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Developments in Multi-Factor and Multi-Cohort Continuous Time Mortality Modelling
Nelson-Seigel term structure model in arbitrage-free dynamic implementation (Christensen et al., 2011) Mortality ... References I Biffis, E. (2005). Affine processes for dynamic mortality and actuarial valuations. Insurance: ...- 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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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 ... mortality evolution is adopted, along with a dynamic Nelson-Siegel model for the dynamics of interest ...- 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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Abstract for Causes-of-Death Mortality: What Do We Know on Their Dependence?
Abstract for Causes-of-Death Mortality: What Do We Know on Their Dependence? Abstract: Over ... Correction Models (VECM), to model multivariate dynamic systems including time dependency between economic ...- Authors: Society of Actuaries, Michael Sherris
- Date: Jan 2014
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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 ... Correction Models (VECM), to model multivariate dynamic systems including time dependency between economic ...- Authors: Society of Actuaries, Michael Sherris
- Date: Jan 2014
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Stochastic Investment Models: Unit Roots, Cointegration, State Space and Garch Models for Australian Data
Stochastic Investment Models: Unit Roots, Cointegration, State Space and Garch Models ... Muscatelli, V. A. and S. Hum. (1992). Cointegration and Dynamic Time Series Models, Journal of Economic Surveys ...- 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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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 ... prepayment option is to use an im- munization or dynamic hedging approach. Hedge instruments are chosen ...- 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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Contingent Claims Valuation of 'Greater of' Benefits
path-dependent problems but does not capture any optimal dynamic aspects of the valuation. .rc.o~m_~L~mm~ This ... withdraw or retire could be assumed to be based on a dynamic optimisation dec~'on. Stw.h behaviour cotdd be ...- Authors: Michael Sherris
- Date: Jan 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Pensions & Retirement>Hybrid plans