publications

journal articles

Xu, M., Alonso-García, J., Sherris, M. & Shao, A. (2023), Insuring longevity risk and long-term care: Bequest, housing and liquidity. Insurance: Mathematics and Economics, 111, 121-141.  doi:10.1016/j.insmatheco.2023.03.004.

• Previously circulated under the title 'Demand For Annuities and Long Term Care Insurance with Recursive Utility: Impact of Housing'.

Fu, Y., Sherris, M. & Xu, M. (2022), Functional disability with systematic trends and uncertainty: A comparison between China and the US. Annals of Actuarial Science, 16(2), 289-318. doi:10.1017/S1748499521000233.

• The replicating code of the paper is hosted here.

Zhou, Y., Sherris, M., Ziveyi J. & Xu, M. (2022), An innovative design of flexible, bequest-enhanced life annuity with natural hedging. Scandinavian Actuarial Journal, 2022(6), 488–509. doi:10.1080/03461238.2021.1997795.

Xu, M., Sherris, M. & Shao, A. (2020), Portfolio insurance strategies for a target annuitization fund. ASTIN Bulletin, 50(3), 873-912. doi:10.1017/asb.2020.24.

• • • The paper is featured on BusinessThink, a digital knowledge exchange platform hosted by the UNSW Business School. 

Xu, M., Sherris, M. & Meyricke, R. (2019), Systematic mortality improvement trends and mortality heterogeneity: Insights from individual level HRS data. North American Actuarial Journal, 23(2), 197-219. doi: 10.1080/10920277.2018.1513369.

research monographs

Xu, M., Gu K. & Shao, A. W. (2023), The role of insurers in developing the third pillar of China’s pension system. Society of Actuaries Research Institute Aging and Retirement Research Reports. https://www.soa.org/resources/research-reports/2023/insurers-developing-third-pillar/.

Xu, M., Alonso-García J., Sherris, M. & Shao, A. W. (2022), Longevity risk and long-term care: Annuities, long term care insurance, bequest, housing and liquidity. Retirement Income Institute Original Research-#011-2022. https://www.protectedincome.org/research/longevity-risk-and-long-term-care-annuities-long-term-care-insurance-bequest-housing-and-liquidity/

Working Papers

Modeling multi-state health transitions with Hawkes processes (with Jiwon Jung, Kiseop Lee). Working paper available at SSRN. 

Modeling longevity and disability with generalized autoregressive score models (with Yang Lu, Pengyu Wei). 

Housing and retirement financing: Optimal time to buy a residential home (with Adam W. Shao, Michael Sherris).

Retirement planning with systematic disability and mortality risk (with Pengyu Wei, Michael Sherris).