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A managed volatility investment strategy for pooled annuity products

Li, Shuanglan; Labit Hardy, Héloïse; Sherris, Michael; … - In: Risks : open access journal 10 (2022) 6, pp. 1-30

Pooled annuity products, where the participants share systematic and idiosyncratic mortality risks as well as investment returns and risk, provide an attractive and effective alternative to traditional guaranteed life annuity products. While longevity risk sharing in pooled annuities has...

Persistent link: https://www.econbiz.de/10013363078

An evolutionary strategy for multiobjective reinsurance optimization

Román, Sebastián; Villegas, Andrés M.; Villegas, Juan G. - In: Journal of the Operational Research Society 69 (2018) 10, pp. 1661-1677

Persistent link: https://www.econbiz.de/10012229185

[Rezension von: Gourieroux, Christian; Jasiak, Joann, The econometrics of individual risk, credit, insurance, and marketing]

Sherris, Michael - In: Journal of economic literature 45 (2007) 4, pp. 1049-1053

Persistent link: https://www.econbiz.de/10003632655

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

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

Pricing and solvency of value-maximizing life annuity providers

Nirmalendran, Maathumai; Sherris, Michael; Hanewald, Katja - In: Astin bulletin : the journal of the International … 44 (2014) 1, pp. 39-61

Persistent link: https://www.econbiz.de/10010240690

Consistent dynamic affine mortality models for longevity risk applications

Blackburn, Craig; Sherris, Michael - In: Insurance / Mathematics & economics 53 (2013) 1, pp. 64-73

Persistent link: https://www.econbiz.de/10009785421

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

Individual post-retirement longevity risk management under systematic mortality risk

Hanewald, Katja; Piggott, John; Sherris, Michael - In: Insurance / Mathematics & economics 52 (2013) 1, pp. 87-97

Persistent link: https://www.econbiz.de/10009718994

Longevity risk, cost of capital and hedging for life insurers under Solvency II

Meyricke, Ramona; Sherris, Michael - In: Insurance / Mathematics & economics 55 (2014), pp. 147-155

Persistent link: https://www.econbiz.de/10010366194