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Pooling functional disability and mortality in long-term care insurance and care annuities : a matrix approach for multi-state pools
Kabuche, Doreen; Sherris, Michael; Villegas, Andrés M.; … - 2023
Persistent link: https://www.econbiz.de/10014458828
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A group regularisation approach for constructing generalised age-period-cohort mortality projection models
SriDaran, Dilan; Sherris, Michael; Villegas, Andrés M.; … - In: ASTIN bulletin : the journal of the International … 52 (2022) 1, pp. 247-289
Persistent link: https://www.econbiz.de/10012805747
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A group regularisation approach for constructing generalised age-period-cohort mortality projection models
SriDaran, Dilan; Sherris, Michael; Villegas, Andrés M.; … - 2021
Persistent link: https://www.econbiz.de/10012616126
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Mortality forecasting using stacked regression ensembles
Kessy, Salvatory R.; Sherris, Michael; Villegas, Andrés M. - 2021
Persistent link: https://www.econbiz.de/10012616204
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Modelling USA age-cohort mortality : a comparison of multi-factor affine mortality models
Huang, Zhiping; Sherris, Michael; Villegas, Andrés M.; … - In: Risks : open access journal 10 (2022) 9, pp. 1-28
Affine mortality models are well suited for theoretical and practical application in pricing and risk management of mortality risk. They produce consistent, closed-form stochastic survival curves allowing for the efficient valuation of mortality-linked claims. We model USA age-cohort mortality...
Persistent link: https://www.econbiz.de/10013368640
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Mortality forecasting using stacked regression ensembles
Kessy, Salvatory R.; Sherris, Michael; Villegas, Andrés M. - In: Scandinavian actuarial journal 2022 (2022) 7, pp. 591-626
Persistent link: https://www.econbiz.de/10013370726
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Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method
Alonso-García, Jennifer; Wood, Oliver; Ziveyi, Jonathan - In: Quantitative finance 18 (2018) 6, pp. 1049-1075
Persistent link: https://www.econbiz.de/10011911282
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Taxation and policyholder behaviour : the case of guaranteed minimum accumulation benefits
Alonso-García, Jennifer; Sherris, Michael; Thirurajah, … - 2020
Persistent link: https://www.econbiz.de/10012582575
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Taxation and policyholder behavior : the case of guaranteed minimum accumulation benefits
Alonso-García, Jennifer; Sherris, Michael; Thirurajah, … - In: ASTIN bulletin : the journal of the International … 54 (2024) 1, pp. 185-212
Persistent link: https://www.econbiz.de/10014485606
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Modelling USA age-cohort mortality : a comparison of multi-factor affine mortality models
Huang, Zhiping; Sherris, Michael; Villegas, Andrés M.; … - In: Risks : open access journal 10 (2022) 9, pp. 1-28
Affine mortality models are well suited for theoretical and practical application in pricing and risk management of mortality risk. They produce consistent, closed-form stochastic survival curves allowing for the efficient valuation of mortality-linked claims. We model USA age-cohort mortality...
Persistent link: https://www.econbiz.de/10013555494