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Modelling cause-of-death mortality and the impact of cause-elimination

Alai, Daniel H.; Arnold-Gaille, Séverine; Sherris, Michael - In: Annals of actuarial science : publ. by the Institute of … 9 (2015) 1, pp. 167-186

Persistent link: https://www.econbiz.de/10011299142

Forecasting disability : application of a frailty model

Fong, Joelle; Sherris, Michael; Yap, James - In: Scandinavian actuarial journal (2017) 2, pp. 125-147

Persistent link: https://www.econbiz.de/10011771992

Portfolio management with targeted constant market volatility

Bao Doan; Papageorgiou, Nicolas A.; Reeves, Jonathan J.; … - In: Insurance / Mathematics & economics 83 (2018), pp. 134-147

Persistent link: https://www.econbiz.de/10011944110

Forecasting mortality trends allowing for cause-of-death mortality dependence

Arnold (-Gaille), Séverine; Sherris, Michael - In: North American actuarial journal 17 (2013) 4, pp. 273-282

Persistent link: https://www.econbiz.de/10010259842

Modelling mortality with common stochastic long-run trends

Arnold-Gaille, Séverine; Sherris, Michael - In: The Geneva papers on risk and insurance - issues and … 36 (2011) 4, pp. 595-621

Persistent link: https://www.econbiz.de/10009503506

Estimation, comparison and projection of multi-factor age-cohort affine mortality models

Ungolo, Francesco; Garces, Len Patrick Dominic M.; … - 2023 - [Revision]

Persistent link: https://www.econbiz.de/10014458542

Multi-factor, age-cohort, affine mortality models : a multi-country comparison

Ungolo, Francesco; Sherris, Michael; Zhou, Yuxin - 2021

Persistent link: https://www.econbiz.de/10012628986

Market Price of Longevity Risk for a Multi-Cohort Mortality Model with Application to Longevity Bond Option Pricing

Sherris, Michael - 2018

The pricing of longevity-linked securities depends not only on the stochastic uncertainty of the underlying risk factors, but also the attitude of investors towards those factors. In this research, we investigate how to estimate the market risk premium of longevity risk using investable...

Persistent link: https://www.econbiz.de/10012927869

Modeling mortality with a Bayesian vector autoregression

Njenga, Carolyn Ndigwako; Sherris, Michael - In: Insurance / Mathematics & economics 94 (2020), pp. 40-57

Persistent link: https://www.econbiz.de/10012419110

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