Michael Sherris
Michael Sherris
Professor Actuarial Studies University of New South Wales
Email verificata su unsw.edu.au
TitoloCitata daAnno
Financial Economics: With Applications to Investments, Insurance, and Pensions
HH Panjer, D Dufresne, HU Gerber, H Mueller, H Pedersen, S Pliska, ...
Actuarial Foundation, 1998
2931998
Solvency, capital allocation, and fair rate of return in insurance
M Sherris
Journal of Risk and Insurance 73 (1), 71-96, 2006
1242006
Securitization, structuring and pricing of longevity risk
S Wills, M Sherris
Insurance: Mathematics and Economics 46 (1), 173-185, 2010
1152010
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
1062011
Risk measures and insurance premium principles
Z Landsman, M Sherris
Insurance: Mathematics and Economics 29 (1), 103-115, 2001
762001
Simulating from exchangeable Archimedean copulas
F Wu, E Valdez, M Sherris
Communications in Statistics—Simulation and Computation 36 (5), 1019-1034, 2007
752007
Risk sensitive asset allocation
TR Bielecki, SR Pliska, M Sherris
Journal of Economic Dynamics and Control 24 (8), 1145-1177, 2000
752000
The valuation of option features in retirement benefits
M Sherris
Journal of Risk and Insurance, 509-534, 1995
561995
Consistent dynamic affine mortality models for longevity risk applications
C Blackburn, M Sherris
Insurance: Mathematics and Economics 53 (1), 64-73, 2013
522013
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
502014
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
492008
Financial innovation for an aging world
OS Mitchell, J Piggott, M Sherris, S Yow
National Bureau of Economic Research, 2006
482006
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
472011
The econometrics of individual risk: credit, insurance, and marketing
C Gourieroux, J Jasiak
Princeton university press, 2015
432015
Multistate actuarial models of functional disability
JH Fong, AW Shao, M Sherris
North American Actuarial Journal 19 (1), 41-59, 2015
422015
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
402013
A class of non-expected utility risk measures and implications for asset allocations
J Van der Hoek, M Sherris
Insurance: Mathematics and Economics 28 (1), 69-82, 2001
402001
Portfolio selection and matching: a synthesis
M Sherris
Journal of the Institute of Actuaries 119 (1), 87-105, 1992
401992
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
392015
Contingent claim pricing using probability distortion operators: methods from insurance risk pricing and their relationship to financial theory
M Hamada, M Sherris
Applied Mathematical Finance 10 (1), 19-47, 2003
392003
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