David Blake : Citation Profile

Are you David Blake?

City University

19

H index

40

i10 index

1177

Citations

RESEARCH PRODUCTION:

70

Articles

43

Papers

1

Books

3

Chapters

RESEARCH ACTIVITY:

   36 years (1981 - 2017). See details.
   Cites by year: 32
   Journals where David Blake has often published
   Relations with other researchers
   Recent citing documents: 101.    Total self citations: 54 (4.39 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pbl129
   Updated: 2018-04-21    RAS profile: 2017-08-18    
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Relations with other researchers

Works with:

Tonks, Ian (4)

Authors registered in RePEc who have co-authored more than one work in the last five years with David Blake.

Is cited by:

De Waegenaere, Anja (27)

Mitchell, Olivia (24)

luciano, elisa (16)

Milidonis, Andreas (13)

Menoncin, Francesco (12)

Tsai, Jeffrey (12)

Drew, Michael (11)

Li, Youwei (10)

Loisel, Stéphane (9)

Regis, Luca (9)

Basu, Anup (8)

Cites to:

merton, robert (17)

Dowd, Kevin (15)

Lee, Ronald (15)

Thaler, Richard (15)

Cummins, John (12)

Mitchell, Olivia (12)

Poterba, James (12)

Timmermann, Allan (11)

Brown, Jeffrey (11)

Biffis, Enrico (10)

Kotlikoff, Laurence (10)

Main data

Where David Blake has published?

Journals with more than one article published# docs
Journal of Risk & Insurance11
Insurance: Mathematics and Economics10
The Geneva Papers on Risk and Insurance - Issues and Practice5
Economic Journal4
Applied Financial Economics3
Journal of Economic Dynamics and Control3
ASTIN Bulletin: The Journal of the International Actuarial Association3
Scottish Journal of Political Economy2
The Journal of Business2
Asia-Pacific Journal of Risk and Insurance2
European Economic Review2

Working Papers Series with more than one paper published# docs
MPRA Paper / University Library of Munich, Germany16
Working Papers / Geary Institute, University College Dublin2

Recent works citing David Blake (2018 and 2017)

YearTitle of citing document
2017Picking Funds with Confidence. (2017). Wermers, Russ ; Timmermann, Allan ; Lunde, Asger ; Gronborg, Niels S. In: CREATES Research Papers. RePEc:aah:create:2017-13.

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2018A Parametric Factor Model of the Term Structure of Mortality. (2018). Haldrup, Niels. In: CREATES Research Papers. RePEc:aah:create:2018-06.

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2017Actuarial Applications and Estimation of Extended~CreditRisk$^+$. (2017). Hirz, Jonas ; Shevchenko, Pavel V. ; Schmock, Uwe . In: Papers. RePEc:arx:papers:1505.04757.

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2017Cohort effects in mortality modelling: a Bayesian state-space approach. (2017). Fung, Man Chung ; Shevchenko, Pavel V ; Peters, Gareth W. In: Papers. RePEc:arx:papers:1703.08282.

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2017Sequential Design and Spatial Modeling for Portfolio Tail Risk Measurement. (2017). Ludkovski, Michael ; Risk, James . In: Papers. RePEc:arx:papers:1710.05204.

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2017Asymptotic Analysis for Spectral Risk Measures Parameterized by Confidence Level. (2017). Kato, Takashi. In: Papers. RePEc:arx:papers:1711.07335.

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2018A Unified Modeling Framework for Life and Non-Life Insurance. (2018). Biagini, Francesca ; Zhang, Yinglin . In: Papers. RePEc:arx:papers:1802.07741.

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2018Mortality data reliability in an internal model. (2018). Balland, Fabrice ; Popa, Tom ; Habart, Marine ; Devineau, Laurent ; Boumezoued, Alexandre. In: Papers. RePEc:arx:papers:1803.00464.

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2018Optimal investment-consumption problem post-retirement with a minimum guarantee. (2018). Dadashi, Hassan. In: Papers. RePEc:arx:papers:1803.00611.

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2018Mortality in a heterogeneous population - Lee-Carters methodology. (2018). Jod, Kamil . In: Papers. RePEc:arx:papers:1803.11233.

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2017Design of MySuper default funds: influences and outcomes. (2017). Thorp, Susan ; Smith, Tom ; Warren, Geoffrey J ; Foster, Douglas F ; Donald, Scott M ; Butt, Adam. In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i:1:p:47-85.

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2017Measuring the Performance of the Secondary Market for Life Insurance Policies. (2017). Giaccotto, Carmelo ; Schmutz, Bryan P ; Golec, Joseph . In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:84:y:2017:i:1:p:127-151.

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2017Natural Hedging Strategies for Life Insurers: Impact of Product Design and Risk Measure. (2017). Wong, Andy ; Stevens, Ralph ; Sherris, Michael. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:84:y:2017:i:1:p:153-175.

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2017Semicoherent Multipopulation Mortality Modeling: The Impact on Longevity Risk Securitization. (2017). Li, Johnny Siu-Hang ; Zhou, Rui ; Chan, Wai-Sum. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:84:y:2017:i:3:p:1025-1065.

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2017Single- and Cross-Generation Natural Hedging of Longevity and Financial Risk. (2017). luciano, elisa ; Vigna, Elena ; Regis, Luca. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:84:y:2017:i:3:p:961-986.

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2017Managing Mortality Risk With Longevity Bonds When Mortality Rates Are Cointegrated. (2017). Wong, Tat Wing ; Chiu, Mei Choi . In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:84:y:2017:i:3:p:987-1023.

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2017Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference. (2017). Blake, David ; Morales, Marco. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:84:y:2017:i:s1:p:279-297.

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2017Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference. (2017). Blake, David ; Brockett, Patrick ; MacMinn, Richard ; Morales, Marco. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:84:y:2017:i:s1:p:299-317.

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2017Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference. (2017). Blake, David ; Zhu, Wei ; Golden, Linda L ; Brockett, Patrick L ; Ai, Jing ; Morales, Marco. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:84:y:2017:i:s1:p:319-343.

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2017Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference. (2017). Blake, David ; Arik, Aye ; Shi, Tianxiang ; Lin, Yijia ; Morales, Marco. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:84:y:2017:i:s1:p:367-392.

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2017Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference. (2017). Blake, David ; Sun, Tao ; MacMinn, Richard D ; Chen, Hua ; Morales, Marco. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:84:y:2017:i:s1:p:393-415.

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2017Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference. (2017). Blake, David ; Li, Johnny Siu-Hang ; Zhou, Kenneth Q ; Morales, Marco. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:84:y:2017:i:s1:p:417-437.

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2017Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference. (2017). Blake, David ; Melenberg, Bertrand ; Waegenaere, Anja ; Li, Hong ; Morales, Marco. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:84:y:2017:i:s1:p:459-475.

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2017Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference. (2017). Blake, David ; Wang, Chou-Wen ; Tan, Ken Seng ; Zhu, Wenjun ; Morales, Marco. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:84:y:2017:i:s1:p:477-493.

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2017Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference. (2017). Milidonis, Andreas ; Efthymiou, Maria ; Morales, Marco ; Blake, David. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:84:y:2017:i:s1:p:495-514.

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2017Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference. (2017). Milidonis, Andreas ; Lin, Yijia ; Biffis, Enrico ; Morales, Marco ; Blake, David. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:84:y:2017:i:s1:p:515-532.

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2017Longevity Risk-Sharing Annuities: Partial Indexation in Mortality Experience. (2017). Saisai, Zhang ; Johnny, LI. In: Asia-Pacific Journal of Risk and Insurance. RePEc:bpj:apjrin:v:11:y:2017:i:1:p:30:n:5.

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2017Picking Funds with Confidence. (2017). Wermers, Russ ; Timmermann, Allan G ; Lunde, Asger ; Groenborg, Niels . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11896.

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2017Does it pay to pay performance fees? Empirical evidence from Dutch pension funds. (2017). Broeders, Dirk ; Rijsbergen, David ; van Oord, Arco . In: DNB Working Papers. RePEc:dnb:dnbwpp:561.

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2017Fund-Specific Determinants of Performance: An Empirical Study of Islamic and Conventional Mutual Funds of Pakistan. (2017). Ahmad, Yaqoob ; Khidmat, Waqas Bin ; Sun, Guangguo. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-05-43.

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2017A quantitative comparison of stochastic mortality models on Italian population data. (2017). Carfora, M F ; Orlando, A ; Cutillo, L. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:112:y:2017:i:c:p:198-214.

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2017Retirement spending and biological age. (2017). Salisbury, T S ; Milevsky, M A ; Huang, H. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:84:y:2017:i:c:p:58-76.

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2017On the State and Wealth dependence of risk aversion: An analysis using severance pay allocation. (2017). Rose, Giuseppe ; Ordine, Patrizia. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:156-171.

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2017Learning about individual managers’ performance in UK pension funds: The importance of specialization. (2017). Alda, Mercedes ; Sarto, Jose Luis ; Andreu, Laura. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:654-667.

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2017Evaluating the size of the bootstrap method for fund performance evaluation. (2017). Cheng, Tingting ; Yan, Cheng . In: Economics Letters. RePEc:eee:ecolet:v:156:y:2017:i:c:p:36-41.

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2017Risk-neutral valuation of the non-recourse protection in reverse mortgages: A case study for Korea. (2017). , Joseph. In: Emerging Markets Review. RePEc:eee:ememar:v:30:y:2017:i:c:p:133-154.

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2017The relationship between pension funds and the stock market: Does the aging population of Europe affect it?. (2017). Alda, Mercedes. In: International Review of Financial Analysis. RePEc:eee:finana:v:49:y:2017:i:c:p:83-97.

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2017Hedonic evaluation of the SRI label of mutual funds using matching methodology. (2017). Bilbao-Terol, Amelia ; Caal-Fernandez, Veronica ; Alvarez-Otero, Susana . In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:213-227.

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2017The effects of age pension on retirement drawdown choices. (2017). Wiafe, Osei K ; Chen, John ; Basu, Anup K. In: Finance Research Letters. RePEc:eee:finlet:v:20:y:2017:i:c:p:81-87.

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2017The market for lemmings: The herding behavior of pension funds. (2017). Zinna, Gabriele ; Sarno, Lucio ; Blake, David. In: Journal of Financial Markets. RePEc:eee:finmar:v:36:y:2017:i:c:p:17-39.

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2017Sovereign pension and social security reserve funds: A portfolio analysis. (2017). Dreassi, Alberto ; Paltrinieri, Andrea ; Miani, Stefano. In: Global Finance Journal. RePEc:eee:glofin:v:34:y:2017:i:c:p:43-53.

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2017Existence of optimal consumption strategies in markets with longevity risk. (2017). de Kort, J ; Vellekoop, M H. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:72:y:2017:i:c:p:107-121.

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2017Redistribution of longevity risk: The effect of heterogeneous mortality beliefs. (2017). De Waegenaere, Anja ; Boonen, Tim J ; Norde, Henk. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:72:y:2017:i:c:p:175-188.

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2017Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model. (2017). Li, Danping ; Yi, BO ; Zhao, Hui ; Rong, Ximin . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:72:y:2017:i:c:p:6-20.

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2017Measuring mortality heterogeneity with multi-state models and interval-censored data. (2017). Loisel, Stéphane ; el Karoui, Nicole ; Boumezoued, Alexandre. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:72:y:2017:i:c:p:67-82.

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2017On the effects of changing mortality patterns on investment, labour and consumption under uncertainty. (2017). Ewald, Christian-Oliver ; Zhang, Aihua. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:73:y:2017:i:c:p:105-115.

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2017Intergenerational risk sharing in closing pension funds. (2017). De Waegenaere, Anja ; Boonen, Tim J. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:74:y:2017:i:c:p:20-30.

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2017Optimal hedging with basis risk under mean–variance criterion. (2017). Zhang, Jingong ; Weng, Chengguo ; Tan, Ken Seng. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:75:y:2017:i:c:p:1-15.

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2017Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk. (2017). Chen, Zheng ; Sun, Jingyun ; Zeng, Yan ; Li, Zhongfei. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:75:y:2017:i:c:p:137-150.

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2017Grouped multivariate and functional time series forecasting:An application to annuity pricing. (2017). Shang, Han Lin ; Haberman, Steven . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:75:y:2017:i:c:p:166-179.

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2017Optimal consumption, investment and housing with means-tested public pension in retirement. (2017). Andreasson, Johan G ; Novikov, Alex ; Shevchenko, Pavel V. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:75:y:2017:i:c:p:32-47.

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2017The joint mortality of couples in continuous time. (2017). Jevti, P ; Hurd, T R. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:75:y:2017:i:c:p:90-97.

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2017Mean–variance target-based optimisation for defined contribution pension schemes in a stochastic framework. (2017). Menoncin, Francesco ; Vigna, Elena. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:76:y:2017:i:c:p:172-184.

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2017Longevity-linked assets and pre-retirement consumption/portfolio decisions. (2017). Menoncin, Francesco ; Regis, Luca. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:76:y:2017:i:c:p:75-86.

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2017Evaluation of credit value adjustment in K-forward. (2017). Hao, Xuemiao ; Wei, Linghua ; Liang, Chunli. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:76:y:2017:i:c:p:95-103.

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2017Semi-parametric extensions of the Cairns–Blake–Dowd model: A one-dimensional kernel smoothing approach. (2017). Li, Han ; OHare, Colin . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:77:y:2017:i:c:p:166-176.

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2017A class of random field memory models for mortality forecasting. (2017). Doukhan, P ; Salhi, Y ; Rynkiewicz, J ; Pommeret, D. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:77:y:2017:i:c:p:97-110.

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2017Institutional investors’ allocation to emerging markets: A panel approach to asset demand. (2017). Bonizzi, Bruno. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:47:y:2017:i:c:p:47-64.

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2017Assessing the effects of unconventional monetary policy and low interest rates on pension fund risk incentives. (2017). Nguyen, Duc Khuong ; Paltalidis, Nikos ; Gounopoulos, Dimitrios ; Boubaker, Sabri. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:77:y:2017:i:c:p:35-52.

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2017Skill and luck in private equity performance. (2017). Korteweg, Arthur ; Sorensen, Morten . In: Journal of Financial Economics. RePEc:eee:jfinec:v:124:y:2017:i:3:p:535-562.

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2017The impact of uncertainty on professional exchange rate forecasts. (2017). Czudaj, Robert ; Beckmann, Joscha. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:73:y:2017:i:pb:p:296-316.

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2017Exchange rate expectations since the financial crisis: Performance evaluation and the role of monetary policy and safe haven. (2017). Czudaj, Robert ; Beckmann, Joscha. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:74:y:2017:i:c:p:283-300.

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2017Exchange rate expectations and economic policy uncertainty. (2017). Czudaj, Robert ; Beckmann, Joscha. In: European Journal of Political Economy. RePEc:eee:poleco:v:47:y:2017:i:c:p:148-162.

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2017The impact of the Arab Spring and the Ebola outbreak on African equity mutual fund investor decisions. (2017). Del Giudice, Alfonso ; Paltrinieri, Andrea. In: Research in International Business and Finance. RePEc:eee:riibaf:v:41:y:2017:i:c:p:600-612.

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2017Performance persistence in Chinese securities investment funds. (2017). Sherman, Meadhbh ; Gao, Jun ; Osullivan, Niall. In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:1467-1477.

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2017A Portfolio Approach to Assessing an Auto-Enrolment Pension Scheme for Ireland. (2017). Gallagher, Liam ; Ryan, Fionnuala . In: The Economic and Social Review. RePEc:eso:journl:v:48:y:2017:i:4:p:515-548.

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2017Pension Reforms and Adverse Demographics: The Case of the Czech Republic. (2017). Stepanek, Martin . In: Working Papers IES. RePEc:fau:wpaper:wp2017_15.

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2017Portfolio Rebalancing in Times of Stress. (2017). Grisse, Christian ; Fischer, Andreas ; Greminger, Rafael . In: Globalization and Monetary Policy Institute Working Paper. RePEc:fip:feddgw:322.

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2017Multivariate Functional Time Series Forecasting: Application to Age-Specific Mortality Rates. (2017). Shang, Han Lin ; Gao, Yuan. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:2:p:21-:d:94105.

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2017Maximum Market Price of Longevity Risk under Solvency Regimes: The Case of Solvency II. (2017). Levantesi, Susanna ; Menzietti, Massimiliano. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:2:p:29-:d:98116.

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2017Backtesting the Lee–Carter and the Cairns–Blake–Dowd Stochastic Mortality Models on Italian Death Rates. (2017). Maccheroni, Carlo ; Nocito, Samuel. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:3:p:34-:d:103621.

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2017Assessment of Policy Changes to Means-Tested Age Pension Using the Expected Utility Model: Implication for Decisions in Retirement. (2017). Andreasson, Johan G ; Shevchenko, Pavel V. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:3:p:47-:d:111425.

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2017Non-Parametric Integral Estimation Using Data Clustering in Stochastic dynamic Programming: An Introduction Using Lifetime Financial Modelling. (2017). Khemka, Gaurav ; Butt, Adam. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:4:p:57-:d:117091.

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2018Longevity Risk Management and the Development of a Value-Based Longevity Index. (2018). Chang, Yang ; Sherris, Michael. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:1:p:10-:d:131400.

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2017Uncertainty and Risk Analysis of Pakistans Regional Trade: Fan Chart Approach.. (2017). Jawaid, Syed Tehseen. In: Journal of Management Sciences. RePEc:gei:journl:v:4:y:2017:i:1:p:75-101.

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2017A Multivariate Model of Strategic Asset Allocation with Longevity Risk. (2017). Favero, Carlo ; Tebaldi, Claudio ; Nocera, Giacomo ; Bisetti, Emilio. In: Post-Print. RePEc:hal:journl:hal-01633544.

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2018Modeling Longevity Risk using Consistent Dynamics Affine Mortality Models. (2018). Bedoui, Rihab ; Kedidi, Islem. In: Working Papers. RePEc:hal:wpaper:hal-01678050.

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2018Mortality data reliability in an internal model. (2018). Balland, Fabrice ; Popa, Tom ; Habart, Marine ; Devineau, Laurent ; Boumezoued, Alexandre. In: Working Papers. RePEc:hal:wpaper:hal-01719216.

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2018A Review of Norges Banks Active Management of the Government Pension Fund Global. (2018). Ødegaard, Bernt ; Dahlquist, Magnus . In: UiS Working Papers in Economics and Finance. RePEc:hhs:stavef:2018_001.

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2017The potential costs of Longevity Risk on Public Pensions. Evidence from Italian data. (2017). Pammolli, Fabio ; Frassi, Benedetta ; Regis, Luca. In: Working Papers. RePEc:ial:wpaper:1/2017.

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2017Can investors benefit from the performance of alternative UCITS funds?. (2017). Busack, Michael ; Tille, Jan ; Drobetz, Wolfgang. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:31:y:2017:i:1:d:10.1007_s11408-016-0283-7.

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2017Jumping over a low hurdle: personal pension fund performance. (2017). Petraki, Anastasia ; Zalewska, Anna . In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:48:y:2017:i:1:d:10.1007_s11156-015-0546-9.

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2017Proyección de mortalidad en España mediante mixturas de modelos y análisis del impacto económico del riesgo de longevidad /Mortality Projection in Spain through Mixtures of Models and Analysis of . (2017). Benchimol, Andres . In: Estudios de Economía Aplicada. RePEc:lrk:eeaart:35_2_7.

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2018Decentralized strategic asset allocation with global constraints. (2018). Lee, Minho ; Anis, Hassan ; Kwon, Roy H. In: Journal of Asset Management. RePEc:pal:assmgt:v:19:y:2018:i:1:d:10.1057_s41260-017-0057-4.

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2017The Impact of Pension Funding Mechanisms on the Stability and Payoff from Swiss DC Pension Schemes: A Sensitivity Analysis. (2017). Muller, Philipp ; Wagner, Joel . In: The Geneva Papers on Risk and Insurance - Issues and Practice. RePEc:pal:gpprii:v:42:y:2017:i:3:d:10.1057_s41288-017-0048-1.

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2017Impact of the Degree of Relative Risk Aversion, the Interest Rate and the Exchange Rate Depreciation on Economic Welfare in a Small Open Economy. (2017). Venegas-Martínez, Francisco ; Soriano-Morales, Yazmin Viridiana ; Venegas-Martinez, Francisco ; Vallejo-Jimenez, Benjamin . In: MPRA Paper. RePEc:pra:mprapa:76441.

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2017Pension Schemes, Taxation and Stakeholder Wealth: The USS Rule Changes. (2017). Sutcliffe, Charles ; Platanakis, Emmanouil. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2017-08.

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2017Frequency of Adjusting Asset Allocations in the Life-Cycle Pension Model: When Doing More Is Not Necessarily Better. (2017). Kudryavtsev, Andrey ; Azoulay, Yaniv ; Shahrabani, Shosh . In: Bulletin of Applied Economics. RePEc:rmk:rmkbae:v:4:y:2017:i:1:p:13-33.

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2017Contribution of increased life expectancy to economic growth: evidence from CEE countries. (2017). Kasnauskiene, Gindra ; Michnevic, Karol . In: International Journal of Economic Sciences. RePEc:sek:jijoes:v:6:y:2017:i:2:p:82-99.

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2017Portfolio rebalancing in times of stress. (2017). Grisse, Christian ; Fischer, Andreas ; Greminger, Rafael . In: Working Papers. RePEc:snb:snbwpa:2017-11.

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2018Investigating the Presence of Fisher Effect for the China Economy. (2018). altunoz, utku . In: Sosyoekonomi Journal. RePEc:sos:sosjrn:180102.

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2018Individual optimal pension allocation under stochastic dominance constraints. (2018). Kopa, Milo ; Vitali, Sebastiano ; Moriggia, Vittorio. In: Annals of Operations Research. RePEc:spr:annopr:v:260:y:2018:i:1:d:10.1007_s10479-016-2387-x.

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2018Constant proportion portfolio insurance in defined contribution pension plan management under discrete-time trading. (2018). Temocin, Busra Zeynep ; Selcuk-Kestel, Sevtap A ; Korn, Ralf. In: Annals of Operations Research. RePEc:spr:annopr:v:260:y:2018:i:1:d:10.1007_s10479-017-2638-5.

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2018Risk-budgeting multi-portfolio optimization with portfolio and marginal risk constraints. (2018). Ji, Ran ; Lejeune, Miguel A. In: Annals of Operations Research. RePEc:spr:annopr:v:262:y:2018:i:2:d:10.1007_s10479-015-2044-9.

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2017From “selective two-child policy” to universal two-child policy: will the payment crisis of China’s pension system be solved?. (2017). Zeng, YI ; Liu, Lingchen ; Zhang, Xinjie . In: China Finance and Economic Review. RePEc:spr:chfecr:v:5:y:2017:i:1:d:10.1186_s40589-017-0053-3.

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2017Optimal pension fund composition for an Italian private pension plan sponsor. (2017). Kopa, Milo ; Vitali, Sebastiano ; Moriggia, Vittorio. In: Computational Management Science. RePEc:spr:comgts:v:14:y:2017:i:1:d:10.1007_s10287-016-0263-4.

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2017Lifespan Disparity as an Additional Indicator for Evaluating Mortality Forecasts. (2017). Bohk-Ewald, Christina ; Rau, Roland ; Ebeling, Marcus . In: Demography. RePEc:spr:demogr:v:54:y:2017:i:4:d:10.1007_s13524-017-0584-0.

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2017Modeling and Forecasting Mortality With Economic Growth: A Multipopulation Approach. (2017). Boonen, Tim J ; Li, Hong. In: Demography. RePEc:spr:demogr:v:54:y:2017:i:5:d:10.1007_s13524-017-0610-2.

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2017Predicting the resilience of transport infrastructure to a natural disaster using Cox’s proportional hazards regression model. (2017). Mojtahedi, Mohammad ; Newton, Sidney ; Meding, Jason . In: Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards. RePEc:spr:nathaz:v:85:y:2017:i:2:d:10.1007_s11069-016-2624-2.

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2018Learning to save tax-efficiently: Tax misperceptions and the effect of informational tax nudges on retirement savings. (2018). Blaufus, Kay ; Milde, Michael. In: arqus Discussion Papers in Quantitative Tax Research. RePEc:zbw:arqudp:225.

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2017Exchange rate expectations since the financial crisis: Performance evaluation and the role of monetary policy and safe haven. (2017). Czudaj, Robert ; Beckmann, Joscha. In: Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking. RePEc:zbw:vfsc17:168291.

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More than 100 citations found, this list is not complete...

Works by David Blake:

YearTitleTypeCited
2016Modelling Socio-Economic Differences in the Mortality of Danish Males Using a New Affluence Index In: CREATES Research Papers.
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2011Financial Risks and the Pension Protection Fund: Can it Survive Them? In: Papers.
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2006Financial Risks and the Pension Protection Fund: Can it Survive Them?.(2006) In: MPRA Paper.
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2011Financial Risks and the Pension Protection Fund:Can It Survive Them?.(2011) In: Working Papers.
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2006PYRRHIC VICTORY? THE UNINTENDED CONSEQUENCE OF THE PENSIONS ACT 2004 In: Economic Affairs.
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2008What is a Promise from the Government Worth? Quantifying Political Risk in State and Personal Pension Schemes in the United Kingdom In: Economica.
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2013Decentralized Investment Management: Evidence from the Pension Fund Industry In: Journal of Finance.
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2010Decentralized Investment Management: Evidence from the Pension Fund Industry.(2010) In: CEPR Discussion Papers.
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2010Decentralized investment management: evidence from the pension fund industry.(2010) In: MPRA Paper.
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2016Phantoms never die: living with unreliable population data In: Journal of the Royal Statistical Society Series A.
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2003Reply to Survivor Bonds: A Comment on Blake and Burrows In: Journal of Risk & Insurance.
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2006Survivor Swaps In: Journal of Risk & Insurance.
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2006After VaR: The Theory, Estimation, and Insurance Applications of Quantile-Based Risk Measures In: Journal of Risk & Insurance.
[Full Text][Citation analysis]		article31
2006Longevity Risk and Capital Markets In: Journal of Risk & Insurance.
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2006Longevity Bonds: Financial Engineering, Valuation, and Hedging In: Journal of Risk & Insurance.
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2006A Two-Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration In: Journal of Risk & Insurance.
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2010Survivor Derivatives: A Consistent Pricing Framework In: Journal of Risk & Insurance.
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2013Longevity Risk and Capital Markets: The 2011–2012 Update In: Journal of Risk & Insurance.
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2013The New Life Market In: Journal of Risk & Insurance.
[Full Text][Citation analysis]		article18
2013Informed Intermediation of Longevity Exposures In: Journal of Risk & Insurance.
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2016The Cost of Counterparty Risk and Collateralization in Longevity Swaps In: Journal of Risk & Insurance.
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2011The cost of counterparty risk and collateralization in longevity swaps.(2011) In: MPRA Paper.
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1992The Demand for Cider in the United Kingdom. In: Oxford Bulletin of Economics and Statistics.
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2014Spend More Today Safely: Using Behavioral Economics to Improve Retirement Expenditure Decisions With SPEEDOMETER Plans In: Risk Management and Insurance Review.
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1990Portfolio Behaviour and Asset Pricing in a Characteristics Framework. In: Scottish Journal of Political Economy.
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1996Financial Intermediation and Financial Innovation in a Characteristics Framework. In: Scottish Journal of Political Economy.
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2008Longevity Risk and Capital Markets: The 2007-2008 Update In: Asia-Pacific Journal of Risk and Insurance.
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2008The Birth of the Life Market In: Asia-Pacific Journal of Risk and Insurance.
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2016Le nouveau marché du risque de longévité In: Revue d'économie financière.
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1998The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis In: University of California at San Diego, Economics Working Paper Series.
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1999The hazards of mutual fund underperformance: A Cox regression analysis.(1999) In: Journal of Empirical Finance.
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1997Performance Measurement using Multiple Asset Class Portfolio Data In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper5
2002International Asset Allocation with Time-Varying Investment Opportunities In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper12
2002International asset allocation with time-varying investment opportunities.(2002) In: LSE Research Online Documents on Economics.
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2005International Asset Allocation with Time-Varying Investment Opportunities.(2005) In: The Journal of Business.
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2010Did the Housing Boom Increase Household Spending In: Issues in Brief.
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2006Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk In: ASTIN Bulletin: The Journal of the International Actuarial Association.
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2011Bayesian Stochastic Mortality Modelling for Two Populations In: ASTIN Bulletin: The Journal of the International Actuarial Association.
[Full Text][Citation analysis]		article24
2017MODELLING MORTALITY FOR PENSION SCHEMES In: ASTIN Bulletin: The Journal of the International Actuarial Association.
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2006Living with Mortality: Longevity Bonds and Other Mortality-Linked Securities In: British Actuarial Journal.
[Full Text][Citation analysis]		article41
2017New Evidence on Mutual Fund Performance: A Comparison of Alternative Bootstrap Methods In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article0
1996Efficiency, Risk Aversion and Portfolio Insurance: An Analysis of Financial Asset Portfolios Held by Investors in the United Kingdom. In: Economic Journal.
[Full Text][Citation analysis]		article54
2000Does It Matter What Type of Pension Scheme You Have? In: Economic Journal.
[Full Text][Citation analysis]		article18
2006On The Sustainability of the UK State Pension System in the Light of Population Ageing and Declining Fertility In: Economic Journal.
[Full Text][Citation analysis]		article20
1986The Performance of UK Exchange Rate Forecasters. In: Economic Journal.
[Full Text][Citation analysis]		article17
2006Stochastic lifestyling: Optimal dynamic asset allocation for defined contribution pension plans In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article53
2004Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans.(2004) In: LSE Research Online Documents on Economics.
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2013Target-driven investing: Optimal investment strategies in defined contribution pension plans under loss aversion In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article13
2011Target-driven investing: Optimal investment strategies in defined contribution pension plans under loss aversion.(2011) In: MPRA Paper.
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2014Age-dependent investing: Optimal funding and investment strategies in defined contribution pension plans when members are rational life cycle financial planners In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article10
2011Age dependent investing: Optimal funding and investment strategies in defined contribution pension plans when members are rational life cycle financial planners.(2011) In: MPRA Paper.
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1989Testing models generating time varying asset return expectations and risks : The case of UK private sector pension funds In: Economic Modelling.
[Full Text][Citation analysis]		article0
2014Improved inference in the evaluation of mutual fund performance using panel bootstrap methods In: Journal of Econometrics.
[Full Text][Citation analysis]		article2
1984Complete systems methods of estimating models with rational and adaptive expectations : A case study In: European Economic Review.
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1988The stochastic analysis of competitive unemployment insurance premiums In: European Economic Review.
[Full Text][Citation analysis]		article1
1998Pension schemes as options on pension fund assets: implications for pension fund management In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article21
2001Pensionmetrics: stochastic pension plan design and value-at-risk during the accumulation phase In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article38
2003Pensionmetrics 2: stochastic pension plan design during the distribution phase In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article55
2003Pensionmetrics 2: stochastic pension plan design during the distribution phase.(2003) In: LSE Research Online Documents on Economics.
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2006Mortality-dependent financial risk measures In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article10
2008Longevity risk and the Grim Reapers toxic tail: The survivor fan charts In: Insurance: Mathematics and Economics.
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2010Longevity risk and capital markets: The 2008-2009 update In: Insurance: Mathematics and Economics.
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2010Securitizing and tranching longevity exposures In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article12
2010Evaluating the goodness of fit of stochastic mortality models In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article23
2011Mortality density forecasts: An analysis of six stochastic mortality models In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article38
2015Modelling longevity bonds: Analysing the Swiss Re Kortis bond In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article6
1991Debt-equity swaps as bond conversions: implications for pricing In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article2
1982Monetarism and the US economy: A re-evaluation of Steins model 1960-1973 In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article1
2004Liability valuation and optimal asset allocation In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper2
2004Barriers to pension scheme participation in small and medium sized enterprises In: LSE Research Online Documents on Economics.
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2003UK pension fund management after Myners: the hunt for correlation begins In: LSE Research Online Documents on Economics.
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2003Take (smoothed) risks when you are young, not when you are old: how to get the best from your stakeholder pension plan In: LSE Research Online Documents on Economics.
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2003The United Kingdom pension system: key issues In: LSE Research Online Documents on Economics.
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2001The United Kingdom Pension System: Key Issues.(2001) In: Discussion Paper.
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2003What is a promise from the government worth?: measuring and assessing the implications of political risk in state and personal pension schemes in the United Kingdom In: LSE Research Online Documents on Economics.
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2003Financial system requirements for successful pension reform In: LSE Research Online Documents on Economics.
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2003Is immigration the answer to the UK’s pension crisis? In: LSE Research Online Documents on Economics.
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2003Modelling the composition of personal sector wealth in the United Kingdom In: LSE Research Online Documents on Economics.
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2003Long-term value at risk In: LSE Research Online Documents on Economics.
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2002Performance clustering and incentives in the UK pension fund industry In: LSE Research Online Documents on Economics.
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2002Returns from active management in international equity markets; evidence from a panel of UK pension funds In: LSE Research Online Documents on Economics.
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2002The impact of wealth on consumption and retirement behaviour in the UK In: LSE Research Online Documents on Economics.
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2004The impact of wealth on consumption and retirement behaviour in the UK.(2004) In: Applied Financial Economics.
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2008It is all Back to Front: Critical Issues in the Design of Defined Contribution Pension Plans In: Chapters.
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2004Contracting Out of the State Pension System: The British Experience of Carrots and Sticks In: Chapters.
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2008Defined contribution pensions: dealing with the reluctant investor In: Journal of Financial Regulation and Compliance.
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2016The Myth of Methuselah and the Uncertainty of Death: The Mortality Fan Charts In: Risks.
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2002The United Kingdom: Examining the Switch from Low Public Pensions to High-Cost Private Pensions In: NBER Chapters.
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1998Mutual Fund Performance: Evidence from the UK In: Review of Finance.
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2003Pension Schemes and Pension Funds in the United Kingdom In: OUP Catalogue.
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1999Portfolio Choice Models of Pension Funds and Life Assurance Companies: Similarities and Differences In: The Geneva Papers on Risk and Insurance - Issues and Practice.
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1999Annuity Markets: Problems and Solutions In: The Geneva Papers on Risk and Insurance - Issues and Practice.
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2000Measuring Value Added in the Pensions Industry In: The Geneva Papers on Risk and Insurance - Issues and Practice.
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2007The Impact of Occupation and Gender on Pensions from Defined Contribution Plans In: The Geneva Papers on Risk and Insurance - Issues and Practice.
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2011Longevity Risk and Capital Markets: The 2010–2011 Update In: The Geneva Papers on Risk and Insurance - Issues and Practice.
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2011Longevity risks and capital markets: The 2010-2011 update.(2011) In: MPRA Paper.
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2011Longevity risk and capital markets: The 2009-2010 update In: MPRA Paper.
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2008Turning pension plans into pension planes: What investment strategy designers of defined contribution pension plans can learn from commercial aircraft designers In: MPRA Paper.
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2009NDC v FDC: Pros, cons and replication In: MPRA Paper.
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2010Sharing longevity risk: Why governments should issue longevity bonds In: MPRA Paper.
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2010Why does mutual fund performance not persist? The impact and interaction of fund flows and manager changes In: MPRA Paper.
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2010Spend more today: Using behavioural economics to improve retirement expenditure decisions In: MPRA Paper.
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2011Longevity hedge effectiveness: a decomposition In: MPRA Paper.
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2014Longevity hedge effectiveness: a decomposition.(2014) In: Quantitative Finance.
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2011A gravity model of mortality rates for two related populations In: MPRA Paper.
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2011Longevity hedging 101: A framework for longevity basis risk analysis and hedge effectiveness In: MPRA Paper.
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2012Keeping Some Skin in the Game: How to Start a Capital Market in Longevity Risk Transfers In: MPRA Paper.
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2010Facing up to uncertain life expectancy: The longevity fan charts In: Demography.
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1993The fisher hypothesis: Evidence from three high inflation economies In: Review of World Economics (Weltwirtschaftliches Archiv).
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2004Modelling the composition of personal sector wealth in the UK In: Applied Financial Economics.
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1999Annual estimates of personal wealth holdings in the United Kingdom since 1948 In: Applied Financial Economics.
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1997The demand for alcohol in the United Kingdom In: Applied Economics.
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1981Modelling the Ultimate Absurdity: A Comment on A Quantitative Study of the Strategic Arms Race in the Missile Age. In: The Review of Economics and Statistics.
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2012What Should Be Done About The Underfunding of Defined Benefit Pension Schemes? In: Working Papers.
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1999Asset Allocation Dynamics and Pension Fund Performance. In: The Journal of Business.
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2009Options on normal underlyings with an application to the pricing of survivor swaptions In: Journal of Futures Markets.
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2015Network centrality and pension fund performance In: CFR Working Papers.
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