Select Publications


Garces LPD; Kolar J; Sherris M; Ungolo F, 2022, Affine Mortality Models with Jumps: Parameter Estimation and Forecasting,

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

SriDaram D; Sherris M; Villegas A; Ziveyi J, A Group Regularisation Approach for Constructing Generalised Age-Period-Cohort Mortality Projection Models,

Li S; Labit Hardy H; Sherris M; Villegas A, A Managed Volatility Investment Strategy for Pooled Annuity Products,

Sherris M; Wei P, A Multi-State Model of Functional Disability and Health Status in the Presence of Systematic Trend and Uncertainty,

Alai DH; Ignatieva K; Sherris M, A Multivariate Forward-Rate Mortality Framework,

Alai DH; Landsman Z; Sherris M, A Multivariate Tweedie Lifetime Model: Censoring and Truncation,

Chang Y; Sherris M, A Value Based Cohort Index for Longevity Risk Management,

Ungolo F; Sherris M; Zhou Y, affine_mortality: A Github repository for estimation, analysis, and projection of affine mortality models,

Gaille S; Sherris M, Age Patterns and Trends in Mortality by Cause of Death and Implications for Modeling Longevity Risk,

Sherris M; Veprauskaite E, An Analysis of Reinsurance Optimisation in Life Insurance,

Sherris M, Data Analytics in Actuarial Education and Research,

Alai DH; Chen H; Cho DW; Hanewald K; Sherris M, Developing Equity Release Markets: Risk Analysis for Reverse Mortgages and Home Reversions,

Shao AW; Sherris M; Hanewald K, Disaggregated House Price Indices,

Sherris M; Zhang B, Economic Scenario Generation with Regime Switching Models,

Papageorgiou NA; Reeves JJ; Sherris M, Equity Investing with Targeted Constant Volatility Exposure,

Zhou Y; Sherris M; Ziveyi J; Xu M, Financial Engineering: A Flexible Longevity Bond to Manage Individual Longevity Risk,

Mitchell OS; Piggott J; Sherris M; Yow S, Financial Innovation for an Aging World,

Gaille S; Sherris M, Forecasting Mortality Trends Allowing for Cause-of-Death Mortality Dependence,

Fu Y; Sherris M; Xu M, Functional Disability with Systematic Trends and Uncertainty: A Comparison between China and the U.S.,

Sherris M; Su S, Heterogeneity of Australian Population Mortality and Implications for a Viable Life Annuity Market,

Liu CE; Sherris M, Immunization and Hedging of Longevity Risk,

Sherris M; Gaille S, Improving Longevity and Mortality Risk Models with Common Stochastic Long-Run Trends,

Xu M; Alonso-García J; Sherris M; Shao AW, Insuring Longevity Risk and Long-Term Care: Bequest, Housing and Liquidity,

Sherris M; Wills S, Integrating Financial and Demographic Longevity Risk Models: An Australian Model for Financial Applications,

Arnold (-Gaille) S; Sherris M, International Cause-Specific Mortality Rates: New Insights from a Cointegration Analysis,

Shen Y; Sherris M, Lifetime Asset Allocation with Idiosyncratic and Systematic Mortality Risks,

Alai DH; Landsman Z; Sherris M, Lifetime Dependence Modelling Using the Truncated Multivariate Gamma Distribution,

Chen H; Sherris M; Sun T; Zhu W, Living with Ambiguity: Pricing Mortality-Linked Securities with Smooth Ambiguity Preferences,

Sherris M; Njenga CN, Longevity Risk and the Econometric Analysis of Mortality Trends and Volatility,

Meyricke R; Sherris M, Longevity Risk, Cost of Capital and Hedging for Life Insurers Under Solvency II,

Blake DP; Courbage C; MacMinn RD; Sherris M, Longevity Risks and Capital Markets: The 2010-2011 Update,

Wong A; Sherris M; Stevens R, Managing Life Insurer Risk and Profitability: Annuity Market Development Using Natural Hedging Strategies,

Shao AW; Chen H; Sherris M, Managing Retirement Risks with Reverse Mortgage Loans and Long-Term Care Insurance,

Sherris M; Qiao C, Managing Systematic Mortality Risk with Group Self Pooling and Annuitisation Schemes,

Sherris M; Xu Y; Ziveyi J, Market Price of Longevity Risk for a Multi-Cohort Mortality Model with Application to Longevity Bond Option Pricing,

Sherris M; Zhou Q, Model Risk, Mortality Heterogeneity and Implications for Solvency and Tail Risk,

Sherris M; Zhou Q, Model Risk, Mortality Heterogeneity, and Implications for Solvency and Tail Risk,

Sherris M; Gaille S, Modeling Long-Run Cause of Death Mortality Trends,

Sherris M; Njenga CN, Modeling Mortality with a Bayesian Vector Autoregression,

Alai DH; Gaille S; Sherris M, Modelling Cause-of-Death Mortality and the Impact of Cause-Elimination,

KESSY S; Sherris M; Villegas A; Ziveyi J, Mortality Forecasting Using Stacked Regression Ensembles,

Xu M; Sherris M; Meyricke R, Mortality Heterogeneity and Systematic Mortality Improvement,

Ungolo F; Sherris M; Zhou Y, Multi-factor, Age-Cohort, Affine Mortality Models: A Multi-Country Comparison,

Fong JHY; Shao AW; Sherris M, Multi-State Actuarial Models of Functional Disability,

Alai DH; Landsman Z; Sherris M, Multivariate Tweedie Lifetimes: The Impact of Dependence,

Sherris M, On Sustainable Aged Care Financing in Australia,

Hanewald K; Post T; Sherris M, Portfolio Choice in Retirement - What is the Optimal Home Equity Release Product?,

Hanewald K; Post T; Sherris M, Portfolio Choice in Retirement What is the Optimal Home Equity Release Product?,

Hanewald K; Post T; Sherris M, Portfolio Choice in Retirement: What is the Optimal Home Equity Release Product?,

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