Sherris M; Wei P, 2021, 'A Multi-state Model of Functional Disability and Health Status in the Presence of Systematic Trend and Uncertainty',
North American Actuarial Journal, vol. 25, pp. 17 - 39,
http://dx.doi.org/10.1080/10920277.2019.17087552021
Xu Y; Sherris M; Ziveyi J, 2020, 'Market Price of Longevity Risk for a Multi-Cohort Mortality Model With Application to Longevity Bond Option Pricing',
Journal of Risk and Insurance, vol. 87, pp. 571 - 595,
http://dx.doi.org/10.1111/jori.122732020
Xu M; Sherris M; Meyricke R, 2019, 'Systematic Mortality Improvement Trends and Mortality Heterogeneity: Insights from Individual-Level HRS Data',
North American Actuarial Journal, vol. 23, pp. 197 - 219,
http://dx.doi.org/10.1080/10920277.2018.15133692019
Shao AW; Hanewald K; Sherris M, 2018, 'House Price Models for Banking and Insurance Applications: The Impact of Property Characteristics',
Asia-Pacific Journal of Risk and Insurance, vol. 12,
http://dx.doi.org/10.1515/apjri-2017-00032018
Wong A; Sherris M; Stevens R, 2017, 'Natural Hedging Strategies for Life Insurers: Impact of Product Design and Risk Measure',
Journal of Risk and Insurance, vol. 84, pp. 153 - 175,
http://dx.doi.org/10.1111/jori.120792017
Blackburn C; Hanewald K; Olivieri A; Sherris M, 2017, 'Longevity Risk Management and Shareholder Value for a Life Annuity Business',
ASTIN Bulletin - The Journal of the International Actuarial Association, vol. 47, pp. 43 - 77,
http://dx.doi.org/10.1017/asb.2016.322017
Li Z; Shao AW; Sherris M, 2017, 'The impact of systematic trend and uncertainty on mortality and disability in a multistate latent factor model for transition rates',
North American Actuarial Journal, vol. 21, pp. 594 - 610,
http://dx.doi.org/10.1080/10920277.2017.13301572017
Hanewald K; Post T; Sherris M, 2016, 'Portfolio Choice in Retirement - What is the Optimal Home Equity Release Product?',
Journal of Risk and Insurance, vol. 83, pp. 421 - 446,
http://dx.doi.org/10.1111/jori.120682016
Ziveyi JONATHAN; Sherris MICHAEL; Shen Y, 2016, 'Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options',
Insurance: Mathematics and Economics, vol. 69, pp. 127 - 137,
http://dx.doi.org/10.1016/j.insmatheco.2016.04.0062016
Shao AW; Hanewald K; Sherris M, 2015, 'Reverse mortgage pricing and risk analysis allowing for idiosyncratic house price risk and longevity risk',
Insurance: Mathematics and Economics, vol. 63, pp. 76 - 90,
http://dx.doi.org/10.1016/j.insmatheco.2015.03.0262015
Cho D; Hanewald K; Sherris M, 2015, 'Risk Analysis for Reverse Mortgages with Different Payout Designs',
Asia-Pacific Journal of Risk and Insurance, vol. 9, pp. 77 - 105,
http://dx.doi.org/10.1515/apjri-2014-00122015
Arnold-Gaille S; Sherris M, 2015, 'INTERNATIONAL CAUSE-SPECIFIC MORTALITY RATES: NEW INSIGHTS FROM A COINTEGRATION ANALYSIS',
ASTIN Bulletin, vol. 46, pp. 9 - 38,
http://dx.doi.org/10.1017/asb.2015.242015
Alai DH; Arnold (-Gaille) S; Sherris M, 2015, 'Modelling cause-of-death mortality and the impact of cause-elimination',
ANNALS OF ACTUARIAL SCIENCE, vol. 9, pp. 167 - 186,
http://dx.doi.org/10.1017/S174849951400027X2015
Veprauskaite E; Sherris M, 2014, 'Reinsurance decisions in life insurance: An empirical test of the risk-return criterion',
International Review of Financial Analysis, vol. 35, pp. 128 - 139,
http://dx.doi.org/10.1016/j.irfa.2014.08.0012014
Alai DH; Chen H; Cho D; Hanewald K; Sherris M, 2014, 'Developing Equity Release Markets: Risk Analysis for Reverse Mortgages and Home Reversions',
North American Actuarial Journal, vol. 18, pp. 217 - 241,
http://dx.doi.org/10.1080/10920277.2014.8822522014
Nirmalendran M; Sherris M; Hanewald K, 2014, 'Pricing and solvency of value-maximizing life annuity providers',
ASTIN Bulletin, vol. 44, pp. 39 - 61,
http://dx.doi.org/10.1017/asb.2013.252014
Fung MC; Ignatieva K; Sherris M, 2014, 'Systematic mortality risk: An analysis of guaranteed lifetime withdrawal benefits in variable annuities',
Insurance: Mathematics and Economics, vol. 58, pp. 103 - 115,
http://dx.doi.org/10.1016/j.insmatheco.2014.06.0102014
Alai D; Landsman Z; Sherris M, 2013, 'Lifetime Dependence Modelling using the Truncated Multivariate Gamma Distribution', Insurance: Mathematics and Economics
2013
Gaille S; Sherris M, 2011, 'Modelling Mortality with Common Stochastic Long-Run Trends',
Geneva Papers on Risk and Insurance - Issues and Practice, vol. 2011, pp. 595 - 621,
http://dx.doi.org/10.1057/gpp.2011.192011
Blake D; Courbage C; MacMinn R; Sherris M, 2011, 'Longevity risk and capital markets: The 2010-2011 update',
Geneva Papers on Risk and Insurance: Issues and Practice, vol. 36, pp. 489 - 500,
http://dx.doi.org/10.1057/gpp.2011.272011
Njenga C; Sherris M, 2011, 'Longevity Risk and the Econometric Analysis of Mortality Trends and Volatility',
Asia-Pacific Journal of Risk and Insurance, vol. 5, pp. 1 - 54,
http://dx.doi.org/10.2202/2153-3792.11152011
Ngai A; Sherris M, 2011, 'Longevity risk management for life and variable annuities: The effectiveness of static hedging using longevity bonds and derivatives',
Insurance Mathematics and Economics, vol. 49, pp. 100 - 114,
http://dx.doi.org/10.1016/j.insmatheco.2011.02.0092011
Sherris M; Carneiro LA, 2009, 'Demand For Reinsurance: Evidence from Australian Insurers', China-USA Business Review, vol. 8, pp. 1 - 21
2009
Sherris M; Carneiro LA, 2008, 'Corporate Interest Rate Risk Management with Derivatives in Australia: Empirical Results', Revista Contabilidade e Financas, vol. 19, pp. 86 - 107
2008
Sherris M; Wills S, 2008, 'Financial Innovation and the Hedging of Longevity Risk', Asia Pacific Journal of Risk and Insurance, vol. 38, pp. 52 - 64
2008
Sherris M; Valdez E; Wu ML, 2007, 'Simlating from Exchangeable Archimedean Copulas', Communications in Statistics - Simulation and Computation, vol. 36, pp. 1019 - 1034
2007
Yow S; Sherris M, 2007, 'Enterprise Risk Management, Insurer Pricing and Capital Allocation', Geneva Papers on Risk and Insurance - Issues and Practice, vol. July 2007, pp. 33 - 62
2007
Sherris M, 2007, 'Book Review: The Econometrics of Individual Risk: Credit, Insurance and Marketing', Journal of Economic Literature, vol. XLV, pp. 1049 - 1053
2007
Sherris M; Mitchell O; Piggott JR, 2006, 'Financial Innovation for an Ageing World', Financial Innovation for an Ageing World
2006
Sherris M; van der Hoek J; Hamada M, 2006, 'Dynamic Portfolio Allocation, the Dual Theory of Choice and Probability Distortion Functions',
ASTIN Bulletin, vol. 36, pp. 187 - 217,
http://dx.doi.org/10.2143/AST.36.1.20141492006
Sherris M; Chandra V, 2006, 'Capital Management and Frictional Costs in Insurance', Australian Actuarial Journal, vol. 12, pp. 399 - 447
2006
Sherris M, 2006, 'Actuarial education and research: A perspective from down under', ASTIN Bulletin, vol. 36, pp. 1 - 3
2006
Sherris M; van der Hoek J, 2006, 'Capital Allocation in Insurance: Economic Capital and the Allocation of the Default Option Value', North American Actuarial Journal, vol. 10, pp. 39 - 61
2006
Sherris M; Sutherland-Wong C, 2005, 'Risk-Based Regulatory Capital for Insurers: A Case Study', Journal of Actuarial Practice, vol. 12, pp. 5 - 45
2005
Sherris M, 2003, 'Economic Valuation: Something Old, Something New', Australian Actuarial Journal, vol. 9, pp. 625 - 665
2003
Sherris M; Hamada M, 2003, 'Contingent Claim Pricing Using Probability Distortion Operators: Methods from Insurance Risk Pricing and their Relationship to Financial Theory',
Applied Mathematical Finance, vol. 10, pp. 19 - 47,
http://dx.doi.org/10.1080/13504860320000695802003
Sherris M; Landsman Z, 2001, 'Risk Measures and Insurance Premium Principles, Insurance: Mathematics and Economics', Insurance Mathematics and Economics, pp. 103 - 115
2001
Sherris M; van der Hoek J, 2001, 'A Class of Non-Expected Utility Risk Measures and Implications for Asset Allocation, Insurance: Mathematics and Economics', Insurance Mathematics and Economics, pp. 69 - 82
2001
Sherris M, 1999, 'Term Structure Models: A Perspective from the Long Rate', North American Actuarial Journal, pp. 138 - 138
1999
Sherris M, 1999, 'Long-Term Yield Rates for Actuarial Valuations', North American Actuarial Journal, pp. 22 - 23
1999
Sherris M; Tedesco L; Zehnwirth B, 1999, 'Investment Returns and Inflation Models: Some Australian Evidence', British Actuarial Journal, pp. 237 - 267
1999
Sherris M, 1998, 'Actuarial Model Assumptions for Inflation, Equity Returns, and Interest Rates', Journal of Actuarial Practice, pp. 227 - 253
1998
Sherris M, 1998, 'Discussion of `Presidential Address`', Transactions of the Institute of Actuaries of Australia -- 1997, pp. 71 - 74
1998
Sherris M, 1998, 'Review of Financial Calculus by M. Baxter and A. Rennie', North American Actuarial Journal, vol. 2, pp. 134 - 135
1998
Adams M; Sherris M; Hossain M, 1997, 'The determinants of external audit costs in the New Zealand life insurance industry',
Journal of International Financial Management and Accounting, vol. 8, pp. 69 - 86,
http://dx.doi.org/10.1111/1467-646X.000181997
Ang A; Sherris M, 1997, 'Interest rate risk management: Developments in interest rate term structure modeling for risk management and valuation of interest-rate-dependent cash flows',
North American Actuarial Journal, vol. 1, pp. 1 - 26,
http://dx.doi.org/10.1080/10920277.1997.105956011997
Sherris M, 2008, 'Asset-Liability Management for Life Insurers', in Asset-Liability Management for Life Insurers, edn. Original, pp. 60 - 63
2008
Piggott JR; Sherris M; Mitchell O; Yow S, 2007, 'Demographic Shift and Financial Risk', in Konig R; Remsperger H (ed.), Third Conference of the Monetary Stability Foundation, edn. 500, Stiftung Geld and Wahrung, pp. 99 - 109
2007
Mitchell O; Piggott JR; Sherris M; Yow S, 2006, 'Financial Innovation for an Ageing World', in Kent C; Park A; Rees D (ed.), Demography and Financial Markets, edn. Original, Pegasus Print Group, Sydney
2006
Sherris M, 2004, 'Asset Management', in Sundt JLTB (ed.), Encyclopedia of Actuarial Science - Volume 1, edn. 1st, John Wiley & Sons, England, pp. 94 - 99
2004
Sherris M, 1998, 'Options and Other Derivatives', in Financial Economics with Applications to Investments, Insurance and Pensions, edn. Original, Actuarial Foundation, Schaumburg, Illinois, USA, pp. 231 - 306
1998
Sherris M, 1998, 'Investment Return Models', in Financial Economics with Applications to Investments, Insurance and Pensions, edn. Original, Actuarial Fondation, Schaumburg, Illinois, USA, pp. 433 - 468
1998
Sherris M; Krvavych Y, 2006, 'Insurer Risk Management In The Presence Of Frictional Costs', in Insurer Risk Management In The Presence Of Frictional Costs, 28th International Congress of Actuaries, Paris, presented at 28th International Congress of Actuaries, Paris, 28 May 2006 - 02 June 2006
2006
Sherris M; van der Hoek J, 2004, 'Capital Allocation in Insurance: Economic Capital and the Allocation of the Default Option Value', in
14th Annual International AFIR Colloquium, Boston, Massachusetts, pp. 39 - 61, presented at 14th Annual International AFIR Colloquium, Boston, Massachusetts, 08 November 2004 - 09 November 2004,
http://dx.doi.org/10.1080/10920277.2006.105962472004
Sherris M, 2003, 'Equilibrium Insurance Pricing, Market Value of Liabilities and Optimal Capitalization', in Berhouwer H; Kleynen R (ed.), International AFIR Colloqium 2003, International AFIR Colloqium 2003, Maastricht, The Netherlands, pp. 195 - 220, presented at International AFIR Colloqium 2003, Maastricht, The Netherlands, 17 September 2003 - 19 September 2003
2003
Sherris M, 2002, 'Contingent Claim Pricing using Probability Distortion Operators', in AFIR, AFIR, Cancun, Mexico, presented at AFIR, Cancun, Mexico
2002
Sherris M; Hamada M; van der Hoek J, 2001, 'Martingale Methods in Portfolio Allocation with Distortion Operators', in XIth Annual International AFIR Colloquium, XIth Annual International AFIR Colloquium, Toronto, presented at XIth Annual International AFIR Colloquium, Toronto
2001
Sherris M, 2000, 'Investment Strategies for Retirement', in Diana Olsberg (ed.), Ageing and Active. Australia in the 21st Century. Future challenges and opportunities for Australia`s ageing population, Ageing and Active. Australia in the 21st Century. Future challenges and opportunities for Australia`s ageing population, Sydney, pp. 16 - 20, presented at Ageing and Active. Australia in the 21st Century. Future challenges and opportunities for Australia`s ageing population, Sydney, -
2000
Sherris M; Hoek J, 1999, 'Non Expected Utility Risk Measures and Implications for Asset Allocation', in Sherris M; van der Hoek J (ed.), Institute of Actuaries of Australia Biennial Convention, Institute of Actuaries of Australia Biennial Convention, pp. 1 - 38, presented at Institute of Actuaries of Australia Biennial Convention
1999
Sherris M, 1994, 'The valuation of option features in retirement benefits', in
JOURNAL OF RISK AND INSURANCE, AMER RISK INSURANCE ASSOC, INC, UNIV PENN, WHARTON SCH, PHILADELPHIA, PA, pp. 509 - 534, presented at 4th International Conference on Insurance Solvency and Finance, UNIV PENN, WHARTON SCH, PHILADELPHIA, PA, 25 April 1994 - 27 April 1994,
http://dx.doi.org/10.2307/2538211994