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The AFIR-ERM Section of the International Actuarial Association (IAA)
The AFIR-ERM Section of the International Actuarial Association (IAA) In this issue, we’re pleased to ... initiatives of AFIR- ERM on the risk management space. Please fi nd useful information in the article below ...- Authors: Michael Sherris
- Date: Aug 2018
- Competency: Strategic Insight and Integration>Effective decision-making; Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Innovative solutions; Technical Skills & Analytical Problem Solving>Problem analysis and definition; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Risk Management
- Topics: Enterprise Risk Management
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Capital Allocation in Insurance: Economic Capital and the Allocation of the Default Option Value
Allocation in Insurance: Economic Capital and the Allocation of the Default Option Value This is a presentation ... Conference, 8/5-7/2004, University of Iowa in Iowa City, Iowa. The aim of this paper is to consider economic ...- 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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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 ... structure model of interest rates and illustrates the application of such a model to the valuation of loans with ...- 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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Stochastic Investment Models: Unit Roots, Cointegration, State Space and Garch Models for Australian Data
for Australian Data The main aim of this paper is to apply some of the techniques of modern time series ... investment data in order to better understand the nature of long run relationships in investment series ...- 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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Investigating Causal Mortality using the Multinomial Logistic Model
Investigating Causal Mortality using the Multinomial Logistic Model This abstract describes a paper ...- Authors: Daniel Alai, Séverine Arnold, Michael Sherris
- Date: Dec 2012
- Competency: External Forces & Industry Knowledge
- Topics: Experience Studies & Data>Mortality
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Contingent Claims Valuation of 'Greater of' Benefits
Contingent Claims Valuation of 'Greater of' Benefits Pension funds are usually either defined ... years, for a number of reasons, some pension funds have offered the 'greater of,' these two benefits ...- 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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Causes-of-Death Mortality: What Do We Know on Their Dependence?
Causes-of-Death Mortality: What Do We Know on Their Dependence? Over the last century, the assumption ... assumption usually made was that causes of death are independent, although it is well-known that dependencies ...- 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 ... Michael Sherris, Andres M Villegas for Session 1A of the January 13-15, 2020 Living to 100 Symposium in ...- Authors: Jonathan Ziveyi, Michael Sherris, Andres Mauricio Villegas Ramirez
- Date: Oct 2020
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Topics: Demography
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Multi-State Actuarial Models of Functional Disability
Multi-State Actuarial Models of Functional Disability This abstract describes a paper that applies generalized ... for individuals in old age based on a large sample of U.S. elderly. 6442453371 2/1/2014 12:00:00 AM ...- Authors: JOELLE H. FONG, Wenqiang Shao, Michael Sherris
- Date: Feb 2014
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Pricing and Hedging Synthetic CDO Tranche Spread Risks
Spread Risks This presentation examines the measurement and hedging of synthetic CDO tranche spread risks ... based on market spread data following the sub-prime crisis. A range of methods proposed for pricing bespoke ...- Authors: Michael Sherris, Jack Jie Ding
- Date: Jul 2009
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments