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Contingent Claims Valuation of 'Greater of' Benefits
Contingent Claims Valuation of 'Greater of' Benefits Pension funds are usually either defined ... design can be valued using contingent claims valuation techniques since it is equivalent to an option ...- Authors: Michael Sherris
- Date: Jan 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Pensions & Retirement>Hybrid plans
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A One-Factor Interest Rate Model and the Valuation of Loans with Prepayment Provisions
A One-Factor Interest Rate Model and the Valuation of Loans with Prepayment Provisions This paper sets ... illustrates the application of such a model to the valuation of loans with prepayment provisions. From the ...- Authors: Michael Sherris
- Date: Jan 1994
- Competency: Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Economic value
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Capital Allocation in Insurance: Economic Capital and the Allocation of the Default Option Value
Equity S +D h V (T )− L (T ) + (L (T )− V (T ))+ i Table 1: Total Insurer Economic Balance Sheet • V is ... (T )− Li (T ) + Li (T ) µ 1− V (T )L(T ) ¶+# Table 2: Internal Balance Sheet for Line of Business i ...- Authors: Michael Sherris, John van der Hoek
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Topics: Finance & Investments>Capital management - Finance & Investments; Finance & Investments>Economic capital; Finance & Investments>Investment strategy - Finance & Investments
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Stochastic Investment Models: Unit Roots, Cointegration, State Space and Garch Models for Australian Data
and economic series was from September 1969. Individual series were available for differing time periods ... non-standard distribution and is compared with the table of critical values found in Fuller (1976, p. 373) ...- Authors: Michael Sherris, Ben Zehnwirth, Leanna Tedesco
- Date: Jan 1997
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Stochastic models
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Developments in Multi-Factor and Multi-Cohort Continuous Time Mortality Modelling
Affine Cohort Mortality Models - Goodness of Fit Table 1: Comparison of Affine Mortality Models The Blackburn-Sherris ... two common factors - parameter estimates shown in Table 2. φ1 -0.14313 φ2 -0.07904 σ1 0.00006 σ2 0.00018 ...- Authors: Michael Sherris
- Date: Apr 2021
- Competency: External Forces & Industry Knowledge
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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Pricing and Hedging Synthetic CDO Tranche Spread Risks
12-22% Index Prices 31.48% 355.7 220 141 69.8 93 Table: Quoted market price of iTraxx Europe tranches at ... 0154 31/1/2007 10.34% 41.59 11.95 5.6 2 23 0.0038 Table: DP = Default probability, calibrated from the Index ...- Authors: Michael Sherris, Jack Jie Ding
- Date: Jul 2009
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments
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Longitudinal Analysis of Mortality Risk Factors
alai@unsw.edu.au 2m.sherris@unsw.edu.au Individual risk factors such as education, marital status ... influence survival probabilities. Data at an individual level is required to assess the relative importance ...- Authors: Michael Sherris, Daniel Alai
- Date: Dec 2012
- Competency: External Forces & Industry Knowledge
- Topics: Experience Studies & Data>Mortality
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Causes-of-Death Mortality: What Do We Know on Their Dependence?
aiming at ensuring consistency between countries (Table (1a)). Under the ICD, the underlying cause of death ... times between 1950 and 2010, from ICD-7 to ICD-10 (Table (1b) presents the dates at which the countries ...- Authors: Society of Actuaries, Michael Sherris
- Date: Jan 2014
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A Value-Based Longevity Index for Hedging Retirement Income Portfolios
A Value-Based Longevity Index for Hedging Retirement Income Portfolios This is A Value-Based Longevity ... studies and projection techniques as well as individual reports on health care, retirement and other ...- Authors: Jonathan Ziveyi, Michael Sherris, Andres Mauricio Villegas Ramirez
- Date: Oct 2020
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Topics: Demography