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Contingent claim pricing using probability distortion operators : methods from insurance risk pricing and their relationship to financial theory
Hamada, Mahmoud; Sherris, Michael - In: Applied mathematical finance 10 (2003) 1, pp. 19-47
Persistent link: https://www.econbiz.de/10001756866
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Risk sensitive asset allocation
Bielecki, Tomasz R.; Pliska, Stanley R.; Sherris, Michael - In: Journal of economic dynamics & control 24 (2000) 8, pp. 1145-1177
Persistent link: https://www.econbiz.de/10001474593
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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
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Editorial: Longevity risk and capital markets : the 2010 - 2011 update
Blake, David; Courbage, Christophe; MacMinn, Richard D.; … - In: The Geneva papers on risk and insurance - issues and … 36 (2011) 4, pp. 489-500
Persistent link: https://www.econbiz.de/10009503516
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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
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Longevity risks and capital markets : the 2010 - 2011 update
Blake, David; Courbage, Christophe; MacMinn, Richard D.; … - 2011
Persistent link: https://www.econbiz.de/10009537377
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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
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Postcode-level house price models for banking and insurance applications
Hanewald, Katja; Sherris, Michael - In: The economic record : er 89 (2013) 286, pp. 411-425
Persistent link: https://www.econbiz.de/10010204055
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Living with ambiguity : pricing mortality-linked securities with smooth ambiguity preferences
Chen, Hua; Sherris, Michael; Sun, Tao; Zhu, Wenge - In: The journal of risk and insurance : the journal of the … 80 (2013) 3, pp. 705-732
Persistent link: https://www.econbiz.de/10010127206
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Pricing European options on deferred annuities
Ziveyi, Jonathan; Blackburn, Craig; Sherris, Michael - In: Insurance / Mathematics & economics 52 (2013) 2, pp. 300-311
Persistent link: https://www.econbiz.de/10009736104