76 results on '"Sherris, Michael"'
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2. Age-Dependent Multi-Cohort Affine Mortality Model with Cohort Correlation
3. Affine Mortality Models with Jumps: Parameter Estimation and Forecasting
4. Insuring Longevity Risk and Long-Term Care: Bequest, Housing and Liquidity
5. Multi-factor, Age-Cohort, Affine Mortality Models: A Multi-Country Comparison
6. A Group Regularisation Approach for Constructing Generalised Age-Period-Cohort Mortality Projection Models
7. Portfolio Management for Insurers and Pension Funds and COVID-19: Targeting Volatility for Equity, Balanced and Target-Date Funds with Leverage Constraints
8. Functional Disability with Systematic Trends and Uncertainty: A Comparison between China and the U.S.
9. On Sustainable Aged Care Financing in Australia
10. affine_mortality: A Github repository for estimation, analysis, and projection of affine mortality models
11. Mortality Forecasting Using Stacked Regression Ensembles
12. Financial Engineering: A Flexible Longevity Bond to Manage Individual Longevity Risk
13. Taxation and Policyholder Behavior: The Case of Guaranteed Minimum Accumulation Benefits
14. Portfolio Insurance Strategies for a Target Annuitization Fund
15. The Application of Affine Processes in Cohort Mortality Risk Models
16. A Multi-State Model of Functional Disability and Health Status in the Presence of Systematic Trend and Uncertainty
17. A Managed Volatility Investment Strategy for Pooled Annuity Products
18. Market Price of Longevity Risk for a Multi-Cohort Mortality Model with Application to Longevity Bond Option Pricing
19. One Size Fits All? Drawdown Structures in Australia and the Netherlands
20. The Impact of Systematic Trend and Uncertainty on Mortality and Disability in a Multi-State Latent Factor Model for Transition Rates
21. A Value Based Cohort Index for Longevity Risk Management
22. The Application of A ffine Processes in Multi-Cohort Mortality Model
23. The Application of Affine Processes in Multi-Cohort Mortality Model
24. Immunization and Hedging of Longevity Risk
25. Data Analytics in Actuarial Education and Research
26. Managing Systematic Mortality Risk in Life Annuities: An Application of Longevity Derivatives
27. Product Pricing and Solvency Capital Requirements for Long-Term Care Insurance
28. International Cause-Specific Mortality Rates: New Insights from a Cointegration Analysis
29. Mortality Heterogeneity and Systematic Mortality Improvement
30. Managing Retirement Risks with Reverse Mortgage Loans and Long-Term Care Insurance
31. Portfolio Insurance Strategies for Target Annuitisation Funds
32. A Multivariate Tweedie Lifetime Model: Censoring and Truncation
33. Equity Investing with Targeted Constant Volatility Exposure
34. Valuation of Guaranteed Minimum Maturity Benefits in Variable Annuities with Surrender Options
35. Portfolio Choice in Retirement What is the Optimal Home Equity Release Product?
36. Reverse Mortgage Pricing and Risk Analysis Allowing for Idiosyncratic House Price Risk and Longevity Risk
37. Lifetime Asset Allocation with Idiosyncratic and Systematic Mortality Risks
38. A Multivariate Forward-Rate Mortality Framework
39. Portfolio Choice in Retirement: What is the Optimal Home Equity Release Product?
40. Disaggregated House Price Indices
41. Risk Management and Payout Design of Reverse Mortgages
42. Longevity Risk, Cost of Capital and Hedging for Life Insurers Under Solvency II
43. Portfolio Choice in Retirement - What is the Optimal Home Equity Release Product?
44. Forecasting Mortality Trends Allowing for Cause-of-Death Mortality Dependence
45. Developing Equity Release Markets: Risk Analysis for Reverse Mortgages and Home Reversions
46. Managing Life Insurer Risk and Profitability: Annuity Market Development Using Natural Hedging Strategies
47. Systematic Mortality Risk: An Analysis of Guaranteed Lifetime Withdrawal Benefits in Variable Annuities
48. The Determinants of Mortality Heterogeneity and Implications for Pricing Underwritten Annuities
49. Model Risk, Mortality Heterogeneity and Implications for Solvency and Tail Risk
50. Multivariate Tweedie Lifetimes: The Impact of Dependence
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