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Sherris, Michael

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Author ID: sherris.michael Recent zbMATH articles by "Sherris, Michael"
Published as: Sherris, M.; Sherris, Michael
Documents Indexed: 43 Publications since 1980

Publications by Year

Citations contained in zbMATH

35 Publications have been cited 205 times in 169 Documents Cited by Year
Securitization, structuring and pricing of longevity risk. Zbl 1231.91251
Wills, Samuel; Sherris, Michael
20
2010
Risk sensitive asset allocation. Zbl 0951.90051
Bielecki, T. R.; Pliska, S. R.; Sherris, M.
15
2000
Consistent dynamic affine mortality models for longevity risk applications. Zbl 1284.91208
Blackburn, Craig; Sherris, Michael
14
2013
Systematic mortality risk: an analysis of guaranteed lifetime withdrawal benefits in variable annuities. Zbl 1304.91103
Fung, Man Chung; Ignatieva, Katja; Sherris, Michael
13
2014
Simulating from exchangeable Archimedean copulas. Zbl 1126.62041
Wu, Florence; Valdez, Emiliano; Sherris, Michael
12
2007
Risk measures and insurance premium principles. Zbl 1055.91053
Landsman, Zinoviy; Sherris, Michael
11
2001
The determinants of mortality heterogeneity and implications for pricing annuities. Zbl 1304.91123
Meyricke, Ramona; Sherris, Michael
9
2013
Lifetime dependence modelling using a truncated multivariate gamma distribution. Zbl 1284.91196
Alai, Daniel H.; Landsman, Zinoviy; Sherris, Michael
9
2013
Rethinking age-period-cohort mortality trend models. Zbl 1401.91088
Alai, Daniel H.; Sherris, Michael
8
2014
Contingent claim pricing using probability distortion operators: methods from insurance risk pricing and their relationship to financial theory. Zbl 1064.91043
Hamada, Mahmoud; Sherris, Michael
8
2003
A class of non-expected utility risk measures and implications for asset allocations. Zbl 1054.91052
van der Hoek, John; Sherris, Michael
8
2001
Multivariate Tweedie lifetimes: the impact of dependence. Zbl 1401.91087
Alai, Daniel H.; Landsman, Zinoviy; Sherris, Michael
7
2016
Individual post-retirement longevity risk management under systematic mortality risk. Zbl 1291.91113
Hanewald, Katja; Piggott, John; Sherris, Michael
7
2013
Product pricing and solvency capital requirements for long-term care insurance. Zbl 1401.91192
Shao, Adam W.; Sherris, Michael; Fong, Joelle H.
5
2017
Interest rate risk management: developments in interest rate term structure modeling for risk management and valuation of interest-rate-dependent cash flows. Zbl 1080.60507
Ang, Andrew; Sherris, Michael
5
1997
Forecasting disability: application of a frailty model. Zbl 1401.91137
Fong, Joelle H.; Sherris, Michael; Yap, James
4
2017
International cause-specific mortality rates: new insights from a cointegration analysis. Zbl 1390.62332
Arnold-Gaille, Séverine; Sherris, Michael
4
2016
A multivariate Tweedie lifetime model: censoring and truncation. Zbl 1348.62230
Alai, Daniel H.; Landsman, Zinoviy; Sherris, Michael
4
2015
Reverse mortgage pricing and risk analysis allowing for idiosyncratic house price risk and longevity risk. Zbl 1348.91179
Shao, Adam W.; Hanewald, Katja; Sherris, Michael
4
2015
Developing equity release markets: risk analysis for reverse mortgages and home reversions. Zbl 1412.91028
Alai, Daniel H.; Chen, Hua; Cho, Daniel; Hanewald, Katja; Sherris, Michael
4
2014
Enterprise risk management, insurer value maximisation, and market frictions. Zbl 1169.91393
Yow, Shuan; Sherris, Michael
4
2008
Modelling lifetime dependence for older ages using a multivariate Pareto distribution. Zbl 1371.91074
Alai, Daniel H.; Landsman, Zinoviy; Sherris, Michael
3
2016
Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options. Zbl 1369.91195
Shen, Yang; Sherris, Michael; Ziveyi, Jonathan
3
2016
Multistate actuarial models of functional disability. Zbl 1414.91185
Fong, Joelle H.; Shao, Adam W.; Sherris, Michael
3
2015
Pricing European options on deferred annuities. Zbl 1284.91557
Ziveyi, Jonathan; Blackburn, Craig; Sherris, Michael
3
2013
Dynamic portfolio allocation, the dual theory of choice and probability distortion functions. Zbl 1162.91376
Hamada, Mahmoud; Sherris, Michael; Der Hoek, John Van
3
2006
Lifetime asset allocation with idiosyncratic and systematic mortality risks. Zbl 1416.91221
Shen, Yang; Sherris, Michael
2
2018
Longevity risk management and shareholder value for a life annuity business. Zbl 1390.91161
Blackburn, Craig; Hanewald, Katja; Olivieri, Annamaria; Sherris, Michael
2
2017
Causes-of-death mortality: what do we know on their dependence? Zbl 1414.91158
Arnold-Gaille, Séverine; Sherris, Michael
2
2015
Longevity risk, cost of capital and hedging for life insurers under Solvency II. Zbl 1296.91167
Meyricke, Ramona; Sherris, Michael
2
2014
Pricing and solvency of value-maximizing life annuity providers. Zbl 1284.91260
Nirmalendran, Maathumai; Sherris, Michael; Hanewald, Katja
2
2014
Enhancing insurer value through reinsurance optimization. Zbl 1168.91415
Krvavych, Yuriy; Sherris, Michael
2
2006
To borrow or insure? Long term care costs and the impact of housing. Zbl 1419.91383
Shao, Adam W.; Chen, Hua; Sherris, Michael
1
2019
Forecasting mortality trends allowing for cause-of-death mortality dependence. Zbl 1412.91218
Arnold-Gaille, Séverine; Sherris, Michael
1
2013
Application of matrix methods to pension funds. Zbl 0431.62067
Pollard, J. H.; Sherris, M.
1
1980
To borrow or insure? Long term care costs and the impact of housing. Zbl 1419.91383
Shao, Adam W.; Chen, Hua; Sherris, Michael
1
2019
Lifetime asset allocation with idiosyncratic and systematic mortality risks. Zbl 1416.91221
Shen, Yang; Sherris, Michael
2
2018
Product pricing and solvency capital requirements for long-term care insurance. Zbl 1401.91192
Shao, Adam W.; Sherris, Michael; Fong, Joelle H.
5
2017
Forecasting disability: application of a frailty model. Zbl 1401.91137
Fong, Joelle H.; Sherris, Michael; Yap, James
4
2017
Longevity risk management and shareholder value for a life annuity business. Zbl 1390.91161
Blackburn, Craig; Hanewald, Katja; Olivieri, Annamaria; Sherris, Michael
2
2017
Multivariate Tweedie lifetimes: the impact of dependence. Zbl 1401.91087
Alai, Daniel H.; Landsman, Zinoviy; Sherris, Michael
7
2016
International cause-specific mortality rates: new insights from a cointegration analysis. Zbl 1390.62332
Arnold-Gaille, Séverine; Sherris, Michael
4
2016
Modelling lifetime dependence for older ages using a multivariate Pareto distribution. Zbl 1371.91074
Alai, Daniel H.; Landsman, Zinoviy; Sherris, Michael
3
2016
Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options. Zbl 1369.91195
Shen, Yang; Sherris, Michael; Ziveyi, Jonathan
3
2016
A multivariate Tweedie lifetime model: censoring and truncation. Zbl 1348.62230
Alai, Daniel H.; Landsman, Zinoviy; Sherris, Michael
4
2015
Reverse mortgage pricing and risk analysis allowing for idiosyncratic house price risk and longevity risk. Zbl 1348.91179
Shao, Adam W.; Hanewald, Katja; Sherris, Michael
4
2015
Multistate actuarial models of functional disability. Zbl 1414.91185
Fong, Joelle H.; Shao, Adam W.; Sherris, Michael
3
2015
Causes-of-death mortality: what do we know on their dependence? Zbl 1414.91158
Arnold-Gaille, Séverine; Sherris, Michael
2
2015
Systematic mortality risk: an analysis of guaranteed lifetime withdrawal benefits in variable annuities. Zbl 1304.91103
Fung, Man Chung; Ignatieva, Katja; Sherris, Michael
13
2014
Rethinking age-period-cohort mortality trend models. Zbl 1401.91088
Alai, Daniel H.; Sherris, Michael
8
2014
Developing equity release markets: risk analysis for reverse mortgages and home reversions. Zbl 1412.91028
Alai, Daniel H.; Chen, Hua; Cho, Daniel; Hanewald, Katja; Sherris, Michael
4
2014
Longevity risk, cost of capital and hedging for life insurers under Solvency II. Zbl 1296.91167
Meyricke, Ramona; Sherris, Michael
2
2014
Pricing and solvency of value-maximizing life annuity providers. Zbl 1284.91260
Nirmalendran, Maathumai; Sherris, Michael; Hanewald, Katja
2
2014
Consistent dynamic affine mortality models for longevity risk applications. Zbl 1284.91208
Blackburn, Craig; Sherris, Michael
14
2013
The determinants of mortality heterogeneity and implications for pricing annuities. Zbl 1304.91123
Meyricke, Ramona; Sherris, Michael
9
2013
Lifetime dependence modelling using a truncated multivariate gamma distribution. Zbl 1284.91196
Alai, Daniel H.; Landsman, Zinoviy; Sherris, Michael
9
2013
Individual post-retirement longevity risk management under systematic mortality risk. Zbl 1291.91113
Hanewald, Katja; Piggott, John; Sherris, Michael
7
2013
Pricing European options on deferred annuities. Zbl 1284.91557
Ziveyi, Jonathan; Blackburn, Craig; Sherris, Michael
3
2013
Forecasting mortality trends allowing for cause-of-death mortality dependence. Zbl 1412.91218
Arnold-Gaille, Séverine; Sherris, Michael
1
2013
Securitization, structuring and pricing of longevity risk. Zbl 1231.91251
Wills, Samuel; Sherris, Michael
20
2010
Enterprise risk management, insurer value maximisation, and market frictions. Zbl 1169.91393
Yow, Shuan; Sherris, Michael
4
2008
Simulating from exchangeable Archimedean copulas. Zbl 1126.62041
Wu, Florence; Valdez, Emiliano; Sherris, Michael
12
2007
Dynamic portfolio allocation, the dual theory of choice and probability distortion functions. Zbl 1162.91376
Hamada, Mahmoud; Sherris, Michael; Der Hoek, John Van
3
2006
Enhancing insurer value through reinsurance optimization. Zbl 1168.91415
Krvavych, Yuriy; Sherris, Michael
2
2006
Contingent claim pricing using probability distortion operators: methods from insurance risk pricing and their relationship to financial theory. Zbl 1064.91043
Hamada, Mahmoud; Sherris, Michael
8
2003
Risk measures and insurance premium principles. Zbl 1055.91053
Landsman, Zinoviy; Sherris, Michael
11
2001
A class of non-expected utility risk measures and implications for asset allocations. Zbl 1054.91052
van der Hoek, John; Sherris, Michael
8
2001
Risk sensitive asset allocation. Zbl 0951.90051
Bielecki, T. R.; Pliska, S. R.; Sherris, M.
15
2000
Interest rate risk management: developments in interest rate term structure modeling for risk management and valuation of interest-rate-dependent cash flows. Zbl 1080.60507
Ang, Andrew; Sherris, Michael
5
1997
Application of matrix methods to pension funds. Zbl 0431.62067
Pollard, J. H.; Sherris, M.
1
1980
all top 5

Cited by 293 Authors

16 Sherris, Michael
8 Ziveyi, Jonathan
6 Alai, Daniel H.
6 Ignatieva, Katja
5 Blake, David
5 Landsman, Zinoviy M.
5 Shao, Adam W.
4 Fuino, Michel
4 Hofert, Marius
4 Milevsky, Moshe Arye
4 Wagner, Joël
4 Zitikis, Ričardas
3 El Karoui, Nicole
3 Jones, Bruce L.
3 Kambarbaeva, G. S.
3 Salisbury, Thomas S.
2 Aivaliotis, Georgios
2 Alonso-García, Jennifer
2 Arnold, Séverine
2 Avanzi, Benjamin
2 Bacinello, Anna Rita
2 Cai, Jun
2 Donnelly, Catherine
2 Dowd, Kevin
2 Feng, Runhuan
2 Fong, Joelle H.
2 Fung, Man Chung
2 Gao, Huan
2 Govorun, Maria
2 Hanewald, Katja
2 Hardy, Héloïse Labit
2 Huang, Huaxiong
2 Jeon, Junkee
2 Jevtić, Petar
2 Kałuszka, Marek
2 Krzeszowiec, Michał
2 Kwak, Minsuk
2 Li, Hong
2 Li, Johnny Siu-Hang
2 Lin, Tzuling
2 Lin, Yijia
2 Liu, Xiaoming
2 Liu, Xinwang
2 Lu, Yang
2 MacMinn, Richard D.
2 Mamon, Rogemar S.
2 Meyricke, Ramona
2 Oguledo, Victor I.
2 Ramsay, Colin M.
2 Regis, Luca
2 Shen, Yang
2 Song, Andrew
2 Tan, Ken Seng
2 Taylor, Greg
2 Tsai, Cary Chi-Liang
2 Vu, Phuong Anh
2 Wong, Bernard
2 Xu, Yajing
2 Yang, Guang
2 Yang, Sharon S.
2 Yao, Jing
1 Albarran, Irene
1 Alonso-González, Pablo J.
1 Anantharam, Venkat
1 Apaydın, Ayşen
1 Arnold-Gaille, Séverine
1 Arribas-Gil, Ana
1 Asekov, A. Z.
1 Bajekal, Madhavi
1 Balbás, Alejandro
1 Balbás, Beatriz
1 Balbás, Raquel
1 Balter, Anne G.
1 Bee, Marco
1 Bernard, Carole
1 Bernhardt, Thomas
1 Blackburn, Craig
1 Blumentritt, Thomas
1 Boado-Penas, María del Carmen
1 Borkar, Vivek Shripad
1 Born, Patricia H.
1 Bouchaud, Jean-Philippe
1 Boumezoued, Alexandre
1 Bravo, Jorge Miguel
1 Brechmann, Eike Christian
1 Bruszas, Sandy
1 Buckner, Dean
1 Burren, Daniel
1 Cairns, Andrew J. G.
1 Cambou, Mathieu
1 Cha, Ji Hwan
1 Chen, An
1 Chen, Hua
1 Cheng, Hung-Wen
1 Chicheportiche, Rémy
1 Choi, Jungmin
1 Choi, Yongrok
1 Choo, Weihao
1 Christiansen, Marcus Christian
1 Chuliá, Helena
...and 193 more Authors
all top 5

Cited in 45 Serials

61 Insurance Mathematics & Economics
19 North American Actuarial Journal
16 Scandinavian Actuarial Journal
11 ASTIN Bulletin
5 Quantitative Finance
5 European Actuarial Journal
3 Moscow University Mathematics Bulletin
3 Journal of Computational and Applied Mathematics
3 European Journal of Operational Research
3 International Journal of Theoretical and Applied Finance
2 Journal of Economic Dynamics & Control
2 Annals of Operations Research
2 Mathematical Finance
2 Decisions in Economics and Finance
2 Asia-Pacific Financial Markets
1 The Canadian Journal of Statistics
1 Scandinavian Journal of Statistics
1 Biometrical Journal
1 Journal of the American Statistical Association
1 Journal of Econometrics
1 Journal of Mathematical Economics
1 Journal of Multivariate Analysis
1 SIAM Journal on Control and Optimization
1 Acta Mathematicae Applicatae Sinica. English Series
1 Computers & Operations Research
1 Economics Letters
1 Japan Journal of Industrial and Applied Mathematics
1 The Annals of Applied Probability
1 Journal of Statistical Computation and Simulation
1 Computational Statistics and Data Analysis
1 Test
1 Journal of Computer and Systems Sciences International
1 Applied Mathematics. Series B (English Edition)
1 Random Operators and Stochastic Equations
1 Applied Mathematical Finance
1 Mathematical Problems in Engineering
1 RAIRO. Operations Research
1 Stochastic Models
1 Stochastics
1 Journal of Statistical Theory and Practice
1 Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik)
1 Involve
1 SIAM Journal on Financial Mathematics
1 Statistics and Computing
1 Journal of Statistical Distributions and Applications

Citations by Year