David Blake : Citation Profile

Are you David Blake?

City University

26

H index

51

i10 index

2190

Citations

RESEARCH PRODUCTION:

123

Articles

44

Papers

1

Books

5

Chapters

RESEARCH ACTIVITY:

   41 years (1981 - 2022). See details.
   Cites by year: 53
   Journals where David Blake has often published
   Relations with other researchers
   Recent citing documents: 190.    Total self citations: 75 (3.31 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pbl129
   Updated: 2022-07-02    RAS profile: 2022-06-01    
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Relations with other researchers

Works with:

Morales, Marco (13)

Loisel, Stéphane (2)

Tonks, Ian (2)

Milidonis, Andreas (2)

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

Is cited by:

Bravo, Jorge (36)

Mitchell, Olivia (35)

Broeders, Dirk (33)

De Waegenaere, Anja (30)

Regis, Luca (29)

Li, Hong (25)

Li, Youwei (24)

luciano, elisa (24)

Loisel, Stéphane (21)

Holzmann, Robert (18)

Milevsky, Moshe (17)

Cites to:

Lee, Ronald (28)

Mitchell, Olivia (26)

Milevsky, Moshe (18)

merton, robert (18)

Dowd, Kevin (16)

Cummins, John (16)

Biffis, Enrico (16)

Thaler, Richard (16)

Laibson, David (14)

Timmermann, Allan (14)

Poterba, James (13)

Main data

Where David Blake has published?

Journals with more than one article published# docs
Journal of Risk & Insurance25
North American Actuarial Journal18
Insurance: Mathematics and Economics13
The Geneva Papers on Risk and Insurance - Issues and Practice5
Journal of Asset Management4
Economic Journal4
ASTIN Bulletin4
Applied Financial Economics3
Journal of Economic Dynamics and Control3
JRFM3
Annals of Actuarial Science3
European Economic Review2
British Actuarial Journal2
Scottish Journal of Political Economy2
Asia-Pacific Journal of Risk and Insurance2
The Journal of Business2

Working Papers Series with more than one paper published# docs
MPRA Paper / University Library of Munich, Germany16
CEPR Discussion Papers / C.E.P.R. Discussion Papers3
Working Papers / Geary Institute, University College Dublin2

Recent works citing David Blake (2022 and 2021)

YearTitle of citing document
2020Linking retirement age to life expectancy does not lessen the demographic implications of unequal lifespans. (2020). Kallestrup-Lamb, Malene ; Alvarez, Jesus-Adrian ; Kjargaard, Soren. In: CREATES Research Papers. RePEc:aah:create:2020-17.

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2021Spillovers of Senior Mutual Fund Managers’ Capital Raising Ability. (2021). Xu, Yue. In: CREATES Research Papers. RePEc:aah:create:2022-03.

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2020Wishart-Gamma mixtures for multiperil experience ratemaking, frequency-severity experience rating and micro-loss reserving. (2020). Lu, Yang ; Denuit, Michel. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2020016.

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2020Model-Independent Price Bounds for Catastrophic Mortality Bonds. (2016). Sabanis, Sotirios ; Bahl, Raj Kumari . In: Papers. RePEc:arx:papers:1607.07108.

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2020Optimal investment-consumption problem post-retirement with a minimum guarantee. (2018). Dadashi, Hassan. In: Papers. RePEc:arx:papers:1803.00611.

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2020Stochastic modeling of assets and liabilities with mortality risk. (2020). Pennanen, Teemu ; Armstrong, John ; Maffra, Sergio Alvares. In: Papers. RePEc:arx:papers:2005.09974.

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2020The optimal investment strategy of a DC pension plan under deposit loan spread and the O-U process. (2020). Xu, Xiao. In: Papers. RePEc:arx:papers:2005.10661.

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2020False (and Missed) Discoveries in Financial Economics. (2020). Liu, Yan ; Harvey, Campbell R. In: Papers. RePEc:arx:papers:2006.04269.

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2020Reduced-form setting under model uncertainty with non-linear affine processes. (2020). Oberpriller, Katharina ; Biagini, Francesca. In: Papers. RePEc:arx:papers:2006.14307.

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2020Deep neural network for optimal retirement consumption in defined contribution pension system. (2020). Langren, Nicolas ; Chen, Wen. In: Papers. RePEc:arx:papers:2007.09911.

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2020Volterra mortality model: Actuarial valuation and risk management with long-range dependence. (2020). Wong, Hoi Ying ; Chiu, Mei Choi ; Wang, Ling. In: Papers. RePEc:arx:papers:2009.09572.

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2020Pricing and Hedging the No-Negative-Equity Guarantee in Equity-Release Mortgages. (2020). Jacka, Saul ; Engelbrecht, Kevin. In: Papers. RePEc:arx:papers:2010.02511.

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2021A Framework of Multivariate Utility Optimization with General Benchmarks. (2021). Zhang, Litian ; Liang, Zongxia ; Liu, Yang. In: Papers. RePEc:arx:papers:2101.06675.

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2021A Two-Population Mortality Model to Assess Longevity Basis Risk. (2021). Ozen, Selin ; Csahin, Csule. In: Papers. RePEc:arx:papers:2101.06690.

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2021Optimal management of DC pension fund under relative performance ratio and VaR constraint. (2021). Xia, YI ; Liang, Zongxia ; Guan, Guohui. In: Papers. RePEc:arx:papers:2103.04352.

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2021Risk-dependent centrality in the Brazilian stock market. (2021). Rodrigues, Francisco Aparecido ; de Moraes, Kaue Lopes ; Alexandre, Michel. In: Papers. RePEc:arx:papers:2103.09059.

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2021On the Investment Strategies in Occupational Pension Plans. (2021). Bosserhoff, Frank ; Stadje, Mitja ; Sorensen, Nils ; Chen, AN. In: Papers. RePEc:arx:papers:2104.08956.

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2022Mortality in Germany during the Covid-19 pandemic. (2021). Uhlig, Dana ; Pichler, Alois. In: Papers. RePEc:arx:papers:2107.12899.

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2021Assessing the impact of the COVID-19 shock on a stochastic multi-population mortality model. (2021). Devriendt, Sander ; Antonio, Katrien ; Robben, Jens. In: Papers. RePEc:arx:papers:2111.10164.

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2021Mild to classical solutions for XVA equations under stochastic volatility. (2021). Kalinin, Alexander ; Graceffa, Federico ; Brigo, Damiano. In: Papers. RePEc:arx:papers:2112.11808.

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2022Optimal annuitization post-retirement with labor income. (2022). Gao, Xiang ; Jevti, Petar ; Pirvu, Traian A ; Hyndman, Cody. In: Papers. RePEc:arx:papers:2202.04220.

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2020Developmental Patterns of Voluntary Pensions in CEE Countries: Analysis through the Bass Diffusion Model Reflecting the Observational Learning Mechanism. (2020). Yakymova, Larysa. In: Economic Studies journal. RePEc:bas:econst:y:2020:i:4:p:166-192.

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2020Equity risk versus retirement adequacy: asset allocation solutions for KiwiSaver. (2020). Bianchi, Robert J ; MacDonald, Kirsten L ; Drew, Michael E. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:4:p:3851-3873.

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2021The silver tsunami: an enquiry into the financial needs, preferences and behaviours of retirees. (2021). Gu, Yuanyuan ; Feng, Jun ; Walker, Ruth ; Chambers, Barbara. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:1:p:645-687.

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2021The ‘right’ level for the superannuation guarantee: identifying the key considerations. (2021). Warren, Geoffrey J ; Tang, Yifu ; Khemka, Gaurav. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:3:p:4435-4474.

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2020False (and Missed) Discoveries in Financial Economics. (2020). Harvey, Campbell R ; Liu, Yan. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:5:p:2503-2553.

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2020Longevity forecasting by socio‐economic groups using compositional data analysis. (2020). Kallestruplamb, Malene ; Oeppen, Jim ; Bergeronboucher, Mariepier ; Ergemen, Yunus Emre ; Kjargaard, Sren. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:183:y:2020:i:3:p:1167-1187.

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2021Quantifying longevity gaps using micro?level lifetime data. (2021). Vellekoop, Michel ; Antonio, Katrien ; van Berkum, Frank . In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:184:y:2021:i:2:p:548-570.

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2020Market Price of Longevity Risk for a Multi‐Cohort Mortality Model With Application to Longevity Bond Option Pricing. (2020). Ziveyi, Jonathan ; Sherris, Michael ; Xu, Yajing. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:87:y:2020:i:3:p:571-595.

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202180 will be the new 70: Old?age mortality postponement in the United States and its likely effect on the finances of the OASI program. (2021). McCarthy, David. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:88:y:2021:i:2:p:381-412.

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2021Wishart?gamma random effects models with applications to nonlife insurance. (2021). Lu, Yang ; Denuit, Michel. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:88:y:2021:i:2:p:443-481.

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2020Actuarial Modeling and Analysis of the Hong Kong Life Annuity Scheme. (2020). Li, Siu-Hang ; Wai-Sum, Chan ; Koon-Shing, Kwong. In: Asia-Pacific Journal of Risk and Insurance. RePEc:bpj:apjrin:v:14:y:2020:i:1:p:12:n:2.

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2021Intergenerational Actuarial Fairness when Longevity Increases: Amending the Retirement Age. (2021). Palmer, Edward ; Holzmann, Robert ; Ayuso, Mercedes ; Miguelbravo, Jorge. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9408.

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2020Does Concurrent Management of Mutual Funds and Pension Plans Create Conflicts of Interest?. (2020). Marti, Carmen Pilar. In: Ensayos de Economía. RePEc:col:000418:018307.

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2020Household Finance. (2020). Gomes, Francisco J ; Haliassos, Michael ; Ramadorai, Tarun. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14502.

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2020Living Longer in High Longevity Risk. (2020). Jung, Hojin ; Kim, Jong-Min ; Wingenbach, Rachel. In: JODE - Journal of Demographic Economics. RePEc:ctl:louvde:v:86:y:2020:i:1:p:47-86.

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2020Does mood affect institutional herding?. (2020). Ozturkkal, Belma ; Kallinterakis, Vasileios ; Gavriilidis, Konstantinos. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:26:y:2020:i:c:s2214635019303119.

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2020Managerial multi-tasking, Team diversity, and mutual fund performance. (2020). Zhou, SI ; Xie, LI ; Chen, Jean Jinghan. In: Journal of Corporate Finance. RePEc:eee:corfin:v:65:y:2020:i:c:s0929119920302108.

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2021Recession managers and mutual fund performance. (2021). Zhou, Si ; Lasfer, Meziane ; Song, Wei ; Chen, Jie. In: Journal of Corporate Finance. RePEc:eee:corfin:v:69:y:2021:i:c:s0929119921001310.

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2021The UK pensions landscape – A critique of the role of accountants and accounting technologies in the treatment of social and societal risks. (2021). Paisey, Nicholas J ; Kaifala, Gabriel B. In: CRITICAL PERSPECTIVES ON ACCOUNTING. RePEc:eee:crpeac:v:75:y:2021:i:c:s1045235419300619.

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2021Salience, systemic risk and spectral risk measures as capital requirements. (2021). Matyska, Branka. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:125:y:2021:i:c:s0165188921000208.

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2020Portfolio choice after retirement: Should self-annuitisation strategies hold more equities?. (2020). Te, EN ; Basu, Anup K ; Wiafe, Osei K. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:65:y:2020:i:c:p:241-255.

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2022The efficiency of primary sovereign bond markets in Turkey: The so-called Fisher puzzle reconsidered. (2022). Sunal, Onur . In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:73:y:2022:i:c:p:255-261.

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2021Herding in Open-end Funds: Evidence from China. (2021). Li, Shouwei ; Wang, HU ; Ma, Yuyin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000516.

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2021Welfare systems without economic growth: A review of the challenges and next steps for the field. (2021). Jackson, Tim ; Druckman, Angela ; Walker, Christine Corlet. In: Ecological Economics. RePEc:eee:ecolec:v:186:y:2021:i:c:s0921800921001245.

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2020How profitable are Equity Release Mortgages?. (2020). Dowd, Kevin ; Buckner, Dean. In: Economics Letters. RePEc:eee:ecolet:v:197:y:2020:i:c:s0165176520304110.

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2020Optimal investment with S-shaped utility and trading and Value at Risk constraints: An application to defined contribution pension plan. (2020). Zheng, Harry ; Dong, Yinghui. In: European Journal of Operational Research. RePEc:eee:ejores:v:281:y:2020:i:2:p:341-356.

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2020Simple explicit formula for near-optimal stochastic lifestyling. (2020). Černý, Aleš ; Melicherik, Igor . In: European Journal of Operational Research. RePEc:eee:ejores:v:284:y:2020:i:2:p:769-778.

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2021Horses for courses: Mean-variance for asset allocation and 1/N for stock selection. (2021). Sutcliffe, Charles ; Ye, Xiaoxia ; Platanakis, Emmanouil. In: European Journal of Operational Research. RePEc:eee:ejores:v:288:y:2021:i:1:p:302-317.

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2021Bayesian Value-at-Risk backtesting: The case of annuity pricing. (2021). Li, Youwei ; Leung, Melvern ; Vigne, Samuel A ; Pantelous, Athanasios A. In: European Journal of Operational Research. RePEc:eee:ejores:v:293:y:2021:i:2:p:786-801.

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2021Optimal investment for a retirement plan with deferred annuities allowing for inflation and labour income risk. (2021). Clare, Andrew ; Jang, Chul ; Owadally, Iqbal. In: European Journal of Operational Research. RePEc:eee:ejores:v:295:y:2021:i:3:p:1132-1146.

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2022Optimal dynamic longevity hedge with basis risk. (2022). Zhang, Jinggong ; Weng, Chengguo ; Tan, Ken Seng. In: European Journal of Operational Research. RePEc:eee:ejores:v:297:y:2022:i:1:p:325-337.

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2022Optimal management of defined contribution pension funds under the effect of inflation, mortality and uncertainty. (2022). Yannacopoulos, A N ; Weber, G.-W., ; Szczepaski, M ; Kolodziejczyk, K ; Dopierala, L ; Baltas, I. In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:3:p:1162-1174.

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2021Improved inference for fund alphas using high-dimensional cross-sectional tests. (2021). Yan, Yayi ; Cheng, Tingting. In: Journal of Empirical Finance. RePEc:eee:empfin:v:61:y:2021:i:c:p:57-81.

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2020Network structures and idiosyncratic contagion in the European sovereign credit default swap market. (2020). Yang, Lu ; Chen, Wang ; Ho, Kung-Cheng. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302386.

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2020Impact of directors networks on corporate social responsibility: A cross country study. (2020). Lodh, Suman ; Nandy, Monomita ; Wang, Jin ; Kaur, Jaskaran. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302441.

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2021How sub-optimal are age-based life-cycle investment products?. (2021). Warren, Geoffrey J ; Steffensen, Mogens ; Khemka, Gaurav. In: International Review of Financial Analysis. RePEc:eee:finana:v:73:y:2021:i:c:s1057521920302623.

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2021Guest editor networking in special issues. (2021). Siganos, Antonios. In: International Review of Financial Analysis. RePEc:eee:finana:v:76:y:2021:i:c:s1057521921001113.

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2021Alumni social networks and hedge fund performance: Evidence from China. (2021). Wei, Lijian ; Jianwei, LI ; Wang, Fan ; Lin, Junqin. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002544.

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2022The UK equity release market: Views from the regulatory authorities, product providers and advisors. (2022). French, Declan ; McKillop, Donal ; Sharma, Tripti. In: International Review of Financial Analysis. RePEc:eee:finana:v:79:y:2022:i:c:s1057521921003100.

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2022Short-run disequilibrium adjustment and long-run equilibrium in the international stock markets: A network-based approach. (2022). Li, Youwei ; Stanley, Eugene H ; Pantelous, Athanasios A ; Chen, Yanhua. In: International Review of Financial Analysis. RePEc:eee:finana:v:79:y:2022:i:c:s1057521921003161.

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2021Time-consistent mean-variance investment with unit linked life insurance contracts in a jump-diffusion setting. (2021). Stadje, Mitja ; Bosserhoff, Frank. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:100:y:2021:i:c:p:130-146.

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2021Forecasting mortality with international linkages: A global vector-autoregression approach. (2021). Shi, Yanlin ; Li, Hong. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:100:y:2021:i:c:p:59-75.

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2022On non-negative equity guarantee calculations with macroeconomic variables related to house prices. (2022). Tunaru, Radu ; Quaye, Enoch ; Badescu, Alexandru. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:103:y:2022:i:c:p:119-138.

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2022Multi-population mortality modeling: When the data is too much and not enough. (2022). Tsai, Chenghsien Jason ; Kuo, Weiyu ; MacMinn, Richard D ; Kung, Ko-Lun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:103:y:2022:i:c:p:41-55.

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2020Pitfalls and merits of cointegration-based mortality models. (2020). Jallbjorn, Snorre ; Jarner, Soren F. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:90:y:2020:i:c:p:80-93.

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2020An age-at-death distribution approach to forecast cohort mortality. (2020). Kjargaard, Soren ; Basellini, Ugofilippo ; Camarda, Carlo Giovanni. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:91:y:2020:i:c:p:129-143.

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2020Incorporating hierarchical credibility theory into modelling of multi-country mortality rates. (2020). di Wu, Adelaide ; Tsai, Cary Chi-Liang. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:91:y:2020:i:c:p:37-54.

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2020A hierarchical model for the joint mortality analysis of pension scheme data with missing covariates. (2020). Kleinow, Torsten ; Ungolo, Francesco ; MacDonald, Angus S. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:91:y:2020:i:c:p:68-84.

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2020On the asymptotic equilibrium of a population system with migration. (2020). Varga, Zoltan ; Bianchi, Sergio ; Attias, Anna ; Pianese, Augusto. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:92:y:2020:i:c:p:115-127.

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2020Calibrating Gompertz in reverse: What is your longevity-risk-adjusted global age?. (2020). Milevsky, Moshe A. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:92:y:2020:i:c:p:147-161.

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2020The heat wave model for constructing two-dimensional mortality improvement scales with measures of uncertainty. (2020). Liu, Yanxin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:93:y:2020:i:c:p:1-26.

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2020Optimal dynamic asset allocation for DC plan accumulation/decumulation: Ambition-CVAR. (2020). Forsyth, Peter A. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:93:y:2020:i:c:p:230-245.

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2020Incorporating crossed classification credibility into the Lee–Carter model for multi-population mortality data. (2020). Pitselis, Georgios ; Bozikas, Apostolos. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:93:y:2020:i:c:p:353-368.

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2020Modelling life tables with advanced ages: An extreme value theory approach. (2020). Ning, XU ; Maller, Ross ; Huang, Fei. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:93:y:2020:i:c:p:95-115.

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2020A more meaningful parameterization of the Lee–Carter model. (2020). Xu, Jianhui ; Tickle, Leonie ; de Jong, Piet. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:94:y:2020:i:c:p:1-8.

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2020Optimal investment–consumption problem: Post-retirement with minimum guarantee. (2020). Dadashi, Hassan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:94:y:2020:i:c:p:160-181.

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2020Levelling the playing field: A VIX-linked structure for funded pension schemes. (2020). Begin, Jean-Franois. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:94:y:2020:i:c:p:58-78.

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2020Spatial patterns of mortality in the United States: A spatial filtering approach. (2020). Paez, Antonio ; Jevti, Petar ; Cupido, Kyran. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:95:y:2020:i:c:p:28-38.

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2021Volterra mortality model: Actuarial valuation and risk management with long-range dependence. (2021). Wong, Hoi Ying ; Chiu, Mei Choi ; Wang, Ling. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:96:y:2021:i:c:p:1-14.

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2021Model-independent price bounds for Catastrophic Mortality Bonds. (2021). Sabanis, Sotirios ; Bahl, Raj Kumari . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:96:y:2021:i:c:p:276-291.

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2021Pricing longevity derivatives via Fourier transforms. (2021). Vidal, Joo Pedro ; Bravo, Jorge M. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:96:y:2021:i:c:p:81-97.

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2021Mortality options: The point of view of an insurer. (2021). Schmidli, Hanspeter ; Schmeck, Maren Diane. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:96:y:2021:i:c:p:98-115.

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2021A benchmarking approach to track and compare administrative charges on flow and balance in individual account pension systems. (2021). Castaneda, Ranu ; Chavez-Bedoya, Luis. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:97:y:2021:i:c:p:7-23.

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2021Mortality forecasting using factor models: Time-varying or time-invariant factor loadings?. (2021). Huang, Fei ; He, Lingyu ; Yang, Yanrong ; Shi, Jianjie. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:98:y:2021:i:c:p:14-34.

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2021Optimal investment for a retirement plan with deferred annuities. (2021). Jang, Chul ; Owadally, Iqbal ; Clare, Andrew. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:98:y:2021:i:c:p:51-62.

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2021Assessing mortality inequality in the U.S.: What can be said about the future?. (2021). Hyndman, Rob J ; Li, Han. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:152-162.

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2021Cause of death specific cohort effects in U.S. mortality. (2021). , Andrew ; Loures, Cristian Redondo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:190-199.

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2021Addressing the life expectancy gap in pension policy. (2021). Palmer, Edward ; Holzmann, Robert ; Ayuso, Mercedes ; Bravo, Jorge M. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:200-221.

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2021It takes two: Why mortality trend modeling is more than modeling one mortality trend. (2021). Schupp, Johannes ; Russ, Jochen ; Borger, Matthias . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:222-232.

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2021Modelling mortality dependence: An application of dynamic vine copula. (2021). Ji, Min ; Zhou, Rui. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:241-255.

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2021Time-consistent longevity hedging with long-range dependence. (2021). Wong, Hoi Ying ; Wang, Ling. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:25-41.

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2021Gompertz law revisited: Forecasting mortality with a multi-factor exponential model. (2021). Zhu, Wenjun ; Tuljapurkar, Shripad ; Tan, Ken Seng ; Li, Hong. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:268-281.

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2021Cause-specific mortality rates: Common trends and differences. (2021). Glushko, Viktoriya ; Arnold, Severine. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:294-308.

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2021A combined analysis of hedge effectiveness and capital efficiency in longevity hedging. (2021). Russ, Jochen ; Freimann, Arne ; Borger, Matthias . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:309-326.

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2021Modeling and pricing longevity derivatives using Skellam distribution. (2021). Wang, Chou-Wen ; Liu, I-Chien ; I-Chien Liu, ; Kung, Ko-Lun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:341-354.

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2021Macro longevity risk and the choice between annuity products: Evidence from Denmark. (2021). Rangvid, Jesper ; Kallestrup-Lamb, Malene ; Balter, Anne G. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:355-362.

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2021Linking retirement age to life expectancy does not lessen the demographic implications of unequal lifespans. (2021). Kjargaard, Soren ; Kallestrup-Lamb, Malene ; Alvarez, Jesus-Adrian. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:363-375.

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2021Recent declines in life expectancy: Implication on longevity risk hedging. (2021). Liu, Yanxin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:376-394.

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2021Incorporating statistical clustering methods into mortality models to improve forecasting performances. (2021). Cheng, Echo Sihan ; Tsai, Cary Chi-Liang. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:42-62.

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2021The economics of sharing macro-longevity risk. (2021). van Ool, Annick ; Mehlkopf, Roel ; Broeders, Dirk. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:440-458.

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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.
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2006Longevity Risk and Capital Markets In: Journal of Risk & Insurance.
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2011Longevity Risk and Capital Markets.(2011) In: North American Actuarial Journal.
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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.
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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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2017MANAGING FINANCIALLY DISTRESSED PENSION PLANS IN THE INTEREST OF BENEFICIARIES In: Journal of Risk & Insurance.
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2017Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference In: Journal of Risk & Insurance.
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2017Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference.(2017) In: Journal of Risk & Insurance.
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2017Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference.(2017) In: Journal of Risk & Insurance.
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2017Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference.(2017) In: Journal of Risk & Insurance.
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2017Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference.(2017) In: Journal of Risk & Insurance.
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2017Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference.(2017) In: Journal of Risk & Insurance.
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2017Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference.(2017) In: Journal of Risk & Insurance.
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2017Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference.(2017) In: Journal of Risk & Insurance.
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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.
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2002International Asset Allocation with Time-Varying Investment Opportunities In: CEPR Discussion Papers.
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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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2020CBDX: a workhorse mortality model from the Cairns–Blake–Dowd family In: Annals of Actuarial Science.
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2020Identifiability in age/period mortality models In: Annals of Actuarial Science.
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2020Identifiability in age/period/cohort mortality models In: Annals of Actuarial Science.
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2006Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk* In: ASTIN Bulletin.
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2011Bayesian Stochastic Mortality Modelling for Two Populations In: ASTIN Bulletin.
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2017MODELLING MORTALITY FOR PENSION SCHEMES In: ASTIN Bulletin.
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2019MODELLING SOCIO-ECONOMIC DIFFERENCES IN MORTALITY USING A NEW AFFLUENCE INDEX In: ASTIN Bulletin.
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2006Living with Mortality: Longevity Bonds and Other Mortality-Linked Securities In: British Actuarial Journal.
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2019Still living with mortality: the longevity risk transfer market after one decade In: British Actuarial Journal.
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2017New Evidence on Mutual Fund Performance: AÂ Comparison of Alternative Bootstrap Methods In: Journal of Financial and Quantitative Analysis.
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1996Efficiency, Risk Aversion and Portfolio Insurance: An Analysis of Financial Asset Portfolios Held by Investors in the United Kingdom. In: Economic Journal.
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2000Does It Matter What Type of Pension Scheme You Have? In: Economic Journal.
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2006On The Sustainability of the UK State Pension System in the Light of Population Ageing and Declining Fertility In: Economic Journal.
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1986The Performance of UK Exchange Rate Forecasters. In: Economic Journal.
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2006Stochastic lifestyling: Optimal dynamic asset allocation for defined contribution pension plans In: Journal of Economic Dynamics and Control.
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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.
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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.
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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.
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2019The valuation of no-negative equity guarantees and equity release mortgages In: Economics Letters.
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2014Improved inference in the evaluation of mutual fund performance using panel bootstrap methods In: Journal of Econometrics.
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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.
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2017The market for lemmings: The herding behavior of pension funds In: Journal of Financial Markets.
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1998Pension schemes as options on pension fund assets: implications for pension fund management In: Insurance: Mathematics and Economics.
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2001Pensionmetrics: stochastic pension plan design and value-at-risk during the accumulation phase In: Insurance: Mathematics and Economics.
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2003Pensionmetrics 2: stochastic pension plan design during the distribution phase In: Insurance: Mathematics and Economics.
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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.
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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.
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2010Evaluating the goodness of fit of stochastic mortality models In: Insurance: Mathematics and Economics.
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2011Mortality density forecasts: An analysis of six stochastic mortality models In: Insurance: Mathematics and Economics.
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2015Modelling longevity bonds: Analysing the Swiss Re Kortis bond In: Insurance: Mathematics and Economics.
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2018Longevity risk and capital markets: The 2015–16 update In: Insurance: Mathematics and Economics.
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2018Longevity risk and capital markets: The 2015–16 update.(2018) In: Post-Print.
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2018Identifiability, cointegration and the gravity model In: Insurance: Mathematics and Economics.
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2021Longevity risk and capital markets: The 2019-20 update In: Insurance: Mathematics and Economics.
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1991Debt-equity swaps as bond conversions: implications for pricing In: Journal of Banking & Finance.
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2018Network centrality and delegated investment performance In: Journal of Financial Economics.
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1982Monetarism and the US economy: A re-evaluation of Steins model 1960-1973 In: Journal of Monetary Economics.
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2004Liability valuation and optimal asset allocation In: LSE Research Online Documents on Economics.
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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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2003UK pension fund management after Myners: The hunt for correlation begins.(2003) In: Journal of Asset Management.
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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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2002Performance clustering and incentives in the UK pension fund industry In: LSE Research Online Documents on Economics.
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2016The Myth of Methuselah and the Uncertainty of Death: The Mortality Fan Charts In: Risks.
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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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2011Optimal Investment Strategies in Defined Contribution Pension Plans In: Palgrave Macmillan Books.
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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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2010Why does mutual fund performance not persist? The impact and interaction of fund flows and manager changes In: MPRA Paper.
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2021A Bayesian Approach to Modeling and Projecting Cohort Effects In: North American Actuarial Journal.
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2021Forward Mortality Rates in Discrete Time I: Calibration and Securities Pricing In: North American Actuarial Journal.
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2021Forward Mortality Rates in Discrete Time II: Longevity Risk and Hedging Strategies In: North American Actuarial Journal.
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2005“Pensions and Capital Structure: Why Hold Equities in the Pension Fund?”, John Ralfe, Cliff Speed, and Jon Palin, July 2004 In: North American Actuarial Journal.
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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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