Zobrazeno 1 - 10
of 157
pro vyhledávání: '"Michael Sherris"'
Publikováno v:
Risks, Vol 10, Iss 9, p 183 (2022)
Affine mortality models are well suited for theoretical and practical application in pricing and risk management of mortality risk. They produce consistent, closed-form stochastic survival curves allowing for the efficient valuation of mortality-link
Externí odkaz:
https://doaj.org/article/da9b8368856b43398cf9581315950659
Publikováno v:
Risks, Vol 10, Iss 6, p 121 (2022)
Pooled annuity products, where the participants share systematic and idiosyncratic mortality risks as well as investment returns and risk, provide an attractive and effective alternative to traditional guaranteed life annuity products. While longevit
Externí odkaz:
https://doaj.org/article/5bd41ddef67447c8ad7ae9e9fdf553b5
Publikováno v:
Risks, Vol 7, Iss 2, p 61 (2019)
Stochastic mortality models have been developed for a range of applications from demographic projections to financial management. Financial risk based models built on methods used for interest rates and apply these to mortality rates. They have the a
Externí odkaz:
https://doaj.org/article/8b83e32ed3044d5fae8539217358b87a
Publikováno v:
Risks, Vol 7, Iss 1, p 2 (2019)
This paper assesses the hedge effectiveness of an index-based longevity swap and a longevity cap for a life annuity portfolio. Although longevity swaps are a natural instrument for hedging longevity risk, derivatives with non-linear pay-offs, such as
Externí odkaz:
https://doaj.org/article/22be2bac2da14eb8b5dcf6cdb3cec4bc
Autor:
Yang Chang, Michael Sherris
Publikováno v:
Risks, Vol 6, Iss 1, p 10 (2018)
The design and development of post-retirement income products require the assessment of longevity risk, as well as a basis for hedging these risks. Most indices for longevity risk are age-period based. We develop and assess a cohort-based value index
Externí odkaz:
https://doaj.org/article/d849e27f8e6946e49d2d3ce6de02803e
Publikováno v:
Revista Contabilidade & Finanças, Vol 19, Iss 46, Pp 86-107 (2008)
Financial and insurance theories explain that large widely-held corporations manage corporate risks if doing so is costective to reduce frictional costs such as taxes, agency costs and financial distress costs. A large number of previous empirical st
Externí odkaz:
https://doaj.org/article/8fe60847267d42cf9f1ef7c071cc914e
Autor:
Changyu Liu, Michael Sherris
Publikováno v:
Risks, Vol 5, Iss 1, p 19 (2017)
Designing post retirement benefits requires access to appropriate investment instruments to manage the interest rate and longevity risks. Post retirement benefits are increasingly taken as a form of income benefit, either as a pension or an annuity.
Externí odkaz:
https://doaj.org/article/f23c92fe50ea49c3a1f880824768718a
Autor:
Michael Sherris
Publikováno v:
Money and Capital Markets ISBN: 9781003416517
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::623927c7ae2ef67c2ad8ef9cc2a9e777
https://doi.org/10.4324/9781003416517-8
https://doi.org/10.4324/9781003416517-8
Autor:
Michael Sherris
Publikováno v:
Money and Capital Markets ISBN: 9781003416517
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::81848a019c11d21734c8888e1f549df7
https://doi.org/10.4324/9781003416517-9
https://doi.org/10.4324/9781003416517-9