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Michael Sherris · Study
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Author
Michael Sherris
38 works
· latest 2021
· 2 institutions
cluster: provisional
ORCID 0000-0002-8077-3649
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38
Citations
1,864
Works here
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Most cited in this library
Financial Economics: With Applications to Investments, Insurance and Pensions
1999 · 145 citations
Managing Systematic Mortality Risk With Group Self‐Pooling and Annuitization Schemes
2012 · 109 citations
Longevity risk management for life and variable annuities: The effectiveness of static hedging using longevity bonds and derivatives
2011 · 108 citations
Securitization, structuring and pricing of longevity risk
2009 · 94 citations
Solvency, Capital Allocation, and Fair Rate of Return in Insurance
2006 · 92 citations
Works
38 shown
Mortality forecasting using stacked regression ensembles
Scandinavian Actuarial Journal
·
2021
·
4 authors
·
Open access
21
citations
Cohort and value-based multi-country longevity risk management
Scandinavian Actuarial Journal
·
2020
·
3 authors
·
Open access
16
citations
Continuous-time multi-cohort mortality modelling with affine processes
Scandinavian Actuarial Journal
·
2019
·
3 authors
·
Open access
23
citations
A Multi-State Model of Functional Disability and Health Status in the Presence of Systematic Trend and Uncertainty
North American Actuarial Journal
·
2019
·
2 authors
·
Open access
25
citations
To borrow or insure? Long term care costs and the impact of housing
Insurance Mathematics and Economics
·
2018
·
2 authors
·
Open access
32
citations
The Impact of Systematic Trend and Uncertainty on Mortality and Disability in a Multi-State Latent Factor Model for Transition Rates
North American Actuarial Journal
·
2016
·
3 authors
·
Open access
25
citations
Forecasting disability: application of a frailty model
Scandinavian Actuarial Journal
·
2015
·
2 authors
19
citations
Reverse mortgage pricing and risk analysis allowing for idiosyncratic house price risk and longevity risk
Insurance Mathematics and Economics
·
2015
·
3 authors
·
Open access
84
citations
Causes-of-Death Mortality: What Do We Know on Their Dependence?
North American Actuarial Journal
·
2015
·
2 authors
·
Open access
39
citations
Portfolio Choice in Retirement—What is The Optimal Home Equity Release Product?
Journal of Risk & Insurance
·
2015
·
3 authors
59
citations
Multistate Actuarial Models of Functional Disability
North American Actuarial Journal
·
2015
·
3 authors
·
Open access
72
citations
Modelling cause-of-death mortality and the impact of cause-elimination
Annals of Actuarial Science
·
2014
·
3 authors
·
Open access
37
citations
Systematic mortality risk: An analysis of guaranteed lifetime withdrawal benefits in variable annuities
Insurance Mathematics and Economics
·
2014
·
3 authors
53
citations
Developing Equity Release Markets: Risk Analysis for Reverse Mortgages and Home Reversions
North American Actuarial Journal
·
2014
·
4 authors
·
Open access
88
citations
Forecasting Mortality Trends Allowing for Cause-of-Death Mortality Dependence
North American Actuarial Journal
·
2013
·
2 authors
35
citations
L ONGEVITY S ELECTION AND L IABILITIES IN P UBLIC S ECTOR P ENSION F UNDS
Journal of Risk & Insurance
·
2013
·
3 authors
19
citations
The determinants of mortality heterogeneity and implications for pricing annuities
Insurance Mathematics and Economics
·
2013
·
2 authors
·
Open access
36
citations
Consistent dynamic affine mortality models for longevity risk applications
Insurance Mathematics and Economics
·
2013
·
2 authors
·
Open access
65
citations
Lifetime dependence modelling using a truncated multivariate gamma distribution
Insurance Mathematics and Economics
·
2013
·
3 authors
·
Open access
17
citations
Individual post-retirement longevity risk management under systematic mortality risk
Insurance Mathematics and Economics
·
2012
·
3 authors
61
citations
Managing Systematic Mortality Risk With Group Self‐Pooling and Annuitization Schemes
Journal of Risk & Insurance
·
2012
·
2 authors
109
citations
Heterogeneity of Australian population mortality and implications for a viable life annuity market
Insurance Mathematics and Economics
·
2012
·
2 authors
37
citations
Rethinking age-period-cohort mortality trend models
Scandinavian Actuarial Journal
·
2012
·
2 authors
·
Open access
25
citations
Modelling Mortality with Common Stochastic Long-Run Trends
The Geneva Papers on Risk and Insurance Issues and Practice
·
2011
·
2 authors
·
Open access
39
citations
Longevity Risk and the Econometric Analysis of Mortality Trends and Volatility
Asia-Pacific Journal of Risk and Insurance
·
2011
·
2 authors
36
citations
Securitization, Structuring and Pricing of Longevity Risk
SSRN Electronic Journal
·
2011
·
2 authors
·
preprint
·
Open access
23
citations
Longevity risk management for life and variable annuities: The effectiveness of static hedging using longevity bonds and derivatives
Insurance Mathematics and Economics
·
2011
·
2 authors
108
citations
Longevity Risk Management for Life and Variable Annuities: Effectiveness of Static Hedging Using Longevity Bonds and Derivatives
SSRN Electronic Journal
·
2010
·
2 authors
·
preprint
·
Open access
27
citations
Securitization, structuring and pricing of longevity risk
Insurance Mathematics and Economics
·
2009
·
2 authors
94
citations
Simulating from Exchangeable Archimedean Copulas
Communications in Statistics - Simulation and Computation
·
2007
·
2 authors
44
citations
Solvency, Capital Allocation, and Fair Rate of Return in Insurance
Journal of Risk & Insurance
·
2006
·
1 author
92
citations
Financial Innovation for an Ageing World
RePEc: Research Papers in Economics
·
2006
·
4 authors
·
Open access
19
citations
Contingent claim pricing using probability distortion operators: methods from insurance risk pricing and their relationship to financial theory
Applied Mathematical Finance
·
2003
·
2 authors
·
Open access
39
citations
Risk measures and insurance premium principles
Insurance Mathematics and Economics
·
2001
·
2 authors
52
citations
Risk sensitive asset allocation
Journal of Economic Dynamics and Control
·
2000
·
3 authors
58
citations
Financial Economics: With Applications to Investments, Insurance and Pensions
·
1999
·
11 authors
·
book
145
citations
Interest Rate Risk Management
North American Actuarial Journal
·
1997
·
2 authors
55
citations
The Valuation of Option Features in Retirement Benefits
Journal of Risk & Insurance
·
1995
·
1 author
36
citations