Michael Sherris

Continuous-time multi-cohort mortality modelling with affine processes

Publisher: Informa UK Limited

Date: 06-12-2020

DOI: 10.1080/03461238.2019.1696223

The Investigation of a Forward-Rate Mortality Framework

Publisher: MDPI AG

Date: 06-2019

DOI: 10.3390/RISKS7020061

Abstract: 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 advantage of being applied to financial pricing and the management of longevity risk. Olivier and Jeffery (2004) and Smith (2005) proposed a model based on a forward-rate mortality framework with stochastic factors driven by univariate gamma random variables irrespective of age or duration. We assess and further develop this model. We generalize random shocks from a univariate gamma to a univariate Tweedie distribution and allow for the distributions to vary by age. Furthermore, since dependence between ages is an observed characteristic of mortality rate improvements, we formulate a multivariate framework using copulas. We find that dependence increases with age and introduce a suitable covariance structure, one that is related to the notion of ax minimum. The resulting model provides a more realistic basis for capturing the risk of mortality improvements and serves to enhance longevity risk management for pension and insurance funds.

Systematic mortality risk: An analysis of guaranteed lifetime withdrawal benefits in variable annuities

Publisher: Elsevier BV

Date: 09-2014

DOI: 10.1016/J.INSMATHECO.2014.06.010

To borrow or insure? Long term care costs and the impact of housing

Publisher: Elsevier BV

Date: 03-2019

DOI: 10.1016/J.INSMATHECO.2018.11.006

Modelling Mortality with Common Stochastic Long-Run Trends

Publisher: Springer Science and Business Media LLC

Date: 10-2011

DOI: 10.1057/GPP.2011.19

PORTFOLIO INSURANCE STRATEGIES FOR A TARGET ANNUITIZATION FUND

Publisher: Cambridge University Press (CUP)

Date: 07-2020

DOI: 10.1017/ASB.2020.24

Abstract: The transition from defined benefit to defined contribution (DC) pension schemes has increased the interest in target annuitization funds that aim to fund a minimum level of retirement income. Prior literature has studied the optimal investment strategies for DC funds that provide minimum guarantees, but far less attention has been given to portfolio insurance strategies for DC pension funds focusing on retirement income targets. We evaluate the performance of option-based and constant proportion portfolio insurance strategies for a DC fund that targets a minimum level of inflation-protected annuity income at retirement. We show how the portfolio allocation to an equity fund varies depending on the member’s age upon joining the fund, displaying a downward trend through time for members joining the fund before ages in the mid-30s. We demonstrate how both portfolio insurance strategies provide strong protection against downside equity risk in financing a minimum level of retirement income. The option-based strategy generally leads to higher accumulated savings at retirement, whereas the constant proportion strategy provides better downside risk protection robust to equity market jumps/volatilities.

Individual post-retirement longevity risk management under systematic mortality risk

Publisher: Elsevier BV

Date: 2013

DOI: 10.1016/J.INSMATHECO.2012.11.002

An innovative design of flexible, bequest-enhanced life annuity with natural hedging

Publisher: Informa UK Limited

Date: 09-11-2022

DOI: 10.1080/03461238.2021.1997795

A Multi-state Model of Functional Disability and Health Status in the Presence of Systematic Trend and Uncertainty

Publisher: Informa UK Limited

Date: 24-02-2020

DOI: 10.1080/10920277.2019.1708755

Portfolio management with targeted constant market volatility

Publisher: Elsevier BV

Date: 11-2018

DOI: 10.1016/J.INSMATHECO.2018.09.010

Managing Systematic Mortality Risk in Life Annuities: An Application of Longevity Derivatives

Publisher: MDPI AG

Date: 03-01-2019

DOI: 10.3390/RISKS7010002

Abstract: 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 longevity caps, provide more effective downside protection. A tractable stochastic mortality model with age dependent drift and volatility is developed and analytical formulae for prices of longevity derivatives are derived. The model is calibrated using Australian mortality data. The hedging of the life annuity portfolio is comprehensively assessed for a range of assumptions for the longevity risk premium, the term to maturity of the hedging instruments, as well as the size of the underlying annuity portfolio. The results compare the risk management benefits and costs of longevity derivatives with linear and nonlinear payoff structures.

Portfolio management for insurers and pension funds and COVID-19: targeting volatility for equity, balanced, and target-date funds with leverage constraints

Publisher: Cambridge University Press (CUP)

Date: 11-07-2023

DOI: 10.1017/S1748499523000143

Cohort and value-based multi-country longevity risk management

Publisher: Informa UK Limited

Date: 14-01-2020

DOI: 10.1080/03461238.2019.1711450

The Impact of Systematic Trend and Uncertainty on Mortality and Disability in a Multistate Latent Factor Model for Transition Rates

Publisher: Informa UK Limited

Date: 02-10-2017

DOI: 10.1080/10920277.2017.1330157

Mortality forecasting using stacked regression ensembles

Publisher: Informa UK Limited

Date: 16-11-2021

DOI: 10.1080/03461238.2021.1999316

Estimation, Comparison, and Projection of Multifactor Age–Cohort Affine Mortality Models

Publisher: Informa UK Limited

Date: 13-10-2023

DOI: 10.1080/10920277.2023.2238793

Postcode-Level House Price Models for Banking and Insurance Applications

Publisher: Wiley

Date: 21-06-2013

DOI: 10.1111/1475-4932.12045

Forecasting Mortality Trends Allowing for Cause-of-Death Mortality Dependence

Publisher: Informa UK Limited

Date: 02-10-2013

DOI: 10.1080/10920277.2013.838141

Linkage Projects - Grant ID: LP110100540

Start Date: 03-2011

End Date: 12-2013

Amount: $137,420.00

Funder: Australian Research Council

Linkage Projects - Grant ID: LP140100104

Start Date: 01-2015

End Date: 09-2018

Amount: $493,000.00

Funder: Australian Research Council

Discovery Projects - Grant ID: DP0208912

Start Date: 02-2002

End Date: 12-2005

Amount: $120,000.00

Funder: Australian Research Council

Linkage Projects - Grant ID: LP150100347

Start Date: 11-2015

End Date: 12-2018

Amount: $130,000.00

Funder: Australian Research Council

Linkage Projects - Grant ID: LP0883398

Start Date: 06-2009

End Date: 03-2015

Amount: $1,289,946.00

Funder: Australian Research Council

Discovery Projects - Grant ID: DP0663090

Start Date: 2006

End Date: 12-2009

Amount: $260,000.00

Funder: Australian Research Council

Discovery Projects - Grant ID: DP0345036

Start Date: 04-2003

End Date: 12-2006

Amount: $165,000.00

Funder: Australian Research Council

Discovery Projects - Grant ID: DP210101195

Start Date: 06-2021

End Date: 05-2024

Amount: $386,139.00

Funder: Australian Research Council

Research Networks - Grant ID: RN0460246

Start Date: 08-2005

End Date: 11-2009

Amount: $1,750,000.00

Funder: Australian Research Council

ARC Centres Of Excellence - Grant ID: CE1101029

Start Date: 03-2011

End Date: 12-2017

Amount: $12,700,000.00

Funder: Australian Research Council

ARC Centres Of Excellence - Grant ID: CE170100005

Start Date: 09-2017

End Date: 09-2024

Amount: $27,250,000.00

Funder: Australian Research Council

Discovery Projects - Grant ID: DP170102275

Start Date: 2017

End Date: 07-2020

Amount: $350,000.00

Funder: Australian Research Council

Discovery Projects - Grant ID: DP0556775

Start Date: 2005

End Date: 06-2008

Amount: $240,000.00

Funder: Australian Research Council