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

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

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

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

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

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

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

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

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

Kabuche D; Sherris M; Villegas A; Ziveyi J, 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

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.2280883

Back to profile page