Select Publications

Journal articles

Xu M; Alonso-García J; Sherris M; Shao AW, 2023, 'Insuring longevity risk and long-term care: Bequest, housing and liquidity', Insurance: Mathematics and Economics, 111, pp. 121 - 141,

Doan B; Reeves JJ; Sherris M, 2023, 'Portfolio management for insurers and pension funds and COVID-19: targeting volatility for equity, balanced, and target-date funds with leverage constraints', Annals of Actuarial Science,

Huang Z; Sherris M; Villegas AM; Ziveyi J, 2022, 'Modelling USA Age-Cohort Mortality: A Comparison of Multi-Factor Affine Mortality Models †', Risks, 10,

Fu Y; Sherris M; Xu M, 2022, 'Functional disability with systematic trends and uncertainty: A comparison between China and the US', Annals of Actuarial Science, 16, pp. 289 - 318,

Li S; Hardy HL; Sherris M; Villegas AM, 2022, 'A Managed Volatility Investment Strategy for Pooled Annuity Products', Risks, 10,


Kessy SR; Sherris M; Villegas AM; Ziveyi J, 2022, 'Mortality forecasting using stacked regression ensembles', Scandinavian Actuarial Journal, 2022, pp. 591 - 626,

Zhou Y; Sherris M; Ziveyi J; Xu M, 2021, 'An innovative design of flexible, bequest-enhanced life annuity with natural hedging', Scandinavian Actuarial Journal, pp. 1 - 22,

Sherris M, 2021, 'On Sustainable Aged Care Financing in Australia', Australian Economic Review, 54, pp. 275 - 284,

Sherris M; Wei P, 2021, 'A Multi-state Model of Functional Disability and Health Status in the Presence of Systematic Trend and Uncertainty', North American Actuarial Journal, 25, pp. 17 - 39,

Xu Y; Sherris M; Ziveyi J, 2020, 'Market Price of Longevity Risk for a Multi-Cohort Mortality Model With Application to Longevity Bond Option Pricing', Journal of Risk and Insurance, 87, pp. 571 - 595,

Njenga CN; Sherris M, 2020, 'Modeling mortality with a Bayesian vector autoregression', Insurance: Mathematics and Economics, 94, pp. 40 - 57,

Xu M; Sherris M; Shao AW, 2020, 'Portfolio insurance strategies for a target annuitization fund', ASTIN Bulletin, 50, pp. 873 - 912,

Sherris M; Xu Y; Ziveyi J, 2020, 'Cohort and value-based multi-country longevity risk management', Scandinavian Actuarial Journal, 2020, pp. 650 - 676,

Xu Y; Sherris M; Ziveyi J, 2020, 'Continuous-time multi-cohort mortality modelling with affine processes', Scandinavian Actuarial Journal, 2020, pp. 526 - 552,

Alai DH; Ignatieva K; Sherris M, 2019, 'The investigation of a forward-rate mortality framework', Risks, 7,

Alonso-García J; Sherris M, 2019, 'One size fits all? Drawdown structures in Australia and The Netherlands', Journal of the Economics of Ageing, 13, pp. 14 - 27,

Xu M; Sherris M; Meyricke R, 2019, 'Systematic Mortality Improvement Trends and Mortality Heterogeneity: Insights from Individual-Level HRS Data', North American Actuarial Journal, 23, pp. 197 - 219,

Fung MC; Ignatieva K; Sherris M, 2019, 'Managing systematic mortality risk in life annuities: An application of longevity derivatives', Risks, 7,

Shao AW; Chen H; Sherris M, 2019, 'To borrow or insure? Long term care costs and the impact of housing', Insurance: Mathematics and Economics, 85, pp. 15 - 34,

Doan B; Papageorgiou N; Reeves JJ; Sherris M, 2018, 'Portfolio management with targeted constant market volatility', Insurance: Mathematics and Economics, 83, pp. 134 - 147,

Shen Y; Sherris M, 2018, 'Lifetime asset allocation with idiosyncratic and systematic mortality risks', Scandinavian Actuarial Journal, 2018, pp. 294 - 327,

Chang Y; Sherris M, 2018, 'Longevity risk management and the development of a value-based longevity index', Risks, 6,

Shao AW; Hanewald K; Sherris M, 2018, 'House Price Models for Banking and Insurance Applications: The Impact of Property Characteristics', Asia-Pacific Journal of Risk and Insurance, 12,

Li Z; Shao AW; Sherris M, 2017, 'The impact of systematic trend and uncertainty on mortality and disability in a multistate latent factor model for transition rates', North American Actuarial Journal, 21, pp. 594 - 610,

Liu C; Sherris M, 2017, 'Immunization and hedging of post retirement income annuity products', Risks, 5,

Wong A; Sherris M; Stevens R, 2017, 'Natural Hedging Strategies for Life Insurers: Impact of Product Design and Risk Measure', Journal of Risk and Insurance, 84, pp. 153 - 175,

Fong JH; Sherris M; Yap J, 2017, 'Forecasting disability: application of a frailty model', Scandinavian Actuarial Journal, 2017, pp. 125 - 147,

Blackburn C; Hanewald K; Olivieri A; Sherris M, 2017, 'Longevity Risk Management and Shareholder Value for a Life Annuity Business', ASTIN Bulletin - The Journal of the International Actuarial Association, 47, pp. 43 - 77,

Alai DH; Landsman Z; Sherris M, 2016, 'Multivariate Tweedie lifetimes: The impact of dependence', Scandinavian Actuarial Journal, 2016, pp. 692 - 712,

Alai DH; Landsman Z; Sherris M, 2016, 'Modelling lifetime dependence for older ages using a multivariate Pareto distribution', Insurance: Mathematics and Economics, 70, pp. 272 - 285,

Ziveyi JONATHAN; Sherris MICHAEL; Shen Y, 2016, 'Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options', Insurance: Mathematics and Economics, 69, pp. 127 - 137,

Sherris M, 2016, 'Editorial', Geneva Papers on Risk and Insurance: Issues and Practice, 41, pp. 1 - 3,

Hanewald K; Post T; Sherris M, 2016, 'Portfolio Choice in Retirement - What is the Optimal Home Equity Release Product?', Journal of Risk and Insurance, 83, pp. 421 - 446,

Shao A; Sherris M; Fong JH, 2015, 'Product Pricing and Solvency Capital Requirements for Long-Term Care Insurance', Scandinavian Actuarial Journal, 2017, pp. 175 - 208,


Alai DH; Landsman Z; Sherris M, 2015, 'A multivariate Tweedie lifetime model: Censoring and truncation', Insurance: Mathematics and Economics, 64, pp. 203 - 213,

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,

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,

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,

Alai DH; Arnold (-Gaille) S; Sherris M, 2015, 'Modelling cause-of-death mortality and the impact of cause-elimination', ANNALS OF ACTUARIAL SCIENCE, 9, pp. 167 - 186,

Sherris M, 2015, 'Whither actuarial research?', ANNALS OF ACTUARIAL SCIENCE, 9, pp. 1 - +,

Fong JH; Shao AW; Sherris M, 2015, 'Multistate Actuarial Models of Functional Disability', North American Actuarial Journal, 19, pp. 41 - 59,

Fung MC; Ignatieva K; Sherris M, 2015, 'Managing Systematic Mortality Risk in Life Annuities: An Application of Longevity Derivatives', SSRN Electronic Journal,

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,

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,

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,

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,

Nirmalendran M; Sherris M; Hanewald K, 2014, 'Pricing and solvency of value-maximizing life annuity providers', ASTIN Bulletin, 44, pp. 39 - 61,

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,

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