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Insuring Longevity Risk and Long-Term Care : Bequest, Housing and Liquidity
Xu, Mengyi; Alonso-García, Jennifer; Sherris, Michael; … - 2022
We study the impact of housing wealth and individual preferences on demand for annuities and long-term care insurance (LTCI). We build a multi-state lifecycle model that includes longevity risk and health shocks. The preference is represented by a recursive utility function that separates risk...
Persistent link: https://www.econbiz.de/10013297282
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Insuring longevity risk and long-term care : bequest, housing and liquidity
Xu, Mengyi; Alonso-García, Jennifer; Sherris, Michael; … - In: Insurance / Mathematics & economics 111 (2023), pp. 121-141
Persistent link: https://www.econbiz.de/10014317139
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Insuring longevity risk and long-term care : bequest, housing, and liquidity
Xu, Mengyi; Alonso-García, Jennifer; Sherris, Michael; … - 2022
Persistent link: https://www.econbiz.de/10013503805
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Market Price of Longevity Risk for a Multi-Cohort Mortality Model with Application to Longevity Bond Option Pricing
Sherris, Michael - 2018
affine dynamic Nelson-Siegel model. A multi-cohort aggregate, or systematic, continuous time affine mortality model is used … where each risk factor is assigned a market price of mortality risk. To calibrate the market price of longevity risk, a … standard options on zero coupon bonds. The impact of uncertain mortality on long term option prices is quantified and discussed …
Persistent link: https://www.econbiz.de/10012927869
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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
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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
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Longevity risk, cost of capital and hedging for life insurers under Solvency II
Meyricke, Ramona; Sherris, Michael - In: Insurance / Mathematics & economics 55 (2014), pp. 147-155
Persistent link: https://www.econbiz.de/10010366194
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Product pricing and solvency capital requirements for long-term care insurance
Shao, Adam W.; Sherris, Michael; Fong, Joelle H. - In: Scandinavian actuarial journal (2017) 2, pp. 175-208
Persistent link: https://www.econbiz.de/10011772082
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Financial engineering: a flexible longevity bond to manage individual longevity risk
Zhou, Yuxin; Sherris, Michael; Ziveyi, Jonathan; Xu, Mengyi - 2020
Persistent link: https://www.econbiz.de/10012534761
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An innovative design of flexible, bequest-enhanced life annuity with natural hedging
Zhou, Yuxin; Sherris, Michael; Ziveyi, Jonathan; Xu, Mengyi - In: Scandinavian actuarial journal 2022 (2022) 6, pp. 488-509
Persistent link: https://www.econbiz.de/10013370711