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Longitudinal Analysis of Mortality Risk Factors
Longitudinal Analysis of Mortality Risk Factors This abstract describes a paper that investigates important ... age mortality using the U.S. health and retirement study. health;retirement planning;mortality;longitudinal ...- Authors: Michael Sherris, Daniel Alai
- Date: Dec 2012
- Competency: External Forces & Industry Knowledge
- Topics: Experience Studies & Data>Mortality
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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 ... separates mortality into component parts in order to analyze observed trends over time. Mortality;Multinomial ...- Authors: Daniel Alai, Séverine Arnold, Michael Sherris
- Date: Dec 2012
- Competency: External Forces & Industry Knowledge
- Topics: Experience Studies & Data>Mortality
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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 the last ... work, VECM are developed for causes-of-death mortality. We analyze the five main causes of death across ...- 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 assumption ... work, VECM are developed for causes-of-death mortality. We analyze the five main causes of death across ...- Authors: Society of Actuaries, Michael Sherris
- Date: Jan 2014
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Developments in Multi-Factor and Multi-Cohort Continuous Time Mortality Modelling
Multi-Factor and Multi-Cohort Continuous Time Mortality Modelling This presentation compares continuous-time ... continuous-time multi-factor affine cohort mortality models and presents estimation results for an affine multi-factor ...- 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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Contingent Claims Valuation of 'Greater of' Benefits
inves~ent guarantees provided in maturit3 bem~flts of life insurance products as first discussed in Boyle and ... pricing has also been applied to the valuation of life insurance policy cash flows. As an example Manim'e ...- 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 Value-Based Longevity Index for Hedging Retirement Income Portfolios
January 2020 Aging and Retirement Mortality and Longevity 2 Copyright © 2020 Society ... longevity hedging techniques relative to standard mortality rate indices currently referenced in financial ...- 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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A One-Factor Interest Rate Model and the Valuation of Loans with Prepayment Provisions
mortgage-backed security. Investment contracts issued by life in- surance companies contain similar options in ... Ritchken [14] examine some of these alternatives and report their computational efficiency. This lattice ...- 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
investment models have applications to pension funds, to life assurance, to general insurance and investment ... available for longer time periods. Tables 4 and 5 report unit root test statistics for these longer time ...- 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