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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
the depen~ce of the a~cumula~on benefit on the two s ' to¢~ rote v~iabl~, salary and fund earnings rite ... the liabili~.s rather than the ~uazial value. The valuation of actuarial liabili~.s using option pricing ...- 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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Stochastic Investment Models: Unit Roots, Cointegration, State Space and Garch Models for Australian Data
URL ht tp : / /www.ocs .mq.edu .au / -msher r i s /pubs .h tml Acknowledgment: The authors would ... level as interest rates rose during the 1970's and 1980's. Models of interest rates that incorporate mean-reversion ...- 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