Michael Sherris

UNSW Business School

Professor of Actuarial Studies

Sydney, NSW 2052

Australia

SCHOLARLY PAPERS

85

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16,957

SSRN CITATIONS
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Top 5,358

in Total Papers Citations

215

CROSSREF CITATIONS

124

Scholarly Papers (85)

1.

Securitization, Structuring and Pricing of Longevity Risk

UNSW Australian School of Business Research Paper No. 2008ACTL06
Number of pages: 33 Posted: 02 Jun 2008 Last Revised: 07 Nov 2011
Michael Sherris and Samuel Wills
UNSW Business School and Independent
Downloads 869 (52,486)
Citation 2

Abstract:

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Longevity risk, securitization

2.

Pricing and Hedging Synthetic CDO Tranche Spread Risks

UNSW Australian School of Business Research Paper No. 2009ACTL04
Number of pages: 20 Posted: 18 Mar 2009 Last Revised: 01 Apr 2009
Michael Sherris and Jie Ding
UNSW Business School and Macquarie University
Downloads 754 (63,574)
Citation 2

Abstract:

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credit risk, CDO, Gaussian copula, base correlation, implied copula

3.
Downloads 736 (65,656)
Citation 7

Financial Innovation for an Aging World

Pension Research Council
Number of pages: 52 Posted: 03 Aug 2006
Olivia S. Mitchell, John Piggott, Michael Sherris and Shaun Yow
University of Pennsylvania - The Wharton School, Pension Research Council, University of New South Wales (UNSW) - Australian School of Business, School of Economics, UNSW Business School and University of New South Wales (UNSW)
Downloads 612 (81,856)
Citation 1

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Aging, insurance, old-age risk, annuities, pensions, long-term care, reverse mortgage, securitization, longevity risk, guarantee, mortality swaps

Financial Innovation for an Aging World

NBER Working Paper No. w12444
Number of pages: 48 Posted: 21 Aug 2006 Last Revised: 02 Jan 2022
Olivia S. Mitchell, John Piggott, Michael Sherris and Shaun Yow
University of Pennsylvania - The Wharton School, Pension Research Council, University of New South Wales (UNSW) - Australian School of Business, School of Economics, UNSW Business School and University of New South Wales (UNSW)
Downloads 124 (420,581)
Citation 4

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4.

Longevity Risk Management for Life and Variable Annuities: Effectiveness of Static Hedging Using Longevity Bonds and Derivatives

UNSW Australian School of Business Research Paper No. 2010ACTL03
Number of pages: 39 Posted: 12 Apr 2010 Last Revised: 12 Mar 2012
Michael Sherris and Andrew Ngai
UNSW Business School and PricewaterhouseCoopers Australia
Downloads 584 (88,005)
Citation 10

Abstract:

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longevity risk, risk based capital, static hedging, q-forwards, longevity bonds, life annuities, variable annuities

5.

Economic Scenario Generation with Regime Switching Models

UNSW Australian School of Business Research Paper No. 2009ACTL05
Number of pages: 32 Posted: 11 Aug 2009
Michael Sherris and Boqi Zhang
UNSW Business School and affiliation not provided to SSRN
Downloads 576 (89,497)
Citation 7

Abstract:

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Economic scenarios, regime switching, multivariate models

6.

An Analysis of Reinsurance Optimisation in Life Insurance

UNSW Australian School of Business Research Paper No. AIPAR 2012/2
Number of pages: 20 Posted: 26 Mar 2012
Michael Sherris and Elena Veprauskaite
UNSW Business School and University of Bath - School of Management
Downloads 563 (92,063)

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life insurance, optimal reinsurance, proportional reinsurance, mean-variance criteria

7.

Risk Based Capital and Pricing for Reverse Mortgages Revisited

UNSW Australian School of Business Research Paper No. 2010ACTL04
Number of pages: 43 Posted: 13 Apr 2010 Last Revised: 12 Apr 2011
Michael Sherris and David Sun
UNSW Business School and University of New South Wales (UNSW) - School of Actuarial Studies
Downloads 482 (111,502)
Citation 4

Abstract:

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longevity risk, risk based capital, reverse mortgages, Vector Autoregressive Model

8.

Longevity Risk and the Econometric Analysis of Mortality Trends and Volatility

UNSW Australian School of Business Research Paper No. 2009ACTL08
Number of pages: 41 Posted: 20 Aug 2009 Last Revised: 12 Apr 2011
Michael Sherris and Carolyn Njenga
UNSW Business School and University of New South Wales (UNSW) - School of Actuarial Studies
Downloads 481 (111,777)
Citation 8

Abstract:

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longevity risk, unit roots, VAR, VECM

9.

Developing Equity Release Markets: Risk Analysis for Reverse Mortgages and Home Reversions

North American Actuarial Journal, Forthcoming
Number of pages: 49 Posted: 17 Jan 2013 Last Revised: 01 Apr 2014
University of Kent, University of Hawaii at Manoa, University of New South Wales (UNSW) - ARC Centre of Excellence in Population Ageing Research (CEPAR), UNSW Sydney - School of Risk & Actuarial Studies and ARC Centre of Excellence in Population Ageing Research (CEPAR) and UNSW Business School
Downloads 471 (114,493)
Citation 17

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Reverse Mortgage, Home Reversion, Vector Autoregressive Models, Stochastic Discount Factors, Risk-Based Capital

10.

Equity Investing with Targeted Constant Volatility Exposure

FIRN Research Paper No. 2614828, UNSW Business School Research Paper
Number of pages: 45 Posted: 05 Jun 2015 Last Revised: 02 Feb 2017
HEC Montreal - Department of Finance, UNSW Business School, University of New South Wales and UNSW Business School
Downloads 443 (123,177)
Citation 3

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GARCH, Outliers, Portfolio management, Volatility forecasting, Volatility timing

11.

Integrating Financial and Demographic Longevity Risk Models: An Australian Model for Financial Applications

UNSW Australian School of Business Research Paper No. 2008ACTL05
Number of pages: 24 Posted: 02 Jun 2008 Last Revised: 12 Apr 2011
Michael Sherris and Samuel Wills
UNSW Business School and Independent
Downloads 439 (124,491)
Citation 2

Abstract:

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longevity, mortality, pricing, risk management

12.

Risk Management and Payout Design of Reverse Mortgages

UNSW Australian School of Business Research Paper No. 2013ACTL07
Number of pages: 34 Posted: 15 Mar 2013
Daniel Cho, Katja Hanewald and Michael Sherris
University of New South Wales (UNSW) - ARC Centre of Excellence in Population Ageing Research (CEPAR), UNSW Sydney - School of Risk & Actuarial Studies and ARC Centre of Excellence in Population Ageing Research (CEPAR) and UNSW Business School
Downloads 425 (129,300)
Citation 7

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Reverse mortgage, Income stream, Equity release, Vector autoregressive model, Stochastic discount factor, Risk-based capital

13.

House Price Risk Models for Banking and Insurance Applications

UNSW Australian School of Business Research Paper No. 2011ACTL11
Number of pages: 37 Posted: 18 Nov 2011
Katja Hanewald and Michael Sherris
UNSW Sydney - School of Risk & Actuarial Studies and ARC Centre of Excellence in Population Ageing Research (CEPAR) and UNSW Business School
Downloads 403 (137,433)

Abstract:

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house price risk, statistical models, risk management

14.

Mortality Forecasting Using Stacked Regression Ensembles

Number of pages: 33 Posted: 12 Apr 2021 Last Revised: 08 Oct 2021
UNSW Business School, UNSW Business School, University of New South Wales (UNSW) - ARC Centre of Excellence in Population Ageing Research (CEPAR) and University of New South Wales; ARC Centre of Excellence in Population Ageing Research and School of Risk & Actuarial Studies
Downloads 394 (141,029)
Citation 4

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Stacked regression, ensemble learning, cross-validation, model uncertainty, model combination, age-period-cohort model, mortality forecasting

Portfolio Choice in Retirement – What is the Optimal Home Equity Release Product?

Forthcoming in the Journal of Risk and Insurance
Number of pages: 40 Posted: 12 Mar 2014 Last Revised: 26 Aug 2014
Katja Hanewald, Thomas Post and Michael Sherris
UNSW Sydney - School of Risk & Actuarial Studies and ARC Centre of Excellence in Population Ageing Research (CEPAR), Maastricht University - School of Business and Economics - Department of Finance and UNSW Business School
Downloads 136 (391,184)

Abstract:

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retirement, home equity release, reverse mortgage, home reversion plan

Portfolio Choice in Retirement - What is the Optimal Home Equity Release Product?

UNSW Australian School of Business Research Paper No. 2013ACTL13
Number of pages: 34 Posted: 19 Jun 2013
Katja Hanewald, Thomas Post and Michael Sherris
UNSW Sydney - School of Risk & Actuarial Studies and ARC Centre of Excellence in Population Ageing Research (CEPAR), Maastricht University - School of Business and Economics - Department of Finance and UNSW Business School
Downloads 128 (410,565)
Citation 1

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retirement, home equity release, reverse mortgage, home reversion plan

Portfolio Choice in Retirement: What is the Optimal Home Equity Release Product?

Netspar Discussion Paper No. 03/2014-007
Number of pages: 41 Posted: 26 Mar 2014
Katja Hanewald, Thomas Post and Michael Sherris
UNSW Sydney - School of Risk & Actuarial Studies and ARC Centre of Excellence in Population Ageing Research (CEPAR), Maastricht University - School of Business and Economics - Department of Finance and UNSW Business School
Downloads 86 (545,186)

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Retirement, home equity release, reverse mortgage, home reversion plan

16.

Reverse Mortgage Pricing and Risk Analysis Allowing for Idiosyncratic House Price Risk and Longevity Risk

UNSW Australian School of Business Research Paper No. 2014ACTL01
Number of pages: 39 Posted: 11 Feb 2014
Adam Wenqiang Shao, Katja Hanewald and Michael Sherris
SCOR Global Life, UNSW Sydney - School of Risk & Actuarial Studies and ARC Centre of Excellence in Population Ageing Research (CEPAR) and UNSW Business School
Downloads 313 (181,058)
Citation 9

Abstract:

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Equity release products, idiosyncratic house price risk, stochastic mortality, Willis-Sherris mortality model

17.

Portfolio Selection for Insurance Linked Securities: An Application of Multiple Criteria Decision Making

UNSW Australian School of Business Research Paper No. AIPAR 2012/4
Number of pages: 30 Posted: 12 Mar 2012
Michael Sherris and Dominic Quang
UNSW Business School and UNSW Business School
Downloads 304 (186,676)

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portfolio selection, insurance linked securities, multiple criteria decision making, Analytical Hierarchy Process, ELECTRE

18.

Longevity Risk, Cost of Capital and Hedging for Life Insurers Under Solvency II

UNSW Australian School of Business Research Paper No. 2013ACTL18
Number of pages: 30 Posted: 24 Sep 2013
Ramona Meyricke and Michael Sherris
UNSW Australia Business School, School of Risk & Actuarial Studies and UNSW Business School
Downloads 294 (193,437)

Abstract:

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capital management, solvency, longevity risk, reinsurance, securitization

19.

Multi-State Actuarial Models of Functional Disability

UNSW Australian School of Business Research Paper No. 2013ACTL14
Number of pages: 33 Posted: 06 May 2013
Joelle H. Fong, Adam Wenqiang Shao and Michael Sherris
National University of Singapore, SCOR Global Life and UNSW Business School
Downloads 253 (225,139)
Citation 6

Abstract:

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morbidity, health transitions, long-term care insurance, generalized linear models

20.

Consistent Dynamic Affine Mortality Models for Longevity Risk Applications

UNSW Australian School of Business Research Paper No. 2011ACTL08
Number of pages: 20 Posted: 09 May 2011 Last Revised: 14 Feb 2012
Craig Blackburn and Michael Sherris
University of New South Wales (UNSW) - School of Actuarial Studies and UNSW Business School
Downloads 248 (229,698)
Citation 6

Abstract:

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mortality model, longevity risk, multi-factor, affine, arbitrage-free, consistent, Kalman Filter, Swedish Mortality

21.

Modelling Cause-of-Death Mortality and the Impact of Cause-Elimination

UNSW Australian School of Business Research Paper No. 2013ACTL08
Number of pages: 21 Posted: 15 Mar 2013 Last Revised: 28 Jan 2016
University of Kent, University of Lausanne - Faculty of Business and Economics and UNSW Business School
Downloads 242 (235,167)
Citation 4

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Cause-of-Death Mortality, Multinomial Logistic Regression, Cause-Elimination, Life Expectancy, Mortality Forecasts

22.

Forecasting Mortality Trends Allowing for Cause-of-Death Mortality Dependence

UNSW Australian School of Business Research Paper No. 2013ACTL02
Number of pages: 16 Posted: 17 Jan 2013 Last Revised: 31 Jan 2013
Severine Arnold (-Gaille) and Michael Sherris
University of Lausanne - Faculty of Business and Economics and UNSW Business School
Downloads 237 (240,075)
Citation 4

Abstract:

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Mortality forecasts, Causes of death, VECM, Dependence, Common trends

23.

Modeling Mortality with a Bayesian Vector Autoregression

UNSW Australian School of Business Research Paper No. 2011ACTL04
Number of pages: 39 Posted: 08 Mar 2011 Last Revised: 12 Apr 2011
Michael Sherris and Carolyn Njenga
UNSW Business School and University of New South Wales (UNSW) - School of Actuarial Studies
Downloads 237 (240,075)
Citation 3

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mortality, parameter risk, vector auto-regression, Bayesian, Heligman-Pollard model

24.

Pricing European Options on Deferred Annuities

UNSW Australian School of Business Research Paper No. AIPAR 2012/1
Number of pages: 39 Posted: 15 Feb 2012 Last Revised: 04 Feb 2013
Jonathan Ziveyi, Craig Blackburn and Michael Sherris
University of New South Wales; ARC Centre of Excellence in Population Ageing Research and School of Risk & Actuarial Studies, University of New South Wales (UNSW) - School of Actuarial Studies and UNSW Business School
Downloads 236 (241,039)
Citation 1

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Mortality risk, Deferred insurance products, European options, Laplace Transforms

25.

Managing Life Insurer Risk and Profitability: Annuity Market Development Using Natural Hedging Strategies

UNSW Australian School of Business Research Paper No. 2013ACTL04
Number of pages: 21 Posted: 24 Jan 2013
Andy Wong, Michael Sherris and Ralph Stevens
University of New South Wales (UNSW) - School of Actuarial Studies, UNSW Business School and CPB Netherlands Bureau of Economic Policy Analysis
Downloads 213 (265,530)
Citation 2

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Life insurance, annuity, risk based capital, profit loading, natural hedging

26.

To Borrow or Insure? Long Term Care Costs and the Impact of Housing

Insurance: Mathematics and Economics, 85:15-34, March 2019
Number of pages: 39 Posted: 22 Dec 2015 Last Revised: 11 May 2020
Adam Wenqiang Shao, Hua Chen and Michael Sherris
SCOR Global Life, University of Hawaii at Manoa and UNSW Business School
Downloads 212 (266,712)
Citation 2

Abstract:

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life-cycle model, longevity risk, long-term care insurance, residential house, reverse mortgage

27.

Rethinking Age-Period-Cohort Mortality Trend Models

UNSW Australian School of Business Research Paper No. 2011ACTL2009
Number of pages: 28 Posted: 13 May 2011 Last Revised: 02 Apr 2012
Daniel H. Alai and Michael Sherris
University of Kent and UNSW Business School
Downloads 206 (273,884)
Citation 2

Abstract:

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Mortality Modelling, Age-Period-Cohort Models, Generalized Linear Models, Lee-Carter Models

28.

Managing Systematic Mortality Risk with Group Self Pooling and Annuitisation Schemes

UNSW Australian School of Business Research Paper No. 2011ACTL06
Number of pages: 28 Posted: 23 Mar 2011 Last Revised: 12 Apr 2011
Michael Sherris and Chao Qiao
UNSW Business School and PricewaterhouseCoopers
Downloads 205 (275,137)
Citation 2

Abstract:

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group self-annuitisation, pooled annuity, longevity risk, extreme value distribution, Gompertz-Makeham mortality

29.

Modeling Long-Run Cause of Death Mortality Trends

UNSW Australian School of Business Research Paper No. 2010ACTL14
Number of pages: 24 Posted: 08 Nov 2010 Last Revised: 12 Apr 2011
Michael Sherris and Severine Arnold (-Gaille)
UNSW Business School and University of Lausanne - Faculty of Business and Economics
Downloads 186 (300,270)

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VECM, causes of death, mortality trends

30.

Immunization and Hedging of Longevity Risk

UNSW Business School Research Paper No. 2015ACTL12
Number of pages: 39 Posted: 23 Apr 2015
Changyu Liu and Michael Sherris
School of Risk & Actuarial Studies and UNSW Business School
Downloads 183 (304,558)
Citation 2

Abstract:

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immunization, hedging, delta, gamma, longevity bond

31.

Product Pricing and Solvency Capital Requirements for Long-Term Care Insurance

UNSW Business School Research Paper No. 2015ACTL03
Number of pages: 49 Posted: 06 Mar 2015
Adam Wenqiang Shao, Michael Sherris and Joelle H. Fong
SCOR Global Life, UNSW Business School and National University of Singapore
Downloads 183 (304,558)
Citation 9

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Long-term care insurance; Solvency II; solvency capital requirements

32.

Individual Post-Retirement Longevity Risk Management Under Systematic Mortality Risk

UNSW Australian School of Business Research Paper No. 2011ACTL10
Number of pages: 42 Posted: 17 Aug 2011
Katja Hanewald, John Piggott and Michael Sherris
UNSW Sydney - School of Risk & Actuarial Studies and ARC Centre of Excellence in Population Ageing Research (CEPAR), University of New South Wales (UNSW) - Australian School of Business, School of Economics and UNSW Business School
Downloads 179 (310,690)
Citation 4

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longevity risk, optimal insurance, life annuity, market frictions, group self-annuitization (GSA)

33.

Life Insurer Longevity Risk Management, Solvency and Shareholder Value

UNSW Australian School of Business Research Paper No. 2013ACTL20
Number of pages: 34 Posted: 26 Nov 2013 Last Revised: 02 Dec 2013
University of New South Wales (UNSW) - School of Actuarial Studies, UNSW Sydney - School of Risk & Actuarial Studies and ARC Centre of Excellence in Population Ageing Research (CEPAR), University of Parma - Dipartimento di Scienze Economiche e Aziendali and UNSW Business School
Downloads 177 (313,726)
Citation 1

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longevity risk, capital management, solvency, reinsurance, securitization

34.

Spatial Variability in Mortality and Socioeconomic Factors for Australian Mortality

UNSW Australian School of Business Research Paper No. 2010 ACTL 05
Number of pages: 35 Posted: 25 Apr 2010 Last Revised: 12 Apr 2011
Michael Sherris and Andy Tang
UNSW Business School and affiliation not provided to SSRN
Downloads 175 (316,977)
Citation 3

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Mortality, Logistic regression, Geodemographic, Spatial, Hierarchical Bayes

35.

Age Patterns and Trends in Mortality by Cause of Death and Implications for Modeling Longevity Risk

UNSW Australian School of Business Research Paper No. 2010ACTL12
Number of pages: 22 Posted: 20 Oct 2010 Last Revised: 12 Apr 2011
Severine Arnold (-Gaille) and Michael Sherris
University of Lausanne - Faculty of Business and Economics and UNSW Business School
Downloads 174 (318,555)
Citation 6

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mortality trends, causes of death, circulatory system, cancer, respiratory system, accidents, infectious diseases

36.

Equity Release Products Allowing for Individual House Price Risk

11th Emerging Researchers in Ageing Conference, 2012
Number of pages: 6 Posted: 06 Jan 2013
Adam Wenqiang Shao, Michael Sherris and Katja Hanewald
SCOR Global Life, UNSW Business School and UNSW Sydney - School of Risk & Actuarial Studies and ARC Centre of Excellence in Population Ageing Research (CEPAR)
Downloads 165 (333,497)

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equity release products, individual house price risk, no negative equity guarantee

Systematic Mortality Risk: An Analysis of Guaranteed Lifetime Withdrawal Benefits in Variable Annuities

UNSW Australian School of Business Research Paper No. 2013ACTL15
Number of pages: 28 Posted: 15 Jun 2013 Last Revised: 30 Sep 2015
Commonwealth Bank of Australia, University of New South Wales (UNSW)University of New South Wales - Australian School of Business and UNSW Business School
Downloads 131 (403,095)
Citation 1

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variable annuity, guaranteed lifetime withdrawal benefits (GLWB), systematic mortality risk, parameter risk, model risk, static hedging

Systematic Mortality Risk: An Analysis of Guaranteed Lifetime Withdrawal Benefits in Variable Annuities

Number of pages: 28 Posted: 15 Jun 2013 Last Revised: 17 Oct 2016
Commonwealth Bank of Australia, University of New South Wales (UNSW)University of New South Wales - Australian School of Business and UNSW Business School
Downloads 29 (896,754)
Citation 8

Abstract:

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variable annuity, guaranteed lifetime withdrawal benefits (GLWB), systematic mortality risk, parameter risk, model risk, static hedging

38.

Lifetime Dependence Modelling Using a Truncated Multivariate Gamma Distribution

UNSW Australian School of Business Research Paper No. AIPAR 2012/3
Number of pages: 24 Posted: 02 Apr 2012 Last Revised: 26 Mar 2013
Daniel H. Alai, Zinoviy Landsman and Michael Sherris
University of Kent, University of Haifa, Department of Statistics and UNSW Business School
Downloads 148 (365,146)

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Systematic Longevity Risk, Dependence, Multivariate Gamma, Lifetime Distribution, Annuity Valuation

39.

Public Sector Pension Funds in Australia: Longevity Selection and Liabilities

UNSW Australian School of Business Research Paper No. 2012 AIPAR 06
Number of pages: 44 Posted: 07 Jun 2012
Joelle H. Fong, John Piggott and Michael Sherris
National University of Singapore, University of New South Wales (UNSW) - Australian School of Business, School of Economics and UNSW Business School
Downloads 141 (379,510)

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pensions, defined benefits, public sector, pensions, mortality, longevity risk

40.

Solvency Capital, Pricing and Capitalization Strategies of Life Annuity Providers

UNSW Australian School of Business Research Paper No. 2012 AIPAR 05
Number of pages: 24 Posted: 29 May 2012
Maathumai Nirmalendran, Michael Sherris and Katja Hanewald
affiliation not provided to SSRN, UNSW Business School and UNSW Sydney - School of Risk & Actuarial Studies and ARC Centre of Excellence in Population Ageing Research (CEPAR)
Downloads 141 (379,510)
Citation 2

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life annuity, insurance regulation, solvency, longevity risk

41.

The Valuation and Assessment of Retirement Income Products: a Unified Markov Chain Monte Carlo Framework

UNSW Business School Research Paper Forthcoming
Number of pages: 51 Posted: 25 Oct 2023
Yang Shen, Michael Sherris, Yawei Wang and Jonathan Ziveyi
University of New South Wales (UNSW), UNSW Business School, UNSW Business School and University of New South Wales; ARC Centre of Excellence in Population Ageing Research and School of Risk & Actuarial Studies
Downloads 140 (381,637)

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Retirement income products; Hamiltonian Monte Carlo (HMC); Account-based pension; Variable annuities (VAs); Group self-annuities (GSAs).

42.

Portfolio Management for Insurers and Pension Funds and COVID-19: Targeting Volatility for Equity, Balanced and Target-Date Funds with Leverage Constraints

Number of pages: 38 Posted: 27 Jan 2021
Bao Huy Doan, Jonathan J. Reeves and Michael Sherris
University of New South Wales, UNSW Business School, University of New South Wales and UNSW Business School
Downloads 137 (388,060)

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COVID-19 pandemic, Equity investment, Portfolio management, Target-date funds, Volatility management

International Cause-Specific Mortality Rates: New Insights from a Cointegration Analysis

ASTIN Bulletin, Forthcoming
Number of pages: 42 Posted: 28 Jan 2016
Severine Arnold (-Gaille) and Michael Sherris
University of Lausanne - Faculty of Business and Economics and UNSW Business School
Downloads 68 (626,666)

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Causes of death, mortality trends, cointegration, dependence, common trends, biological aging

International Cause-Specific Mortality Rates: New Insights from a Cointegration Analysis

UNSW Business School Research Paper No. 2015ACTL08
Number of pages: 34 Posted: 01 Mar 2015 Last Revised: 26 Mar 2015
Severine Arnold (-Gaille) and Michael Sherris
University of Lausanne - Faculty of Business and Economics and UNSW Business School
Downloads 64 (647,671)
Citation 2

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Causes of death, mortality trends, cointegration, dependence, common trends, biological aging

44.

Longevity Risks and Capital Markets: The 2010-2011 Update

Pension Institute Discussion Paper No. PI-1113
Number of pages: 14 Posted: 01 Dec 2011 Last Revised: 24 Jun 2020
City, University of London, Haute Ecole de Gestion de Genève - University of Applied Sciences Western Switzerland (HES-SO), National Chengchi University and UNSW Business School
Downloads 129 (406,862)
Citation 1

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45.

Taxation and Policyholder Behavior: The Case of Guaranteed Minimum Accumulation Benefits

CEPAR Working Paper 2020/17
Number of pages: 31 Posted: 10 Jul 2020 Last Revised: 07 Dec 2023
Université Libre de Bruxelles (ULB) - Department of Mathematics, UNSW Business School, KPMG and University of New South Wales; ARC Centre of Excellence in Population Ageing Research and School of Risk & Actuarial Studies
Downloads 123 (421,550)
Citation 2

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taxation, retirement income, policyholder behavior, pricing, method of lines, surrender, variable annuity

46.

A Group Regularisation Approach for Constructing Generalised Age-Period-Cohort Mortality Projection Models

UNSW Business School Research Paper Forthcoming
Number of pages: 33 Posted: 25 Feb 2021
UNSW Australia Business School, School of Risk & Actuarial Studies, UNSW Business School, University of New South Wales (UNSW) - ARC Centre of Excellence in Population Ageing Research (CEPAR) and University of New South Wales; ARC Centre of Excellence in Population Ageing Research and School of Risk & Actuarial Studies
Downloads 122 (424,183)

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Mortality projection, regularisation, cross validation, age-period-cohort model

47.

Disaggregated House Price Indices

UNSW Australian School of Business Research Paper No. 2013ACTL09
Number of pages: 45 Posted: 23 Mar 2013
Adam Wenqiang Shao, Michael Sherris and Katja Hanewald
SCOR Global Life, UNSW Business School and UNSW Sydney - School of Risk & Actuarial Studies and ARC Centre of Excellence in Population Ageing Research (CEPAR)
Downloads 121 (426,808)
Citation 3

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disaggregated house price index, hedonic models, repeat-sales models, hybrid models

48.

Market Price of Longevity Risk for a Multi-Cohort Mortality Model with Application to Longevity Bond Option Pricing

UNSW Business School Research Paper
Number of pages: 38 Posted: 12 Feb 2018
Michael Sherris, Yajing Xu and Jonathan Ziveyi
UNSW Business School, UNSW Australia Business School, School of Risk & Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads 119 (432,212)
Citation 7

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Multi-cohort mortality model, Market price of longevity risk, Longevity indexes

49.

Estimation, Comparison and Projection of Multi-factor Age-Cohort Affine Mortality Models

UNSW Business School Research Paper Forthcoming
Number of pages: 54 Posted: 31 Aug 2021 Last Revised: 03 Apr 2023
University of New South Wales, School of Mathematical and Physical Sciences, University of Technology Sydney (UTS), UNSW Business School and University of New South Wales (UNSW) - ARC Centre of Excellence in Population Ageing Research (CEPAR) and School of Risk and Actuarial Studies
Downloads 118 (434,967)

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Longevity Risk, Kalman Filter, State-space models, Affine mortality models

50.

Improving Longevity and Mortality Risk Models with Common Stochastic Long-Run Trends

UNSW Australian School of Business Research Paper No. 2010ACTL13
Number of pages: 37 Posted: 03 Nov 2010 Last Revised: 12 Apr 2011
Michael Sherris and Severine Arnold (-Gaille)
UNSW Business School and University of Lausanne - Faculty of Business and Economics
Downloads 117 (437,816)
Citation 2

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Mortality Trends, Heligman-Pollard Model, Lee-Carter Model, VAR, VECM

51.

The Impact of Systematic Trend and Uncertainty on Mortality and Disability in a Multi-State Latent Factor Model for Transition Rates

UNSW Business School Research Paper No. 2016ACTL04
Number of pages: 33 Posted: 13 Feb 2016
Zixi Li, Adam Wenqiang Shao and Michael Sherris
UNSW Australia Business School, School of Risk & Actuarial Studies, SCOR Global Life and UNSW Business School
Downloads 111 (455,314)
Citation 11

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long term care, systematic trend and uncertainty, disability, multi-state transitions, latent factor

52.

Managing Systematic Mortality Risk in Life Annuities: An Application of Longevity Derivatives

UNSW Business School Research Paper No. 20015ACTL04
Number of pages: 29 Posted: 12 Mar 2015
Commonwealth Bank of Australia, University of New South Wales (UNSW)University of New South Wales - Australian School of Business and UNSW Business School
Downloads 110 (458,354)
Citation 1

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longevity risk management; longevity swaps; longevity options; hedge effectiveness

53.

Living with Ambiguity: Pricing Mortality-Linked Securities with Smooth Ambiguity Preferences

Journal of Risk and Insurance, Forthcoming
Number of pages: 40 Posted: 18 Feb 2012 Last Revised: 01 Apr 2014
Hua Chen, Michael Sherris, Tao Sun and Wenge Zhu
University of Hawaii at Manoa, UNSW Business School, Independent and Shanghai University of Finance and Economics
Downloads 110 (458,354)
Citation 2

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ambiguity, ambiguity aversion, mortality-linked securities

54.

Lifetime Asset Allocation with Idiosyncratic and Systematic Mortality Risks

UNSW Australian School of Business Research Paper No. 2014ACTL04
Number of pages: 27 Posted: 23 Apr 2014 Last Revised: 30 Apr 2014
Yang Shen and Michael Sherris
University of New South Wales (UNSW) - Australian School of Business and UNSW Business School
Downloads 109 (461,357)
Citation 2

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Investment-consumption, life insurance, stochastic mortality, longevity risk

Model Risk, Mortality Heterogeneity and Implications for Solvency and Tail Risk

UNSW Australian School of Business Research Paper No. 2013ACTL13
Number of pages: 32 Posted: 02 May 2013
Michael Sherris and Qiming Zhou
UNSW Business School and University of New South Wales (UNSW) - ARC Centre of Excellence in Population Ageing Research (CEPAR)
Downloads 109 (463,972)
Citation 1

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mortality heterogeneity, Markov ageing model, life annuities, insurer solvency, tail risk

Model Risk, Mortality Heterogeneity, and Implications for Solvency and Tail Risk

Published in Maurer, R., O. Mitchell, and P. Hammond (Eds.) (2014). Recreating Sustainable Retirement: Resilience, Solvency, and Tail Risk. Oxford, UK: Oxford University Press., Pension Research Council Working Paper, PRC WP2013-21
Posted: 08 Oct 2013 Last Revised: 03 Apr 2020
Michael Sherris and Qiming Zhou
UNSW Business School and University of New South Wales (UNSW) - ARC Centre of Excellence in Population Ageing Research (CEPAR)

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56.

Heterogeneity of Australian Population Mortality and Implications for a Viable Life Annuity Market

UNSW Australian School of Business Research Paper No. 2011ACTL05
Number of pages: 22 Posted: 09 Mar 2011 Last Revised: 11 Jan 2018
Michael Sherris and Shu Su
UNSW Business School and University of New South Wales - School of Actuarial Studies
Downloads 107 (467,540)
Citation 1

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longevity risk, mortality heterogeneity, frailty model, Markov ageing model, physiological age, annuity pricing

57.

Longevity Risk, Cost of Capital and Hedging for Life Insurers Under Solvency II

UNSW Australian School of Business Research Paper No. 2013ACTL18
Number of pages: 30 Posted: 28 Sep 2013
Ramona Meyricke and Michael Sherris
UNSW Australia Business School, School of Risk & Actuarial Studies and UNSW Business School
Downloads 104 (477,280)
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capital management, solvency, longevity risk, reinsurance, securitization

58.

Multivariate Tweedie Lifetimes: The Impact of Dependence

UNSW Australian School of Business Research Paper No. 2013ACTL12
Number of pages: 25 Posted: 09 Apr 2013 Last Revised: 07 May 2013
Daniel H. Alai, Zinoviy Landsman and Michael Sherris
University of Kent, University of Haifa, Department of Statistics and UNSW Business School
Downloads 104 (477,280)

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systematic longevity risk, dependence, multivariate Tweedie, lifetime distribution

59.

Mortality Heterogeneity and Systematic Mortality Improvement

UNSW Business School Research Paper No. 2015ACTL23
Number of pages: 35 Posted: 10 Dec 2015
Mengyi Xu, Michael Sherris and Ramona Meyricke
Purdue University, UNSW Business School and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads 103 (480,474)
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mortality improvement, mortality heterogeneity, longitudinal data, stochastic mortality models, marginal models

60.

Financial Engineering: A Flexible Longevity Bond to Manage Individual Longevity Risk

Number of pages: 35 Posted: 14 May 2020
Yuxin Zhou, Michael Sherris, Jonathan Ziveyi and Mengyi Xu
University of New South Wales (UNSW) - ARC Centre of Excellence in Population Ageing Research (CEPAR) and School of Risk and Actuarial Studies, UNSW Business School, University of New South Wales; ARC Centre of Excellence in Population Ageing Research and School of Risk & Actuarial Studies and Purdue University
Downloads 101 (486,881)

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Longevity Risk, Stochastic Mortality, Longevity Bond, Immunization, Natural Hedging

61.

Data Analytics in Actuarial Education and Research

7th Australasian Actuarial Education and Research Symposium
Number of pages: 18 Posted: 10 Dec 2015
Michael Sherris
UNSW Business School
Downloads 97 (500,167)

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62.

A Value Based Cohort Index for Longevity Risk Management

UNSW Business School Research Paper No. 2015ACTL02
Number of pages: 22 Posted: 26 Feb 2015
Yang Chang and Michael Sherris
School of Risk and Actuarial Studies, ARC Center of Excellence in Population Ageing Research (CEPAR) and UNSW Business School
Downloads 97 (500,167)
Citation 6

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Cohort mortality, Value index, Mortality risk, Interest rate risk, Hedge efficiency

63.

Affine Mortality Models with Jumps: Parameter Estimation and Forecasting

UNSW Business School Research Paper Forthcoming
Number of pages: 56 Posted: 30 Sep 2022
School of Mathematical and Physical Sciences, University of Technology Sydney (UTS), ARC Centre of Excellence in Population Ageing Research (CEPAR), University of New South Wales, UNSW Business School and University of New South Wales
Downloads 94 (510,453)

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Affine mortality models, affine jump-diffusion, age-cohort mortality rates, particle filter, particle Markov chain Monte Carlo

64.

Valuation of Guaranteed Minimum Maturity Benefits in Variable Annuities with Surrender Options

Number of pages: 27 Posted: 25 Nov 2015
Yang Shen, Michael Sherris and Jonathan Ziveyi
University of New South Wales (UNSW) - Australian School of Business, UNSW Business School and University of New South Wales; ARC Centre of Excellence in Population Ageing Research and School of Risk & Actuarial Studies
Downloads 92 (517,450)
Citation 2

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Guaranteed minimum maturity benefits, Surrender options, Numerical integration

65.

The Application of Affine Processes in Multi-Cohort Mortality Model

UNSW Business School Research Paper No. 2015ACTL13
Number of pages: 36 Posted: 07 May 2015
Yajing Xu, Michael Sherris and Jonathan Ziveyi
UNSW Australia Business School, School of Risk & Actuarial Studies, UNSW Business School and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads 92 (517,450)
Citation 5

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Multi-cohort mortality model, Affne framework, Common factors, Cohort specific factors, Mortality projections

66.

The Determinants of Mortality Heterogeneity and Implications for Pricing Underwritten Annuities

UNSW Australian School of Business Research Paper No. 2013ACTL05
Number of pages: 36 Posted: 28 Feb 2013
Ramona Meyricke and Michael Sherris
UNSW Australia Business School, School of Risk & Actuarial Studies and UNSW Business School
Downloads 91 (520,995)
Citation 5

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mortality heterogeneity, frailty modeling, annuity pricing, longitudinal data, generalized linear mixed models

67.

On Sustainable Aged Care Financing in Australia

Australian Economic Review, Volume 54, Issue2, June 2021, 275-284, UNSW Business School Research Paper Forthcoming
Number of pages: 10 Posted: 02 Jul 2021
Michael Sherris
UNSW Business School
Downloads 90 (524,681)

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aged care, aged care levy, care co-payments, government tax-based financing

68.

A Managed Volatility Investment Strategy for Pooled Annuity Products

UNSW Business School Research Paper Forthcoming
Number of pages: 28 Posted: 27 Sep 2019
University of New South Wales (UNSW), University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies, UNSW Business School and University of New South Wales (UNSW)
Downloads 81 (559,558)
Citation 2

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pooled annuity, equity investment, managed volatility, longevity risk

69.

The Application of Affine Processes in Cohort Mortality Risk Models

UNSW Business School Research Paper Forthcoming
Number of pages: 28 Posted: 07 Sep 2019
University of New South Wales (UNSW) - ARC Centre of Excellence in Population Ageing Research (CEPAR), UNSW Business School, University of New South Wales (UNSW) and University of New South Wales; ARC Centre of Excellence in Population Ageing Research and School of Risk & Actuarial Studies
Downloads 76 (580,632)
Citation 1

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mortality models, continuous time, cohort curve, affine rates, Kalman filter

70.

Functional Disability with Systematic Trends and Uncertainty: A Comparison between China and the U.S.

UNSW Business School Research Paper Forthcoming
Number of pages: 66 Posted: 19 Mar 2021 Last Revised: 29 Oct 2021
Yu Fu, Michael Sherris and Mengyi Xu
Central University of Finance and Economics, UNSW Business School and Purdue University
Downloads 75 (585,026)

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functional disability, life expectancy, systematic trend and uncertainty, multi-state latent factor intensity model

71.

A Multi-State Model of Functional Disability and Health Status in the Presence of Systematic Trend and Uncertainty

Number of pages: 41 Posted: 07 Sep 2019
Michael Sherris and Pengyu Wei
UNSW Business School and Nanyang Technological University (NTU)
Downloads 75 (585,026)
Citation 8

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72.

AffineMortality: An R Package for Estimation, Analysis and Projection of Affine Mortality Models

UNSW Business School Research Paper Forthcoming
Number of pages: 30 Posted: 31 Aug 2021 Last Revised: 03 Apr 2023
University of New South Wales, School of Mathematical and Physical Sciences, University of Technology Sydney (UTS), UNSW Business School and University of New South Wales (UNSW) - ARC Centre of Excellence in Population Ageing Research (CEPAR) and School of Risk and Actuarial Studies
Downloads 74 (589,378)
Citation 1

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Longevity Risk, Kalman Filter, State-space models

73.

Insuring Longevity Risk and Long-Term Care: Bequest, Housing and Liquidity

Number of pages: 57 Posted: 14 Mar 2022
Purdue University, Université Libre de Bruxelles (ULB) - Department of Mathematics, UNSW Business School and affiliation not provided to SSRN
Downloads 65 (631,615)

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Recursive utility, Housing, Life annuities, Long-term care insurance, Lifecycle model

74.

A Multivariate Tweedie Lifetime Model: Censoring and Truncation

UNSW Business School Research Paper No. 2015ACTL01
Number of pages: 27 Posted: 17 Jan 2015
Daniel H. Alai, Zinoviy Landsman and Michael Sherris
University of Kent, University of Haifa, Department of Statistics and UNSW Business School
Downloads 59 (662,931)

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systematic longevity risk, dependence, multivariate Tweedie, lifetime distribution, censoring, truncation

Pooling Functional Disability and Mortality in Long-Term Care Insurance and Care Annuities: A Matrix Approach for Multi-State Pools

Number of pages: 36 Posted: 19 Jun 2023
University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies, UNSW Business School, University of New South Wales (UNSW) - ARC Centre of Excellence in Population Ageing Research (CEPAR) and University of New South Wales; ARC Centre of Excellence in Population Ageing Research and School of Risk & Actuarial Studies
Downloads 42 (787,783)

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long-term care insurance, pooled annuity, multi-state models, functional disability, health status

Pooling Functional Disability and Mortality in Long-Term Care Insurance and Care Annuities: A Matrix Approach for Multi-State Pools

Number of pages: 36 Posted: 28 Jun 2023
University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies, UNSW Business School, University of New South Wales (UNSW) - ARC Centre of Excellence in Population Ageing Research (CEPAR) and University of New South Wales; ARC Centre of Excellence in Population Ageing Research and School of Risk & Actuarial Studies
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long-term care insurance, pooled annuity, multi-state models, functional disability, health status

76.

One Size Fits All? Drawdown Structures in Australia and the Netherlands

The Journal of the Economics of Ageing. Available online 25 July 2018. DOI: 10.1016/j.jeoa.2018.07.002
Number of pages: 36 Posted: 25 Aug 2017 Last Revised: 30 Nov 2021
Jennifer Alonso-García and Michael Sherris
Université Libre de Bruxelles (ULB) - Department of Mathematics and UNSW Business School
Downloads 57 (673,902)

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Utility, CEC, Income, Retirement Income, Means-test

77.

A Multivariate Forward-Rate Mortality Framework

UNSW Business School Research Paper No. 2014ACTL08
Number of pages: 24 Posted: 18 Dec 2014 Last Revised: 02 Jan 2015
University of Kent, University of New South Wales (UNSW)University of New South Wales - Australian School of Business and UNSW Business School
Downloads 57 (673,902)
Citation 1

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longevity risk, Olivier-Smith model, forward-rate mortality framework, minimum covariance pattern, copulas

78.

The Application of Affine Processes in Multi-Cohort Mortality Model

7th Australasian Actuarial Education and Research Symposium
Number of pages: 22 Posted: 03 Dec 2015
Yajing Xu, Michael Sherris and Jonathan Ziveyi
UNSW Australia Business School, School of Risk & Actuarial Studies, UNSW Business School and University of New South Wales; ARC Centre of Excellence in Population Ageing Research and School of Risk & Actuarial Studies
Downloads 40 (782,993)

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79.

Age-Dependent Multi-Cohort Affine Mortality Model with Cohort Correlation

UNSW Business School Research Paper Forthcoming
Number of pages: 31 Posted: 25 May 2023
University of New South Wales (UNSW) - ARC Centre of Excellence in Population Ageing Research (CEPAR) and School of Risk and Actuarial Studies, School of Mathematical and Physical Sciences, University of Technology Sydney (UTS), University of New South Wales (UNSW), UNSW Business School and University of New South Wales; ARC Centre of Excellence in Population Ageing Research and School of Risk & Actuarial Studies
Downloads 37 (805,321)

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Mortality model, Age-dependent, Multi-cohort, Cohort correlation, Incomplete cohort, Affine, Regularisation

80.

Scenario Selection with Lasso Regression for the Valuation of Variable Annuity Portfolios

UNSW Business School Research Paper Forthcoming
Number of pages: 36 Posted: 15 Jul 2023
University of New South Wales (UNSW), UNSW Business School, University of New South Wales (UNSW) - ARC Centre of Excellence in Population Ageing Research (CEPAR) and University of New South Wales; ARC Centre of Excellence in Population Ageing Research and School of Risk & Actuarial Studies
Downloads 24 (916,812)

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variable annuity, LASSO, linear model, neural network, metamodeling

Estimating Transition Probabilities Using Repeated Cross-sectional Data

UNSW Business School Research Paper Forthcoming
Number of pages: 28 Posted: 24 Apr 2024
UNSW Business School, University of New South Wales (UNSW), UNSW Business School, The University of Melbourne - Melbourne School of Population and Global Health and University of New South Wales; ARC Centre of Excellence in Population Ageing Research and School of Risk & Actuarial Studies
Downloads 12 (1,075,711)

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Disability, cross-sectional data, transition probabilities, prevalence rates, multiple-state model, long-term care, and longevity.

Estimating Transition Probabilities Using Repeated Cross-Sectional Data

IME-D-24-00121
Number of pages: 28 Posted: 02 May 2024
UNSW Business School, University of New South Wales (UNSW), UNSW Business School, The University of Melbourne - Melbourne School of Population and Global Health and University of New South Wales; ARC Centre of Excellence in Population Ageing Research and School of Risk & Actuarial Studies
Downloads 6 (1,136,719)

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Disability, cross-sectional data, transition probabilities, prevalence rates, multiple-state model, long-term care, and longevity.

82.

Modelling Mortality with Common Stochastic Long-Run Trends

The Geneva Papers on Risk and Insurance - Issues and Practice, No, 36(4), 595- 621, 2011
Posted: 10 Jul 2015
Severine Arnold (-Gaille) and Michael Sherris
University of Lausanne - Faculty of Business and Economics and UNSW Business School

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mortality trends, Heligman-Pollard model, Lee-Carter model, VECM; causes of death, mortality forecasts

83.

Causes-of-Death Mortality: What Do We Know on Their Dependence?

North American Actuarial Journal, 2015, No 19(2), 116-128
Posted: 02 Mar 2015 Last Revised: 10 Jul 2015
Severine Arnold (-Gaille) and Michael Sherris
University of Lausanne - Faculty of Business and Economics and UNSW Business School

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Causes of death, mortality trends, cointegration, dependence, common trends

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Contingent Claim Pricing, Probability Distortion Functions, Non-expected Utility, Insurance Pricing, Black And Sholes

85.

Dynamic Portfolio Allocation, the Dual Theory of Choice and Probability Distortion Functions

Posted: 03 Feb 2011
Mahmoud Hamada, Michael Sherris and John Van der Hoek
RWE Supply and Trading, UNSW Business School and University of Adelaide - Faculty of Engineering, Computer and Mathematical Sciences

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Portfolio allocation, dual theory, probability distortion, equilibrium pricing