Michael Sherris

Available identifiers

zbMath Open sherris.michaelMaRDI QIDQ190759

List of research outcomes

Publication	Date of Publication	Type
Insuring longevity risk and long-term care: bequest, housing and liquidity	2023-07-18	Paper
Mortality forecasting using stacked regression ensembles	2022-10-26	Paper
An innovative design of flexible, bequest-enhanced life annuity with natural hedging	2022-09-19	Paper
A GROUP REGULARISATION APPROACH FOR CONSTRUCTING GENERALISED AGE-PERIOD-COHORT MORTALITY PROJECTION MODELS	2022-04-04	Paper
An Actuarial Premium Pricing Model for Nonnormal Insurance and Financial Risks in Incomplete Markets	2022-01-10	Paper
Authors’ Reply: Capital Allocation In Insurance: Economic Capital And The Allocation Of The Default Option Value - Discussion by Helmut Gründl; Hato Schmeiser	2022-01-10	Paper
Author Reply: An Actuarial Premium Pricing Model for Nonnormal Insurance and Financial Risks in Incomplete Markets by Zinoviy Landsman and Michael Sherris - Discussion by Edward Furman; Ricardas Zitikis	2022-01-10	Paper
Capital Allocation In Insurance	2021-12-22	Paper
A Multi-state Model of Functional Disability and Health Status in the Presence of Systematic Trend and Uncertainty	2021-04-28	Paper
PORTFOLIO INSURANCE STRATEGIES FOR A TARGET ANNUITIZATION FUND	2020-12-13	Paper
Modeling mortality with a Bayesian vector autoregression	2020-11-19	Paper
Continuous-time multi-cohort mortality modelling with affine processes	2020-09-28	Paper
Cohort and value-based multi-country longevity risk management	2020-09-28	Paper
Systematic Mortality Improvement Trends and Mortality Heterogeneity: Insights from Individual-Level HRS Data	2019-06-18	Paper
Multistate Actuarial Models of Functional Disability	2019-05-28	Paper
Causes-of-Death Mortality: What Do We Know on Their Dependence?	2019-05-28	Paper
The Impact of Systematic Trend and Uncertainty on Mortality and Disability in a Multistate Latent Factor Model for Transition Rates	2019-05-28	Paper
Forecasting Mortality Trends Allowing for Cause-of-Death Mortality Dependence	2019-05-15	Paper
Portfolio management with targeted constant market volatility	2018-11-19	Paper
Lifetime asset allocation with idiosyncratic and systematic mortality risks	2018-08-31	Paper
Multivariate Tweedie lifetimes: the impact of dependence	2018-07-13	Paper
Forecasting disability: application of a frailty model	2018-07-13	Paper
Product pricing and solvency capital requirements for long-term care insurance	2018-07-13	Paper
Rethinking age-period-cohort mortality trend models	2018-07-11	Paper
INTERNATIONAL CAUSE-SPECIFIC MORTALITY RATES: NEW INSIGHTS FROM A COINTEGRATION ANALYSIS	2018-06-04	Paper
LONGEVITY RISK MANAGEMENT AND SHAREHOLDER VALUE FOR A LIFE ANNUITY BUSINESS	2018-06-04	Paper
Modelling lifetime dependence for older ages using a multivariate Pareto distribution	2016-12-13	Paper
Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options	2016-11-21	Paper
A multivariate Tweedie lifetime model: censoring and truncation	2015-09-14	Paper
Reverse mortgage pricing and risk analysis allowing for idiosyncratic house price risk and longevity risk	2015-08-20	Paper
The determinants of mortality heterogeneity and implications for pricing annuities	2015-01-28	Paper
Systematic mortality risk: an analysis of guaranteed lifetime withdrawal benefits in variable annuities	2015-01-28	Paper
Longevity risk, cost of capital and hedging for life insurers under Solvency II	2014-09-22	Paper
Individual post-retirement longevity risk management under systematic mortality risk	2014-07-16	Paper
PRICING AND SOLVENCY OF VALUE-MAXIMIZING LIFE ANNUITY PROVIDERS	2014-04-16	Paper
Consistent dynamic affine mortality models for longevity risk applications	2014-04-15	Paper
Lifetime dependence modelling using a truncated multivariate gamma distribution	2014-04-04	Paper
Pricing European options on deferred annuities	2014-04-03	Paper
Securitization, structuring and pricing of longevity risk	2012-02-10	Paper
Enterprise Risk Management, Insurer Value Maximisation, and Market Frictions	2009-09-13	Paper
Dynamic Portfolio Allocation, the Dual Theory of Choice and Probability Distortion Functions	2009-06-15	Paper
Simulating from Exchangeable Archimedean Copulas	2008-01-16	Paper
Enhancing insurer value through reinsurance optimization	2006-08-14	Paper
Interest Rate Risk Management	2006-01-13	Paper
https://portal.mardi4nfdi.de/entity/Q4471211	2004-06-18	Paper
Contingent claim pricing using probability distortion operators: methods from insurance risk pricing and their relationship to financial theory	2004-02-11	Paper
Risk measures and insurance premium principles.	2003-11-16	Paper
A class of non-expected utility risk measures and implications for asset allocations	2001-01-01	Paper
Risk sensitive asset allocation	2000-08-21	Paper
Application of matrix methods to pension funds	1980-01-01	Paper

Research outcomes over time

Doctoral students

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Known relations from the MaRDI Knowledge Graph

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