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Longevity risk management and the development of a value-based longevity index

Chang, Yang; Sherris, Michael - In: Risks : open access journal 6 (2018) 1, pp. 1-20

The design and development of post-retirement income products require the assessment of longevity risk, as well as a basis for hedging these risks. Most indices for longevity risk are age-period based. We develop and assess a cohort-based value index for life insurers and pension funds to manage...

Persistent link: https://www.econbiz.de/10011811547

Lifetime asset allocation with idiosyncratic and systematic mortality risks

Shen, Yang; Sherris, Michael - In: Scandinavian actuarial journal (2018) 4, pp. 294-327

Persistent link: https://www.econbiz.de/10011881099

Longevity risk management and the development of a value-based longevity index

Chang, Yang; Sherris, Michael - In: Risks 6 (2018) 1, pp. 1-20

Persistent link: https://www.econbiz.de/10011996569

Interest rates risk factors in the Australian bond markets

Sherris, Michael - 1995

Persistent link: https://www.econbiz.de/10000951869

Longevity risk management for life and variable annuities : the effectiveness of static hedging using longevity bonds and derivatives

Nga, Andrew; Sherris, Michael - In: Insurance / Mathematics & economics 49 (2011) 1, pp. 100-114

Persistent link: https://www.econbiz.de/10009157434

Reinsurance decisions in life insurance : an empirical test of the risk-return criterion

Veprauskaite, Elena; Sherris, Michael - In: International review of financial analysis 35 (2014), pp. 128-139

Persistent link: https://www.econbiz.de/10010529617

Heterogeneity of Australian mortality and implications for a viable life annuity market

Su, Shu; Sherris, Michael - In: Insurance / Mathematics & economics 51 (2012) 2, pp. 322-332

Persistent link: https://www.econbiz.de/10009669611

Individual post-retirement longevity risk management under systematic mortality risk

Hanewald, Katja; Piggott, John; Sherris, Michael - In: Insurance / Mathematics & economics 52 (2013) 1, pp. 87-97

Persistent link: https://www.econbiz.de/10009718994

Managing systematic mortality risk with group self-pooling and annuitization schemes

Qiao, Chao; Sherris, Michael - In: The journal of risk and insurance : the journal of the … 80 (2013) 4, pp. 949-974

Persistent link: https://www.econbiz.de/10010235576

Pricing and solvency of value-maximizing life annuity providers

Nirmalendran, Maathumai; Sherris, Michael; Hanewald, Katja - In: Astin bulletin : the journal of the International … 44 (2014) 1, pp. 39-61

Persistent link: https://www.econbiz.de/10010240690