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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
3351998
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
1492011
Securitization, structuring and pricing of longevity risk
S Wills, M Sherris
Insurance: Mathematics and Economics 46 (1), 173-185, 2010
1482010
Solvency, capital allocation, and fair rate of return in insurance
M Sherris
Journal of Risk and Insurance 73 (1), 71-96, 2006
1442006
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
1132015
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
1082014
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
1062013
Risk measures and insurance premium principles
Z Landsman, M Sherris
Insurance: Mathematics and Economics 29 (1), 103-115, 2001
962001
Consistent dynamic affine mortality models for longevity risk applications
C Blackburn, M Sherris
Insurance: Mathematics and Economics 53 (1), 64-73, 2013
942013
Multistate actuarial models of functional disability
JH Fong, AW Shao, M Sherris
North American Actuarial Journal 19 (1), 41-59, 2015
922015
Risk sensitive asset allocation
TR Bielecki, SR Pliska, M Sherris
Journal of Economic Dynamics and Control 24 (8), 1145-1177, 2000
922000
Simulating from exchangeable Archimedean copulas
F Wu, E Valdez, M Sherris
Communications in Statistics—Simulation and Computation® 36 (5), 1019-1034, 2007
882007
Portfolio choice in retirement—what is the optimal home equity release product?
K Hanewald, T Post, M Sherris
Journal of Risk and Insurance 83 (2), 421-446, 2016
682016
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
682013
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
662014
Financial innovation for an aging world
OS Mitchell, J Piggott, M Sherris, S Yow
National Bureau of Economic Research, 2006
642006
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
622011
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
622008
The valuation of option features in retirement benefits
M Sherris
Journal of Risk and Insurance, 509-534, 1995
611995
Modelling mortality with common stochastic long-run trends
S Gaille, M Sherris
The Geneva Papers on Risk and Insurance-Issues and Practice 36, 595-621, 2011
582011
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