Professor Michael   Sherris
Professor

Professor Michael Sherris

Business School
Risk & Actuarial

Michael Sherris is a part time Professor in the School of Risk and Actuarial Studies having retired in 2016. He was Head of Actuarial Studies at UNSW until 2010 having been appointed to UNSW in 1998 to establish the Actuarial Studies program. Before joining UNSW, he was an Associate Professor in Actuarial Studies at Macquarie University. He is a Fellow of the Institute of Actuaries of Australia, the Institute of Actuaries (UK) and the Society of Actuaries (North America). His part time role concentrates on research, research student supervision and mentoring of early career researchers particularly through the ARC Centre of Excellence in Population Ageing Research where he is a Chief Investigator and Director of Industry Engagement.

Prior to becoming an academic he worked in the banking and finance industry for a number of major banks and a life insurance company. He has been an active member of the Australian actuarial profession having served on the Council of the Institute of Actuaries of Australia. He has previously been actively involved in course development for the Finance and Investment Management courses of the Institute, and served as a Chief Examiner for the Finance course and an examiner for the Investment and General Insurance courses. He served as an Associate Editor of the North American Actuarial Journal from 1997-2004 and is an Associate Editor of the Asia Pacific Journal of Risk and Insurance, Associate Editor of the Annals of Actuarial Science and is a Co-Editor of the North American Actuarial Journal since 2017. He is a co-editor of the Springer Actuarial Series. He was President (2008-2009) of the Asia Pacific Risk and Insurance Association and a Board and Executive Member of the Enterprise Risk Management Institute International (ERMII). He was Chair of the AFIR-ERM Section of the International Actuarial Association and serves on the International Actiuarial Association's Mortality Working Group since 2017.

He has been lead and chief investigator on research grants with funding in excess of $40 million from ARC Linkage, Industry, Universities and Government. He was an investigator in the ARC Financial Integrity Research Network with funding of $1.75 million over 5 years. Michael has won a number of awards for his research including the International Actuarial Association Bob Alting von Gesau AFIR Prize, Casualty Actuarial Society (CAS) annual prize for the most valuable contribution to casualty actuarial science published in American Risk and Insurance Association (ARIA) literature, a Geneva Association/IIS Research Program Shin Research Award For Excellence, the Redington Prize of the Society of Actuaries, Best Paper prize for the North American Actuarial Journal and the H M Jackson Memorial Prize of The Institute of Actuaries of Australia. In 2007 he was awarded Australian Actuary of the Year in recognition of his contributions to actuarial research and education both internationally and within Australia.

Professor Sherris has provided consulting advice for a number of banks, life insurance companies and fund managers in the areas of interest rate risk management, derivatives, funds management, project finance, investment modelling and superannuation.

Research interests

  • Longevity, health status and functional disability risk modelling, long term care insurance and longevity risk management
  • Insurer risk management, pricing, solvency and capital allocation
  • Quantitative risk modelling and the economics of risk management

Research Grants

  • 20172020: ARC Discovery Project DP170102275 - $350,000 Professor Michael Sherris; Dr Jonathan Ziveyi; Professor Annamaria Olivieri. Retirement income product innovation. 
  • 2017 - 2023: ARC Centre of Excellence in Population Ageing - $27,250,000; Partner Universities and Organisations: over $40 million cash and in-kind Prof M Sherris one of 12 Chief Investigators.
  • 2015 - 2017: ARC Linkage Project LP150100347 - $130,000 John Piggott, Michael Sherris, and Xianguo Yao on “Long-term care financing and policy: Insights from a pilot program in China” in collaboration with the Institute for Population and Development Studies:  
  • 2014 - 2017: ARC Linkage Project LP140100104 - $493,000 Sherris, Prof Michael; Bateman, Prof Hazel J; Piggott, Prof John R; Stevens, Dr Ralph; Nijman, Prof Theodoor E; Bovenberg, Prof Arij L; Deane, Mr Jonathan A; Twaddle, Mr James E; Ponds, Prof Dr Eduard. Mandatory pre-funded retirement income schemes: Best policy and practice 
  • 2014 - 2015: Centre of Excellence for International Finance and Regulation, SUP003, $80,000  Prof M Sherris, Dr Jonathan Reeves, Associate Prof Nicolas Papageorgiou, Developing Risk Management Methods for Superannuation Investments. 
  • 2011 - 2012: ARC Linkage Project LP110100540 - $137,470: Developing sustainable retirement policy in a Chinese province: the case of Zhejiang, with Professor John R Piggott, Professor Michael Sherris, Associate Professor Hazel J Bateman, Professor Xian-guo Yao: Partner/Collaborating Organisation(s): Institute for Public Policy, Zhejiang Province
  • 2011 - 2018: ARC Centre of Excellence in Population Ageing - $12.7 million (universities $6.6 million, industry partners $1.4 million) Professor JR Piggott, University of New South Wales CD, CI’s, Professor KJ Anstey, Australian National University, Professor RG Cumming, University of Sydney, Professor MP Keane, University of Technology Sydney, Professor HL Kendig, University of Sydney, Professor PF McDonald, Australian National University, Professor M Sherris, University of New South Wales and Professor AD Woodland, University of New South Wales, ARC Centre of Excellence in Population Ageing
  • 2009 - 2013: ARC Linkage Project - LP0883398: Chief Investigator - Managing Risk with Insurance and Superannuation as Individuals Age, with JR Piggott, JR Evans, C Kim,  EA Valdez, OS Mitchell and ES Hernaes, $1.3m, (industry partners $400,000)
  • 2007: Taylor - Fry Consulting; Industry research grant 'Stochastic Economic Scenario Generator', $17,000
  • 2006 - 2008: ARC Discovery Grant DP0663090: Chief Investigator for 'Innovations in Enterprise Risk Management: Risk Aggregation, Dependence and Efficiency' with John van der Hoek, $260,000
  • 2005 - 2007: ARC Discovery Grant DP0556775: Joint Investigator for 'Risk Management for Bonds, Currencies and Commodities' with G Kingston, HJ Bateman, LA Fisher, KW Clements, and SJ Thorp, $240,000 
  • 2004 - 2009: Investigator in the Australian Research Council Financial Integrity Research Network (FIRN), $1.75 million over 5 years

 

Phone
+61 2 9065 8259
Location
Room 644, UNSW Business School

Publications

  • Book Chapters | 2016
    Professor Michael Sherris
    Sherris M, 2016, 'Asset Liability Management for Life Insurers', in , Wiley, pp. 1 - 6, http://dx.doi.org/10.1002/9781118445112.stat03554.pub2
    Book Chapters | 2014
    Professor Michael Sherris
    Sherris M, 2014, 'Asset Management', in , Wiley, http://dx.doi.org/10.1002/9781118445112.stat04687
    Books | 2009
    Professor Michael Sherris
    Sherris M, 2009, Principles of Actuarial Science, 1, McGraw Hill, North Ryde, Australia
    Book Chapters | 2008
    Professor Michael Sherris
    Sherris M, 2008, 'Asset–Liability Management for Life Insurers', in , John Wiley & Sons, Ltd, http://dx.doi.org/10.1002/9780470061596.risk0336
    Book Chapters | 2008
    Professor Michael Sherris
    Sherris M, 2008, 'Asset-Liability Management for Life Insurers', in Asset-Liability Management for Life Insurers, edn. Original, pp. 60 - 63
    Book Chapters | 2007
    Professor Michael Sherris
    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
    Book Chapters | 2006
    Professor Michael Sherris
    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
    Book Chapters | 2004
    Professor Michael Sherris
    Sherris M, 2004, 'Asset Management', in Sundt JLTB (ed.), Encyclopedia of Actuarial Science - Volume 1, edn. 1st, John Wiley & Sons, England, pp. 94 - 99
    Book Chapters | 1998
    Professor Michael Sherris
    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
    Book Chapters | 1998
    Professor Michael Sherris
    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
  • Journal articles | 2021
    Professor Michael Sherris
    Sherris M, 2021, 'On Sustainable Aged Care Financing in Australia', Australian Economic Review, vol. 54, pp. 275 - 284, http://dx.doi.org/10.1111/1467-8462.12426
    Journal articles | 2021
    Professor Michael Sherris
    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/10.1080/10920277.2019.1708755
    Journal articles | 2020
    Professor Michael Sherris
    Xu Y; Sherris M; Ziveyi J, 2020, 'Continuous-time multi-cohort mortality modelling with affine processes', Scandinavian Actuarial Journal, vol. 2020, pp. 526 - 552, http://dx.doi.org/10.1080/03461238.2019.1696223
    Journal articles | 2020
    Professor Michael Sherris
    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.12273
    Journal articles | 2020
    Professor Michael Sherris
    Xu M; Sherris M; Shao AW, 2020, 'Portfolio insurance strategies for a target annuitization fund', ASTIN Bulletin, vol. 50, pp. 873 - 912, http://dx.doi.org/10.1017/asb.2020.24
    Journal articles | 2020
    Professor Michael Sherris
    Sherris M; Xu Y; Ziveyi J, 2020, 'Cohort and value-based multi-country longevity risk management', Scandinavian Actuarial Journal, vol. 2020, pp. 650 - 676, http://dx.doi.org/10.1080/03461238.2019.1711450
    Journal articles | 2019
    Professor Michael Sherris
    Alonso-García J; Sherris M, 2019, 'One size fits all? Drawdown structures in Australia and The Netherlands', Journal of the Economics of Ageing, vol. 13, pp. 14 - 27, http://dx.doi.org/10.1016/j.jeoa.2018.07.002
    Journal articles | 2019
    Professor Michael Sherris
    Shao AW; Chen H; Sherris M, 2019, 'To borrow or insure? Long term care costs and the impact of housing', Insurance: Mathematics and Economics, vol. 85, pp. 15 - 34, http://dx.doi.org/10.1016/j.insmatheco.2018.11.006
    Journal articles | 2019
    Professor Michael Sherris
    Fung MC; Ignatieva K; Sherris M, 2019, 'Managing systematic mortality risk in life annuities: An application of longevity derivatives', Risks, vol. 7, http://dx.doi.org/10.3390/risks7010002
    Journal articles | 2019
    Professor Michael Sherris
    Alai DH; Ignatieva K; Sherris M, 2019, 'The investigation of a forward-rate mortality framework', Risks, vol. 7, http://dx.doi.org/10.3390/risks7020061
    Journal articles | 2019
    Professor Michael Sherris
    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/10.1080/10920277.2018.1513369
    Journal articles | 2018
    Professor Michael Sherris
    Shen Y; Sherris M, 2018, 'Lifetime asset allocation with idiosyncratic and systematic mortality risks', Scandinavian Actuarial Journal, vol. 2018, pp. 294 - 327, http://dx.doi.org/10.1080/03461238.2017.1343749
    Journal articles | 2018
    Professor Michael Sherris
    Chang Y; Sherris M, 2018, 'Longevity risk management and the development of a value-based longevity index', Risks, vol. 6, http://dx.doi.org/10.3390/risks6010010
    Journal articles | 2018
    Professor Michael Sherris
    Doan B; Papageorgiou N; Reeves JJ; Sherris M, 2018, 'Portfolio management with targeted constant market volatility', Insurance: Mathematics and Economics, vol. 83, pp. 134 - 147, http://dx.doi.org/10.1016/j.insmatheco.2018.09.010
    Journal articles | 2018
    Professor Michael Sherris
    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-2017-0003
    Journal articles | 2017
    Professor Michael Sherris
    Liu C; Sherris M, 2017, 'Immunization and Hedging of Post Retirement Income Annuity Products', RISKS, vol. 5, http://dx.doi.org/10.3390/risks5010019
    Journal articles | 2017
    Professor Michael Sherris
    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/10.1080/10920277.2017.1330157
    Journal articles | 2017
    Professor Michael Sherris
    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.12079
    Journal articles | 2017
    Professor Michael Sherris
    Fong JH; Sherris M; Yap J, 2017, 'Forecasting disability: application of a frailty model', Scandinavian Actuarial Journal, vol. 2017, pp. 125 - 147, http://dx.doi.org/10.1080/03461238.2015.1092168
    Journal articles | 2017
    Professor Michael Sherris
    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.2016.32
    Journal articles | 2016
    Professor Michael Sherris
    Alai DH; Landsman Z; Sherris M, 2016, 'Modelling lifetime dependence for older ages using a multivariate Pareto distribution', Insurance: Mathematics and Economics, vol. 70, pp. 272 - 285, http://dx.doi.org/10.1016/j.insmatheco.2016.06.016
    Journal articles | 2016
    Professor Michael Sherris
    Alai DH; Landsman Z; Sherris M, 2016, 'Multivariate Tweedie lifetimes: The impact of dependence', Scandinavian Actuarial Journal, vol. 2016, pp. 692 - 712, http://dx.doi.org/10.1080/03461238.2015.1007891
    Journal articles | 2016
    Professor Michael Sherris
    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.12068
    Journal articles | 2016
    Professor Michael Sherris
    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.2016.04.006
    Journal articles | 2016
    Professor Michael Sherris
    Sherris M, 2016, 'Editorial', Geneva Papers on Risk and Insurance: Issues and Practice, vol. 41, pp. 1 - 3, http://dx.doi.org/10.1057/gpp.2015.32
    Journal articles | 2015
    Professor Michael Sherris
    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.2015.24
    Journal articles | 2015
    Professor Michael Sherris
    Shao A; Sherris M; Fong JH, 2015, 'Product Pricing and Solvency Capital Requirements for Long-Term Care Insurance', Scandinavian Actuarial Journal, vol. 2017, pp. 175 - 208, http://dx.doi.org/10.1080/03461238.2015.1095793
    Journal articles | 2015
    Professor Michael Sherris
    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/S174849951400027X
    Journal articles | 2015
    Professor Michael Sherris
    Alai DH; Landsman Z; Sherris M, 2015, 'A multivariate Tweedie lifetime model: Censoring and truncation', Insurance: Mathematics and Economics, vol. 64, pp. 203 - 213, http://dx.doi.org/10.1016/j.insmatheco.2015.05.011
    Journal articles | 2015
    Professor Michael Sherris
    Fong JH; Shao AW; Sherris M, 2015, 'Multistate Actuarial Models of Functional Disability', North American Actuarial Journal, vol. 19, pp. 41 - 59, http://dx.doi.org/10.1080/10920277.2014.978025
    Journal articles | 2015
    Professor Michael Sherris
    Arnold (-Gaille) S; Sherris M, 2015, 'Causes-of-Death Mortality: What Do We Know on Their Dependence?', North American Actuarial Journal, vol. 19, pp. 116 - 128, http://dx.doi.org/10.1080/10920277.2015.1011279
    Journal articles | 2015
    Professor Michael Sherris
    Fong JH; Piggott J; Sherris M, 2015, 'Longevity selection and liabilities in public sector pension funds', Journal of Risk and Insurance, vol. 82, pp. 33 - 64, http://dx.doi.org/10.1111/j.1539-6975.2013.12005.x
    Journal articles | 2015
    Professor Michael Sherris
    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-2014-0012
    Journal articles | 2015
    Professor Michael Sherris
    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.2015.03.026
    Journal articles | 2015
    Professor Michael Sherris
    Sherris M, 2015, 'Whither actuarial research?', ANNALS OF ACTUARIAL SCIENCE, vol. 9, pp. 1 - +, http://dx.doi.org/10.1017/S1748499514000335
    Journal articles | 2014
    Professor Michael Sherris
    Meyricke R; Sherris M, 2014, 'Longevity risk, cost of capital and hedging for life insurers under Solvency II', Insurance: Mathematics and Economics, vol. 55, pp. 147 - 155, http://dx.doi.org/10.1016/j.insmatheco.2014.01.010
    Journal articles | 2014
    Professor Michael Sherris
    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/10.1080/10920277.2014.882252
    Journal articles | 2014
    Professor Michael Sherris
    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.2014.08.001
    Journal articles | 2014
    Professor Michael Sherris
    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.2013.25
    Journal articles | 2014
    Professor Michael Sherris
    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.2014.06.010
    Journal articles | 2013
    Professor Michael Sherris
    Chen H; Sherris M; Sun T; Zhu W, 2013, 'Living with ambiguity: Pricing mortality-linked securities with smooth ambiguity preferences', Journal of Risk and Insurance, vol. 80, pp. 705 - 732, http://dx.doi.org/10.1111/j.1539-6975.2013.12001.x
    Journal articles | 2013
    Professor Michael Sherris
    Alai D; Landsman Z; Sherris M, 2013, 'Lifetime dependence modelling using a truncated multivariate gamma distribution', Insurance Mathematics and Economics, vol. 52, pp. 542 - 549, http://dx.doi.org/10.1016/j.insmatheco.2013.03.01
    Journal articles | 2013
    Professor Michael Sherris
    Meyricke R; Sherris M, 2013, 'The determinants of mortality heterogeneity and implications for pricing annuities', Insurance: Mathematics and Economics, vol. 53, pp. 379 - 387, http://dx.doi.org/10.1016/j.insmatheco.2013.06.002
    Journal articles | 2013
    Professor Michael Sherris
    Arnold (-Gaille) S; Sherris M, 2013, 'Forecasting Mortality Trends Allowing for Cause-of-Death Mortality Dependence', North American Actuarial Journal, vol. 17, pp. 273 - 282, http://dx.doi.org/10.1080/10920277.2013.838141
    Journal articles | 2013
    Professor Michael Sherris
    Hanewald K; Piggott J; Sherris M, 2013, 'Individual post-retirement longevity risk management under systematic mortality risk', Insurance Mathematics and Economics, vol. 52, pp. 87 - 97, http://dx.doi.org/10.1016/j.insmatheco.2012.11.002
    Journal articles | 2013
    Professor Michael Sherris
    Ziveyi J; Blackburn C; Sherris M, 2013, 'Pricing European Options on Deferred Annuities', Insurance Mathematics and Economics, vol. 52, pp. 300 - 311, http://dx.doi.org/10.1016/j.insmatheco.2013.01.004
    Journal articles | 2013
    Professor Michael Sherris
    Alai D; Landsman Z; Sherris M, 2013, 'Lifetime Dependence Modelling using the Truncated Multivariate Gamma Distribution', Insurance: Mathematics and Economics
    Journal articles | 2013
    Professor Michael Sherris
    Hanewald K; Sherris M, 2013, 'Postcode-Level House Price Models for Banking and Insurance Applications', Economic Record, vol. 89, pp. 411 - 425, http://dx.doi.org/10.1111/1475-4932.12045
    Journal articles | 2013
    Professor Michael Sherris
    Blackburn C; Sherris M, 2013, 'Consistent dynamic affine mortality models for longevity risk applications', Insurance Mathematics and Economics, vol. 53, pp. 64 - 73, http://dx.doi.org/10.1016/j.insmatheco.2013.04.007
    Journal articles | 2012
    Professor Michael Sherris
    Alai D; Sherris M, 2012, 'Rethinking age-period-cohort mortality trend models', Scandinavian Actuarial Journal, vol. 2012, pp. 1 - 20, http://dx.doi.org/10.1080/03461238.2012.676563
    Journal articles | 2012
    Professor Michael Sherris
    Sherris M; Qiao C, 2012, 'Managing Systematic Mortality Risk With Group Self-Pooling and Annuitization Schemes', Journal of Risk and Insurance, vol. 2012, pp. 1 - 26, http://dx.doi.org/10.1111/j.1539-6975.2012.01483.x/abstract
    Journal articles | 2012
    Professor Michael Sherris
    Su S; Sherris M, 2012, 'Heterogeneity of Australian population mortality and implications for a viable life annuity market', Insurance Mathematics and Economics, vol. 51, pp. 322 - 332, http://dx.doi.org/10.1016/j.insmatheco.2012.05.006
    Journal articles | 2012
    Professor Michael Sherris
    Sherris M, 2012, 'The Longevity Revolution: The Benefits and Challenges of Living a Long Life.', JOURNAL OF PENSION ECONOMICS & FINANCE, vol. 11, pp. 121 - 122, http://dx.doi.org/10.1017/S1474747210000417
    Journal articles | 2012
    Professor Michael Sherris
    Sherris M; Alai D; Olivieri A, 2012, 'Modeling Longevity Dynamics for Pensions and Annuity Business.', JOURNAL OF PENSION ECONOMICS & FINANCE, vol. 11, pp. 126 - 128, http://dx.doi.org/10.1017/S1474747210000454
    Journal articles | 2011
    Professor Michael Sherris
    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.2011.27
    Journal articles | 2011
    Professor Michael Sherris
    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.2011.19
    Journal articles | 2011
    Professor Michael Sherris
    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.2011.02.009
    Journal articles | 2011
    Professor Michael Sherris
    Sherris M; Ding JJ, 2011, 'Comparison of market models for measuring and hedging synthetic CDO tranche spread risks', European Actuarial Journal, vol. 1, pp. S261 - S281, http://dx.doi.org/10.1007/s13385-011-0025-1
    Journal articles | 2011
    Professor Michael Sherris
    Evans JR; Sherris M, 2011, 'The Development of a Life Annuity Market in Australia: an analysis of supplier risks and their mitigation', JASSA - Journal of the Securities Institute of Australia, vol. 2011, pp. 11 - 15, http://www.finsia.com/AM/ContentManagerNet/HTMLDisplay.aspx?ContentID=17129&Section=JASSA1
    Journal articles | 2011
    Professor Michael Sherris
    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/10.2202/2153-3792.1115
    Journal articles | 2010
    Professor Michael Sherris
    Sherris M; Wills S, 2010, 'Securitization, structuring and pricing of longevity risk', Insurance Mathematics and Economics, vol. 46, pp. 173 - 185, http://dx.doi.org/10.1016/j.insmatheco.2009.09.014
    Journal articles | 2009
    Professor Michael Sherris
    Sherris M; Carneiro LA, 2009, 'Demand For Reinsurance: Evidence from Australian Insurers', China-USA Business Review, vol. 8, pp. 1 - 21
    Journal articles | 2008
    Professor Michael Sherris
    Sherris M; Yow S, 2008, 'Enterprise Risk Management, Insurer Value Maximisation, and Market Frictions', ASTIN Bulletin, vol. 38, pp. 293 - 339, http://dx.doi.org/10.2143/AST.38.1.2030415
    Journal articles | 2008
    Professor Michael Sherris
    Yow S; Sherris M, 2008, 'Enterprise Risk Management, Insurer Value Maximisation, and Market Frictions', ASTIN Bulletin, vol. 38, pp. 293 - 339, http://dx.doi.org/10.1017/s051503610001518x
    Journal articles | 2008
    Professor Michael Sherris
    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
    Journal articles | 2008
    Professor Michael Sherris
    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
    Journal articles | 2007
    Professor Michael Sherris
    Wu F; Valdez E; Sherris M, 2007, 'Simulating from exchangeable Archimedean copulas', Communications in Statistics: Simulation and Computation, vol. 36, pp. 1019 - 1034, http://dx.doi.org/10.1080/03610910701539781
    Journal articles | 2007
    Professor Michael Sherris
    Furman E; Zitikis R, 2007, '"An Actuarial Premium Pricing Model for Nonnormal Insurance and Financial Risks in Incomplete Markets"', NORTH AMERICAN ACTUARIAL JOURNAL, vol. 11, pp. 174 - +, http://dx.doi.org/10.1080/10920277.2007.10597479
    Journal articles | 2007
    Professor Michael Sherris
    Sherris M, 2007, 'The econometrics of individual risk: Credit, insurance, and marketing', Journal of Economic Literature, vol. 45, pp. 1049 - 1053, http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000252751500018&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=891bb5ab6ba270e68a
    Journal articles | 2007
    Professor Michael Sherris
    Sherris M, 2007, 'An Actuarial Premium Pricing Model for Non-normal Insurance and Financial Risks in Incomplete Markets', North American Actuarial Journal, vol. 11, pp. 119 - 136, http://dx.doi.org/10.1080/10920277.2007.10597440
    Journal articles | 2007
    Professor Michael Sherris
    Sherris M, 2007, 'Book Review: The Econometrics of Individual Risk: Credit, Insurance and Marketing', Journal of Economic Literature, vol. XLV, pp. 1049 - 1053
    Journal articles | 2007
    Professor Michael Sherris
    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
    Journal articles | 2007
    Professor Michael Sherris
    Sherris M; Valdez E; Wu ML, 2007, 'Simlating from Exchangeable Archimedean Copulas', Communications in Statistics - Simulation and Computation, vol. 36, pp. 1019 - 1034
    Journal articles | 2006
    Professor Michael Sherris
    Sherris M; Krvavych Y, 2006, 'Enhancing insurer value through reinsurance optimization', Insurance Mathematics and Economics, vol. 38, pp. 495 - 517, http://dx.doi.org/10.1016/j.insmatheco.2005.11.004
    Journal articles | 2006
    Professor Michael Sherris
    Sherris M, 2006, 'Solvency, Capital Allocation and fair Rate of Return in Insurance', Journal of Risk and Insurance, vol. 73, pp. 71 - 96, http://dx.doi.org/10.1111/j.1365-2966.2006.00166.x
    Journal articles | 2006
    Professor Michael Sherris
    Hamada M; Sherris M; Hoek JVD, 2006, 'Dynamic Portfolio Allocation, the Dual Theory of Choice and Probability Distortion Functions', ASTIN Bulletin, vol. 36, pp. 187 - 217, http://dx.doi.org/10.1017/s0515036100014458
    Journal articles | 2006
    Professor Michael Sherris
    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.36.1.2014149
    Journal articles | 2006
    Professor Michael Sherris
    van der Hoek J; Sherris M, 2006, 'A flexible approach to multivariate risk modelling with a new class of copulas.', INSURANCE MATHEMATICS & ECONOMICS, vol. 39, pp. 398 - 399, http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000242315600010&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=891bb5ab6ba270e68a29b250adbe88d1
    Journal articles | 2006
    Professor Michael Sherris
    Sherris M, 2006, 'Actuarial education and research: A perspective from down under', ASTIN Bulletin, vol. 36, pp. 1 - 3
    Journal articles | 2006
    Professor Michael Sherris
    Sherris M; Mitchell O; Piggott JR, 2006, 'Financial Innovation for an Ageing World', Financial Innovation for an Ageing World
    Journal articles | 2006
    Professor Michael Sherris
    Sherris M; Chandra V, 2006, 'Capital Management and Frictional Costs in Insurance', Australian Actuarial Journal, vol. 12, pp. 399 - 447
    Journal articles | 2006
    Professor Michael Sherris
    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
    Journal articles | 2005
    Professor Michael Sherris
    Sherris M; Sutherland-Wong C, 2005, 'Risk-Based Regulatory Capital for Insurers: A Case Study', Journal of Actuarial Practice, vol. 12, pp. 5 - 45
    Journal articles | 2003
    Professor Michael Sherris
    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/10.1080/1350486032000069580
    Journal articles | 2003
    Professor Michael Sherris
    Sherris M, 2003, 'Economic Valuation: Something Old, Something New', Australian Actuarial Journal, vol. 9, pp. 625 - 665
    Journal articles | 2001
    Professor Michael Sherris
    Landsman Z; Sherris M, 2001, 'Risk measures and insurance premium principles', Insurance: Mathematics and Economics, vol. 29, pp. 103 - 115, http://dx.doi.org/10.1016/S0167-6687(01)00076-2
    Journal articles | 2001
    Professor Michael Sherris
    Van Der Hoek J; Sherris M, 2001, 'A class of non-expected utility risk measures and implications for asset allocations', Insurance: Mathematics and Economics, vol. 28, pp. 69 - 82, http://dx.doi.org/10.1016/S0167-6687(00)00067-6
    Journal articles | 2001
    Professor Michael Sherris
    Sherris M; Landsman Z, 2001, 'Risk Measures and Insurance Premium Principles, Insurance: Mathematics and Economics', Insurance Mathematics and Economics, pp. 103 - 115
    Journal articles | 2001
    Professor Michael Sherris
    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
    Journal articles | 2000
    Professor Michael Sherris
    Sherris M; Pliska S; Bielecki T, 2000, 'Risk Sensitive Asset Allocation', Journal of Economic Dynamics and Control, vol. 24, pp. 1145 - 1177, http://dx.doi.org/10.1016/S0165-1889(99)00017-2
    Journal articles | 1999
    Professor Michael Sherris
    Sherris M, 1999, '“term structure models: A perspective from the long rate”, yong yao, july, 1999', North American Actuarial Journal, vol. 3, pp. 138 - 138, http://dx.doi.org/10.1080/10920277.1999.10595840
    Journal articles | 1999
    Professor Michael Sherris
    Sherris M; Tedesco L; Zehnwirth B, 1999, 'Investment Returns and Inflation Models: Some Australian Evidence', British Actuarial Journal, pp. 237 - 267
    Journal articles | 1999
    Professor Michael Sherris
    Sherris M, 1999, 'Term Structure Models: A Perspective from the Long Rate', North American Actuarial Journal, pp. 138 - 138
    Journal articles | 1999
    Professor Michael Sherris
    Sherris M, 1999, 'Long-Term Yield Rates for Actuarial Valuations', North American Actuarial Journal, pp. 22 - 23
    Journal articles | 1998
    Professor Michael Sherris
    Sherris M, 1998, 'Review of Financial Calculus by M. Baxter and A. Rennie', North American Actuarial Journal, vol. 2, pp. 134 - 135
    Journal articles | 1998
    Professor Michael Sherris
    Sherris M, 1998, 'Discussion of `Presidential Address`', Transactions of the Institute of Actuaries of Australia -- 1997, pp. 71 - 74
    Journal articles | 1998
    Professor Michael Sherris
    Sherris M, 1998, 'Actuarial Model Assumptions for Inflation, Equity Returns, and Interest Rates', Journal of Actuarial Practice, pp. 227 - 253
    Journal articles | 1997
    Professor Michael Sherris
    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.00018
    Journal articles | 1997
    Professor Michael Sherris
    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/10.1080/10920277.1997.10595601
    Journal articles | 1980
    Professor Michael Sherris
    Pollard JH; Sherris M, 1980, 'Application of matrix methods to pension funds', Scandinavian Actuarial Journal, vol. 1980, pp. 77 - 95, http://dx.doi.org/10.1080/03461238.1980.10408642
  • Working Papers | 2017
    Professor Michael Sherris
    Alonso-García J; Sherris M, 2017, One Size Fits All? Drawdown Structures in Australia and the Netherlands, http://dx.doi.org10.2139/ssrn.3025064
    Working Papers | 2009
    Professor Michael Sherris
    Sherris M; Njenga C, 2009, Longevity Risk and the Econometric Analysis of Mortality Trends and Volatility, http://dx.doi.org
    Working Papers | 2009
    Professor Michael Sherris
    Sherris M; Zhang BW, 2009, Economic Scenario Generation with Regime Switching Models, http://dx.doi.org
    Conference Papers | 2006
    Professor Michael Sherris
    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
    Working Papers | 2005
    Professor Michael Sherris
    Sherris M; Landsman Z, 2005, Pricing in the Multi-Line Insurer with Dependent Gamma Distributed Risks allowing for Frictional Costs of Capital, http://dx.doi.org
    Conference Papers | 2004
    Professor Michael Sherris
    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/10.1080/10920277.2006.10596247
    Conference Papers | 2003
    Professor Michael Sherris
    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
    Conference Papers | 2002
    Professor Michael Sherris
    Sherris M, 2002, 'Contingent Claim Pricing using Probability Distortion Operators', in AFIR, AFIR, Cancun, Mexico, presented at AFIR, Cancun, Mexico
    Conference Papers | 2001
    Professor Michael Sherris
    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
    Conference Papers | 2000
    Professor Michael Sherris
    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, -
    Conference Papers | 1999
    Professor Michael Sherris
    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
    Conference Papers | 1994
    Professor Michael Sherris
    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/10.2307/253821

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