Michael Sherris

University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies

Professor of Actuarial Studies and Chief Investigator CEPAR

Australian School of Business

Quadrangle Building

Sydney, NSW 2052

Australia

http://www.asb.unsw.edu.au/schools/Pages/MichaelSherris.aspx

UNSW Australia Business School

Professor of Actuarial Studies

Sydney, NSW 2052

Australia

SCHOLARLY PAPERS

73

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34

Scholarly Papers (73)

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
University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and Independent
Downloads 792 (29,404)
Citation 10

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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
University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and Macquarie University
Downloads 696 (35,050)
Citation 1

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

3.
Downloads 576 ( 45,127)
Citation 2

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, University of New South Wales (UNSW) - Australian School of Business, School of Economics, University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and University of New South Wales (UNSW)
Downloads 510 (52,064)
Citation 2

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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: 04 Jul 2010
Olivia S. Mitchell, John Piggott, Michael Sherris and Shaun Yow
University of Pennsylvania - The Wharton School, University of New South Wales (UNSW) - Australian School of Business, School of Economics, University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and University of New South Wales (UNSW)
Downloads 66 (336,551)
Citation 2

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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
University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and PricewaterhouseCoopers Australia
Downloads 528 (50,439)
Citation 2

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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
University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and affiliation not provided to SSRN
Downloads 449 (61,803)

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Economic scenarios, regime switching, multivariate models

6.

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
University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and University of New South Wales (UNSW) - School of Actuarial Studies
Downloads 412 (68,549)
Citation 3

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longevity risk, unit roots, VAR, VECM

7.

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
University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and University of Bath - School of Management
Downloads 394 (72,294)

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

8.

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, Temple University - Risk Management & Insurance & Actuarial Science, University of New South Wales (UNSW) - ARC Centre of Excellence in Population Ageing Research (CEPAR), University of New South Wales - 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 and Actuarial Studies
Downloads 382 (74,967)

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

9.

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
University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and Independent
Downloads 373 (77,014)

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longevity, mortality, pricing, risk management

10.

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
University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and University of New South Wales (UNSW) - School of Actuarial Studies
Downloads 372 (77,279)
Citation 2

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

11.

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
University of New South Wales - 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 and Actuarial Studies
Downloads 343 (84,962)

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house price risk, statistical models, 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), University of New South Wales - 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 and Actuarial Studies
Downloads 332 (88,116)

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

13.

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 University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 319 (92,126)

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

14.

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 University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 256 (116,532)

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capital management, solvency, longevity risk, reinsurance, securitization

15.

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
University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and UNSW Business School
Downloads 243 (122,920)

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

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
University of New South Wales - ARC Centre of Excellence in Population Ageing Research (CEPAR), Maastricht University - School of Business and Economics - Department of Finance and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 92 (275,944)

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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?

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
University of New South Wales - ARC Centre of Excellence in Population Ageing Research (CEPAR), Maastricht University - School of Business and Economics - Department of Finance and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 89 (281,923)

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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
University of New South Wales - ARC Centre of Excellence in Population Ageing Research (CEPAR), Maastricht University - School of Business and Economics - Department of Finance and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 46 (400,402)

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

17.

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
University of New South Wales - ARC Centre of Excellence in Population Ageing Research (CEPAR), University of New South Wales - 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 and Actuarial Studies
Downloads 226 (132,137)

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

18.

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
UNSW Australia, University of New South Wales (UNSW) - School of Actuarial Studies and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 200 (148,382)

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

19.

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 University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 190 (155,649)

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

20.

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 University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 186 (158,677)

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

21.

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
University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and University of New South Wales (UNSW) - School of Actuarial Studies
Downloads 184 (160,198)

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

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 University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 179 (164,209)

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

23.

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 University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 171 (171,032)
Citation 1

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

24.

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, University of New South Wales - 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 and Actuarial Studies
Downloads 170 (171,920)

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

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, University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and CPB Netherlands Bureau of Economic Policy Analysis
Downloads 160 (181,063)

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

26.

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 University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 151 (190,177)

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

27.

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 University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 143 (198,783)
Citation 1

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immunization, hedging, delta, gamma, longevity bond

28.

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, University of New South Wales - ARC Centre of Excellence in Population Ageing Research (CEPAR), University of Parma - Dipartimento di Economia and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 141 (200,965)

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longevity risk, capital management, solvency, reinsurance, securitization

29.

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
University of New South Wales - ARC Centre of Excellence in Population Ageing Research (CEPAR), University of New South Wales (UNSW) - Australian School of Business, School of Economics and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 135 (208,164)

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

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
University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and University of New South Wales (UNSW) - ARC Centre of Excellence in Population Ageing Research (CEPAR)
Downloads 87 (286,009)

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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

Pension Research Council Working Paper, PRC WP2013-21
Number of pages: 42 Posted: 08 Oct 2013
Michael Sherris and Qiming Zhou
University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and University of New South Wales (UNSW) - ARC Centre of Excellence in Population Ageing Research (CEPAR)
Downloads 42 (415,648)

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31.

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)
University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and University of Lausanne - Faculty of Business and Economics
Downloads 128 (217,139)

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VECM, causes of death, mortality trends

32.

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
University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and affiliation not provided to SSRN
Downloads 127 (218,437)
Citation 1

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Mortality, Logistic regression, Geodemographic, Spatial, Hierarchical Bayes

33.

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

Number of pages: 39 Posted: 22 Dec 2015 Last Revised: 13 Feb 2018
Adam Wenqiang Shao, Hua Chen and Michael Sherris
University of New South Wales - ARC Centre of Excellence in Population Ageing Research (CEPAR), Temple University - Risk Management & Insurance & Actuarial Science and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 126 (219,740)

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

34.

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
University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and PricewaterhouseCoopers
Downloads 120 (227,966)

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

35.

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
University of New South Wales - ARC Centre of Excellence in Population Ageing Research (CEPAR), University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and National University of Singapore
Downloads 117 (232,300)

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

36.

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 University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 113 (238,275)

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

37.

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
University of New South Wales - ARC Centre of Excellence in Population Ageing Research (CEPAR), University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and University of New South Wales - ARC Centre of Excellence in Population Ageing Research (CEPAR)
Downloads 108 (246,014)

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

38.

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, University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and University of New South Wales - ARC Centre of Excellence in Population Ageing Research (CEPAR)
Downloads 108 (246,014)

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life annuity, insurance regulation, solvency, longevity risk

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
Simon Man Chung Fung, Katja Ignatieva and Michael Sherris
Commonwealth Bank of Australia, University of New South Wales - Australian School of Business and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 101 (259,401)
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
Simon Man Chung Fung, Katja Ignatieva and Michael Sherris
Commonwealth Bank of Australia, University of New South Wales - Australian School of Business and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 5 (625,048)
Citation 1

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

40.

Longevity Risks and Capital Markets: The 2010-2011 Update

Pension Institute Discussion Paper No. PI-1113
Number of pages: 14 Posted: 01 Dec 2011
City University London - Cass Business School, Haute Ecole de Gestion de Genève - University of Applied Sciences Western Switzerland (HES-SO), National Chengchi University and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 97 (264,662)
Citation 2

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41.

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 University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 90 (277,640)

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

42.

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 University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 85 (287,787)

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

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
Temple University - Risk Management & Insurance & Actuarial Science, University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies, Independent and Shanghai University of Finance and Economics
Downloads 84 (292,524)

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ambiguity, ambiguity aversion, mortality-linked securities

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

Journal of Risk and Insurance, Vol. 80, Issue 3, pp. 705-732, 2013
Number of pages: 28 Posted: 30 Aug 2013
Hua Chen, Michael Sherris, Tao Sun and Wenge Zhu
Temple University - Risk Management & Insurance & Actuarial Science, University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies, Independent and Shanghai University of Finance and Economics
Downloads 1 (665,168)
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44.

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)
University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and University of Lausanne - Faculty of Business and Economics
Downloads 84 (289,908)
Citation 1

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

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 University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 48 (393,147)

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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

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 University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 34 (449,473)

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

46.

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
University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and University of New South Wales - School of Actuarial Studies
Downloads 78 (302,943)

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

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
University of New South Wales - ARC Centre of Excellence in Population Ageing Research (CEPAR), University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and University of New South Wales - ARC Centre of Excellence in Population Ageing Research (CEPAR)
Downloads 75 (309,919)

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

48.

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 University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 74 (312,346)

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systematic longevity risk, dependence, multivariate Tweedie, lifetime distribution

49.

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
Simon Man Chung Fung, Katja Ignatieva and Michael Sherris
Commonwealth Bank of Australia, University of New South Wales - Australian School of Business and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 72 (317,206)

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

50.

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 University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 72 (317,206)

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

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, University of New South Wales - 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 and Actuarial Studies
Downloads 68 (327,217)

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

52.

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
University of New South Wales (UNSW) - ARC Centre of Excellence in Population Ageing Research (CEPAR), University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads 67 (329,821)

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mortality improvement, mortality heterogeneity, longitudinal data, stochastic mortality models, marginal models

53.

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 University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 60 (348,859)

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

54.

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, University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads 58 (354,724)

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

55.

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
University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies, UNSW Australia Business School, School of Risk & Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads 54 (367,079)

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

56.

Data Analytics in Actuarial Education and Research

7th Australasian Actuarial Education and Research Symposium
Number of pages: 18 Posted: 10 Dec 2015
Michael Sherris
University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 54 (367,079)

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57.

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, University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and UNSW Australia
Downloads 37 (426,879)

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Guaranteed minimum maturity benefits, Surrender options, Numerical integration

58.

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
Daniel H. Alai, Katja Ignatieva and Michael Sherris
University of Kent, University of New South Wales - Australian School of Business and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 37 (426,879)

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

59.

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 University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 37 (426,879)

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capital management, solvency, longevity risk, reinsurance, securitization

60.

Portfolio Insurance Strategies for Target Annuitisation Funds

7th Australasian Actuarial Education and Research Symposium
Number of pages: 25 Posted: 03 Dec 2015
Mengyi Xu, Michael Sherris and Adam Wenqiang Shao
University of New South Wales (UNSW) - ARC Centre of Excellence in Population Ageing Research (CEPAR), University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and University of New South Wales - ARC Centre of Excellence in Population Ageing Research (CEPAR)
Downloads 31 (452,184)

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61.

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 University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 29 (461,523)

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

62.

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: 04 Aug 2018
Jennifer Alonso-García and Michael Sherris
Department of Economics, Econometrics and Finance and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 20 (509,844)

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

63.

Solvency, Capital Allocation, and Fair Rate of Return in Insurance

Journal of Risk and Insurance, Vol. 73, No. 1, pp. 71-96, March 2006
Number of pages: 26 Posted: 08 May 2006
Michael Sherris
University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 19 (515,589)
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64.

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, University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and UNSW Australia
Downloads 14 (544,156)

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65.

Natural Hedging Strategies for Life Insurers: Impact of Product Design and Risk Measure

Journal of Risk and Insurance, Vol. 84, Issue 1, pp. 153-175, 2017
Number of pages: 23 Posted: 06 Feb 2017
Andy Wong, Michael Sherris and Ralph Stevens
University of New South Wales (UNSW) - School of Actuarial Studies, University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and CPB Netherlands Bureau of Economic Policy Analysis
Downloads 2 (621,570)
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66.

Managing Systematic Mortality Risk with Group Self‐Pooling and Annuitization Schemes

Journal of Risk and Insurance, Vol. 80, Issue 4, pp. 949-974, 2013
Number of pages: 26 Posted: 18 Dec 2013
Chao Qiao and Michael Sherris
PricewaterhouseCoopers and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 1 (633,584)
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67.

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

Journal of Risk and Insurance, Vol. 83, Issue 2, pp. 421-446, 2016
Number of pages: 26 Posted: 23 May 2016
Katja Hanewald, Thomas Post and Michael Sherris
University of New South Wales - ARC Centre of Excellence in Population Ageing Research (CEPAR), Maastricht University - School of Business and Economics - Department of Finance and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 0 (651,081)
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68.

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 University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies

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

69.

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 University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies

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

70.

Longevity Selection and Liabilities in Public Sector Pension Funds

Journal of Risk and Insurance, Vol. 82, Issue 1, pp. 33-64, 2015
Number of pages: 32 Posted: 21 Feb 2015
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 University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
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71.

Postcode‐Level House Price Models for Banking and Insurance Applications

Economic Record, Vol. 89, Issue 286, pp. 411-425, 2013
Number of pages: 15 Posted: 14 Sep 2013
Katja Hanewald and Michael Sherris
University of New South Wales - 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 and Actuarial Studies
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72.

Contingent Claim Pricing Using Probability Distortion Operators: Methods from Insurance Risk Pricing and Their Relationship to Financial Theory

Posted: 04 Feb 2011
Mahmoud Hamada and Michael Sherris
RWE Supply and Trading and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies

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

73.

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, University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and University of Adelaide - Faculty of Engineering, Computer and Mathematical Sciences

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Portfolio allocation, dual theory, probability distortion, equilibrium pricing