Michael Sherris
Michael Sherris
Professor Actuarial Studies University of New South Wales
Verified email at unsw.edu.au
Title
Cited by
Cited by
Year
Financial Economics: With Applications to Investments, Insurance, and Pensions
HH Panjer, D Dufresne, HU Gerber, HH Mueller, HW Pedersen, SR Pliska, ...
Actuarial Foundation, 1998
3071998
Securitization, structuring and pricing of longevity risk
S Wills, M Sherris
Insurance: Mathematics and Economics 46 (1), 173-185, 2010
1342010
Solvency, capital allocation, and fair rate of return in insurance
M Sherris
Journal of Risk and Insurance 73 (1), 71-96, 2006
1312006
Longevity risk management for life and variable annuities: The effectiveness of static hedging using longevity bonds and derivatives
A Ngai, M Sherris
Insurance: Mathematics and Economics 49 (1), 100-114, 2011
1302011
Developing equity release markets: Risk analysis for reverse mortgages and home reversions
DH Alai, H Chen, D Cho, K Hanewald, M Sherris
North American Actuarial Journal 18 (1), 217-241, 2014
832014
Simulating from exchangeable Archimedean copulas
F Wu, E Valdez, M Sherris
Communications in Statistics—Simulation and Computation® 36 (5), 1019-1034, 2007
832007
Risk sensitive asset allocation
TR Bielecki, SR Pliska, M Sherris
Journal of Economic Dynamics and Control 24 (8), 1145-1177, 2000
822000
Risk measures and insurance premium principles
Z Landsman, M Sherris
Insurance: Mathematics and Economics 29 (1), 103-115, 2001
812001
Reverse mortgage pricing and risk analysis allowing for idiosyncratic house price risk and longevity risk
AW Shao, K Hanewald, M Sherris
Insurance: Mathematics and Economics 63, 76-90, 2015
742015
Consistent dynamic affine mortality models for longevity risk applications
C Blackburn, M Sherris
Insurance: Mathematics and Economics 53 (1), 64-73, 2013
732013
Managing Systematic Mortality Risk With Group Self‐Pooling and Annuitization Schemes
C Qiao, M Sherris
Journal of Risk and Insurance 80 (4), 949-974, 2013
682013
Multistate actuarial models of functional disability
JH Fong, AW Shao, M Sherris
North American Actuarial Journal 19 (1), 41-59, 2015
672015
The valuation of option features in retirement benefits
M Sherris
Journal of Risk and Insurance, 509-534, 1995
601995
Financial innovation for an aging world
OS Mitchell, J Piggott, M Sherris, S Yow
National Bureau of Economic Research, 2006
582006
Longevity risk and the econometric analysis of mortality trends and volatility
CN Njenga, M Sherris
Asia-Pacific Journal of Risk and Insurance 5 (2), 2011
562011
Enterprise risk management, insurer value maximisation, and market frictions
S Yow, M Sherris
ASTIN Bulletin: The Journal of the IAA 38 (1), 293-339, 2008
552008
Individual post-retirement longevity risk management under systematic mortality risk
K Hanewald, J Piggott, M Sherris
Insurance: Mathematics and Economics 52 (1), 87-97, 2013
492013
Systematic mortality risk: An analysis of guaranteed lifetime withdrawal benefits in variable annuities
MC Fung, K Ignatieva, M Sherris
Insurance: Mathematics and Economics 58, 103-115, 2014
482014
Modelling mortality with common stochastic long-run trends
S Gaille, M Sherris
The Geneva Papers on Risk and Insurance-Issues and Practice 36 (4), 595-621, 2011
482011
The econometrics of individual risk
C Gourieroux, J Jasiak
The Econometrics of Individual Risk, 2011
482011
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