David Blake : Citation Profile

Are you David Blake?

City University

21

H index

41

i10 index

1457

Citations

RESEARCH PRODUCTION:

103

Articles

44

Papers

1

Books

3

Chapters

RESEARCH ACTIVITY:

   38 years (1981 - 2019). See details.
   Cites by year: 38
   Journals where David Blake has often published
   Relations with other researchers
   Recent citing documents: 172.    Total self citations: 69 (4.52 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pbl129
   Updated: 2020-01-25    RAS profile: 2020-01-04    
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Relations with other researchers

Works with:

Tonks, Ian (5)

Milidonis, Andreas (2)

Loisel, Stéphane (2)

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

Is cited by:

Mitchell, Olivia (31)

De Waegenaere, Anja (29)

Broeders, Dirk (25)

luciano, elisa (19)

Loisel, Stéphane (14)

Tsai, Jeffrey (12)

Drew, Michael (12)

Menoncin, Francesco (12)

Li, Youwei (12)

Bravo, Jorge (11)

Mitchell, Shannon (10)

Cites to:

Lee, Ronald (19)

merton, robert (17)

Dowd, Kevin (15)

Mitchell, Olivia (15)

Thaler, Richard (14)

Timmermann, Allan (14)

Cummins, John (14)

Biffis, Enrico (13)

Poterba, James (12)

Brown, Jeffrey (11)

Summers, Lawrence (10)

Main data

Where David Blake has published?

Journals with more than one article published# docs
Journal of Risk & Insurance25
Insurance: Mathematics and Economics12
North American Actuarial Journal11
The Geneva Papers on Risk and Insurance - Issues and Practice5
ASTIN Bulletin: The Journal of the International Actuarial Association4
Economic Journal4
Applied Financial Economics3
Journal of Economic Dynamics and Control3
British Actuarial Journal2
European Economic Review2
Asia-Pacific Journal of Risk and Insurance2
The Journal of Business2
Scottish Journal of Political Economy2

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 (2019 and 2018)

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

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

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2018Mutual Fund Selection for Realistically Short Samples. (2018). Christiansen, Charlotte ; Nielsen, Ole L ; Gronborg, Niels S. In: CREATES Research Papers. RePEc:aah:create:2018-36.

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2019Forecasting Causes of Death using Compositional Data Analysis: the Case of Cancer Deaths. (2019). Lindahl-Jacobsen, Rune ; Oeppen, Jim ; Kallestrup-Lamb, Malene ; Ergemen, Yunus Emre ; Kjargaard, Soren. In: CREATES Research Papers. RePEc:aah:create:2019-07.

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2019Longevity forecasting by socio-economic groups using compositional data analysis. (2019). Kallestrup-Lamb, Malene ; Oeppen, Jim ; Boucher, Marie-Pier Bergeron ; Ergemen, Yunus Emre ; Kjargaard, Soren. In: CREATES Research Papers. RePEc:aah:create:2019-08.

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2019Insight into Stagnating Life Expectancy: Analysing Cause of Death Patterns across Socio-economic Groups. (2019). , Carsten ; Kjargaard, Soren ; Kallestrup-Lamb, Malene. In: CREATES Research Papers. RePEc:aah:create:2019-20.

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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). Shevchenko, Pavel V ; Peters, Gareth W ; Fung, Man Chung. In: Papers. RePEc:arx:papers:1703.08282.

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2018Sequential Design and Spatial Modeling for Portfolio Tail Risk Measurement. (2018). Risk, James ; Ludkovski, Michael. 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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2019Extended Reduced-Form Framework for Non-Life Insurance. (2018). Zhang, Yinglin ; Biagini, Francesca. In: Papers. RePEc:arx:papers:1802.07741.

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2018Mortality data reliability in an internal model. (2018). Popa, Tom ; Habart, Marine ; Devineau, Laurent ; Boumezoued, Alexandre ; Balland, Fabrice. 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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2019Optimal investment for participating insurance contracts under VaR-Regulation. (2019). Stadje, Mitja ; Nguyen, Thai. In: Papers. RePEc:arx:papers:1805.09068.

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2018Mortality/longevity Risk-Minimization with or without securitization. (2018). Vanmaele, Michele ; Daveloose, Catherine ; Choulli, Tahir. In: Papers. RePEc:arx:papers:1805.11844.

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2018Diversifying portfolios of U.S. stocks with crude oil and natural gas: A regime-dependent optimization with several risk measures. (2018). Gatfaoui, Hayette. In: Papers. RePEc:arx:papers:1811.02382.

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2018Retirement spending and biological age. (2018). Salisbury, Thomas S ; Milevsky, Moshe A ; Huang, Huaxiong . In: Papers. RePEc:arx:papers:1811.09921.

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2018The implied longevity curve: How long does the market think you are going to live?. (2018). Chigodaev, Alexander ; Salisbury, Thomas S ; Milevsky, Moshe A. In: Papers. RePEc:arx:papers:1811.09932.

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2019Cross-shareholding networks and stock price synchronicity: Evidence from China. (2019). Zhou, Wei-Xing ; Yuan, Yujie ; Wen, Fenghua. In: Papers. RePEc:arx:papers:1903.01655.

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2019Modern tontine with bequest: innovation in pooled annuity products. (2019). Donnelly, Catherine ; Bernhardt, Thomas. In: Papers. RePEc:arx:papers:1903.05990.

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2019Hedging longevity risk in defined contribution pension schemes. (2019). Wang, Yongjie. In: Papers. RePEc:arx:papers:1904.10229.

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2019Near-Optimal Dynamic Asset Allocation in Financial Markets with Trading Constraints. (2019). Pelsser, Antoon ; Kamma, Thijs. In: Papers. RePEc:arx:papers:1906.12317.

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2019Mean-variance hedging of unit linked life insurance contracts in a jump-diffusion model. (2019). Stadje, Mitja ; Bosserhoff, Frank. In: Papers. RePEc:arx:papers:1908.05534.

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2019Quantifying Life Insurance Risk using Least-Squares Monte Carlo. (2019). Pfaffel, Oliver ; Lempertseder, Robert ; Krebs, Johannes ; Baumgart, Claus. In: Papers. RePEc:arx:papers:1910.03951.

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2019Growth and Activity Diversification: the impact of financing non-traditional local activities. (2019). Tabak, Benjamin ; Silva, Thiago. In: Working Papers Series. RePEc:bcb:wpaper:498.

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2019French Households’ Portfolio: The Financial Almost Ideal Demand System Appraisal. (2019). Pfister, Christian ; Sedillot, Franck ; Avouyi-Dovi, Sanvi. In: Working papers. RePEc:bfr:banfra:728.

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2019Mortality Options: the Point of View of an Insurer. (2019). Schmidli, Hanspeter ; Schmeck, Maren Diane. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:616.

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2019The payback of mutual fund selectivity in European markets. (2019). Doukas, John A ; Dong, Feng. In: European Financial Management. RePEc:bla:eufman:v:25:y:2019:i:1:p:160-180.

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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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2018What drives UK defined benefit pension funds investment behaviour?. (2018). Roberts-Sklar, Matt ; Douglas, Graeme . In: Bank of England working papers. RePEc:boe:boeewp:0757.

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2019Simulating stress in the UK corporate bond market: investor behaviour and asset fire-sales. (2019). Silvestri, Laura ; Douglas, Graeme ; Baranova, Yuliya. In: Bank of England working papers. RePEc:boe:boeewp:0803.

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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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2019Resurrecting the UK Sector National Accounts after 1945. (2019). Martin, Bill . In: Working Papers. RePEc:cbr:cbrwps:wp514.

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2018Getting Life Expectancy Estimates Right for Pension Policy: Period versus Cohort Approach. (2018). Bravo, Jorge ; Ayuso, mercedes ; Holzman, Robert ; Miguelbravo, Jorge. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7349.

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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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2019Smooth constrained mortality forecasting. (2019). Camarda, Carlo Giovanni. In: Demographic Research. RePEc:dem:demres:v:41:y:2019:i:38.

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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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2018Herding behavior of Dutch pension funds in asset class investments. (2018). Bikker, Jacob ; Koetsier, Ian. In: DNB Working Papers. RePEc:dnb:dnbwpp:602.

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2018Benchmark selection and performance. (2018). de Haan, Leo ; Broeders, Dirk. In: DNB Working Papers. RePEc:dnb:dnbwpp:603.

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2018Pension fund equity performance: Patience, activity or both?. (2018). Lelyveld, Iman ; Artiga Gonzalez, Tanja ; Lucivjanska, Katarina ; van Lelyveld, Iman. In: DNB Working Papers. RePEc:dnb:dnbwpp:606.

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2018Pension Funds Interconnections and Herd Behavior. (2018). Broeders, Dirk ; Bonneti, Matteo ; Bauer, Rob. In: DNB Working Papers. RePEc:dnb:dnbwpp:612.

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2018The economics of sharing macro-longevity risk. (2018). Ool, Annick ; Broeders, Dirk ; van Ool, Annick ; Mehlkopf, Roel. In: DNB Working Papers. RePEc:dnb:dnbwpp:618.

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2019Optimal investment and benefit payment strategy under loss aversion for target benefit pension plans. (2019). Wang, Suxin ; Zhao, Hui ; Rong, Ximin. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:346:y:2019:i:c:p:205-218.

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2019Valuation of mortgage interest deductibility under uncertainty: An option pricing approach. (2019). Afkhami, Mohamad ; Ghoddusi, Hamed. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:103:y:2019:i:c:p:102-122.

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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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2018Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility. (2018). Zeng, Yan ; Yang, Zhou ; Chen, Zheng ; Li, Danping. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:88:y:2018:i:c:p:70-103.

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2019Are pension funds actively decarbonizing their portfolios?. (2019). Boermans, Martijn ; Galema, Rients. In: Ecological Economics. RePEc:eee:ecolec:v:161:y:2019:i:c:p:50-60.

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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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2018Survivorship bias and comparability of UK open-ended fund databases. (2018). Hanke, Bernd ; Zagonov, Maxim ; Quigley, Garrett ; Keswani, Aneel . In: Economics Letters. RePEc:eee:ecolet:v:172:y:2018:i:c:p:110-114.

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2018Improved estimators of extreme Wang distortion risk measures for very heavy-tailed distributions. (2018). STUPFLER, Gilles ; el Methni, Jonathan. In: Econometrics and Statistics. RePEc:eee:ecosta:v:6:y:2018:i:c:p:129-148.

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2019Labor market effects of demographic shifts and migration in OECD countries. (2019). Mattoo, Aaditya ; Kone, Zovanga L ; Docquier, Frederic ; Ozden, Caglar. In: European Economic Review. RePEc:eee:eecrev:v:113:y:2019:i:c:p:297-324.

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2018Strategic workforce planning in healthcare: A multi-methodology approach. (2018). Willis, Graham ; Kunc, Martin ; Cave, Sion. In: European Journal of Operational Research. RePEc:eee:ejores:v:267:y:2018:i:1:p:250-263.

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2018Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures. (2018). Brigo, Damiano ; Vrins, Frederic. In: European Journal of Operational Research. RePEc:eee:ejores:v:269:y:2018:i:3:p:1154-1164.

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2019Nonlinear valuation under credit, funding, and margins: Existence, uniqueness, invariance, and disentanglement. (2019). Brigo, Damiano ; Pallavicini, Andrea ; Francischello, Marco. In: European Journal of Operational Research. RePEc:eee:ejores:v:274:y:2019:i:2:p:788-805.

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2018Time-varying skills (versus luck) in U.S. active mutual funds and hedge funds. (2018). Cai, Biqing ; Yan, Cheng ; Cheng, Tingting. In: Journal of Empirical Finance. RePEc:eee:empfin:v:49:y:2018:i:c:p:81-106.

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2019Diversifying portfolios of U.S. stocks with crude oil and natural gas: A regime-dependent optimization with several risk measures. (2019). Gatfaoui, Hayette. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:132-152.

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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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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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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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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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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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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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2018The choice of trigger in an insurance linked security: The mortality risk case. (2018). MacMinn, Richard ; Richter, Andreas. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:78:y:2018:i:c:p:174-182.

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2018The effect of longevity drift and investment volatility on income sufficiency in retirement. (2018). Mayhew, Les ; Wright, Douglas ; Smith, David. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:78:y:2018:i:c:p:201-211.

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2018Valuation of longevity-linked life annuities. (2018). Bravo, Jorge ; el Mekkaoui, Najat. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:78:y:2018:i:c:p:212-229.

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2018Unisex pricing of German participating life annuities—Boon or bane for customer and insurance company?. (2018). Bruszas, Sandy ; Siegelin, Ivonne ; Maurer, Raimond ; Kaschutzke, Barbara. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:78:y:2018:i:c:p:230-245.

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2018A strategy for hedging risks associated with period and cohort effects using q-forwards. (2018). Liu, Yanxin . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:78:y:2018:i:c:p:267-285.

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2018Do actuaries believe in longevity deceleration?. (2018). Debonneuil, Edouard ; Planchet, Frederic ; Loisel, Stephane. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:78:y:2018:i:c:p:325-338.

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2018The double-gap life expectancy forecasting model. (2018). Pascariu, Marius D ; Vaupel, James W ; Canudas-Romo, Vladimir. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:78:y:2018:i:c:p:339-350.

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2018Mortality models and longevity risk for small populations. (2018). Wang, Hsin-Chung ; Chong, Chen-Tai ; Yue, Ching-Syang Jack. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:78:y:2018:i:c:p:351-359.

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2018Modeling trend processes in parametric mortality models. (2018). Borger, Matthias ; Schupp, Johannes. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:78:y:2018:i:c:p:369-380.

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2018Asset allocation for a DC pension fund under stochastic interest rates and inflation-protected guarantee. (2018). Tang, Mei-Ling ; Wu, Ting-Pin ; Lai, Gene C ; Chen, Son-Nan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:78:y:2018:i:c:p:87-104.

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2018De-risking strategy: Longevity spread buy-in. (2018). Damato, Valeria ; Sibillo, Marilena ; Sagoo, Pretty ; Haberman, Steven ; di Lorenzo, Emilia. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:79:y:2018:i:c:p:124-136.

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2018Optimal investment management for a defined contribution pension fund under imperfect information. (2018). Zhang, Ling ; Yao, Haixiang. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:79:y:2018:i:c:p:210-224.

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2018Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility. (2018). Wang, Pei ; Li, Zhongfei. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:80:y:2018:i:c:p:67-83.

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2018Portfolio optimization in a defined benefit pension plan where the risky assets are processes with constant elasticity of variance. (2018). Josa-Fombellida, Ricardo ; Rincon-Zapatero, Juan Pablo ; Lopez-Casado, Paula. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:82:y:2018:i:c:p:73-86.

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2018A comparative study of pricing approaches for longevity instruments. (2018). Leung, Melvern ; Ohare, Colin ; Fung, Man Chung. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:82:y:2018:i:c:p:95-116.

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2018Bayesian mortality forecasting with overdispersion. (2018). , Jackie ; PEter, ; Forster, Jonathan J. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:83:y:2018:i:c:p:206-221.

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2019Delta-hedging longevity risk under the M7–M5 model: The impact of cohort effect uncertainty and population basis risk. (2019). Zhou, Kenneth Q ; Li, Johnny Siu-Hang. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:84:y:2019:i:c:p:1-21.

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2019Optimal investment of DC pension plan under short-selling constraints and portfolio insurance. (2019). Zheng, Harry ; Dong, Yinghui. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:85:y:2019:i:c:p:47-59.

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2019A dynamic equivalence principle for systematic longevity risk management. (2019). Dhaene, Jan ; Denuit, Michel ; Hanbali, Hamza ; Trufin, Julien. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:86:y:2019:i:c:p:158-167.

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2019Modern tontine with bequest: Innovation in pooled annuity products. (2019). Donnelly, Catherine ; Bernhardt, Thomas. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:86:y:2019:i:c:p:168-188.

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2019Incorporating big microdata in life table construction: A hypothesis-free estimator. (2019). Morillas-Jurado, Francisco G ; Pavia, Jose M ; Lledo, Josep . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:88:y:2019:i:c:p:138-150.

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2019A continuous-time stochastic model for the mortality surface of multiple populations. (2019). Regis, Luca ; Jevti, Petar. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:88:y:2019:i:c:p:181-195.

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2019Forecasting mortality rate improvements with a high-dimensional VAR. (2019). Piette, Pierrick ; Lopez, Olivier ; Guibert, Quentin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:88:y:2019:i:c:p:255-272.

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2019Do closed-end fund investors herd?. (2019). Gebka, Bartosz ; Cui, Yueting ; Kallinterakis, Vasileios. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:105:y:2019:i:c:p:194-206.

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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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2018Value at risk and expected shortfall based on Gram-Charlier-like expansions. (2018). Zoia, Maria ; Nicolussi, Federica ; Biffi, Paola . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:93:y:2018:i:c:p:92-104.

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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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2018Measurement error in residential property valuation: An application of forecast combination. (2018). GLENNON, DENNIS ; Mayock, Tom ; Kiefer, Hua. In: Journal of Housing Economics. RePEc:eee:jhouse:v:41:y:2018:i:c:p:1-29.

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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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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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This paper has another version. Agregated cites: 0		article
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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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.
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2017MODELLING MORTALITY FOR PENSION SCHEMES In: ASTIN Bulletin: The Journal of the International Actuarial Association.
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2019MODELLING SOCIO-ECONOMIC DIFFERENCES IN MORTALITY USING A NEW AFFLUENCE INDEX 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.
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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: A 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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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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2018Identifiability, cointegration and the gravity model 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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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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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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2014Sharing Longevity Risk: Why Governments Should Issue Longevity Bonds.(2014) In: North American Actuarial Journal.
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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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2011A gravity model of mortality rates for two related populations In: MPRA Paper.
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2011A Gravity Model of Mortality Rates for Two Related Populations.(2011) In: North American Actuarial Journal.
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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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2014Keeping Some Skin in the Game: How to Start a Capital Market in Longevity Risk Transfers.(2014) In: North American Actuarial Journal.
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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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2009A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States In: North American Actuarial Journal.
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2010Backtesting Stochastic Mortality Models In: North American Actuarial Journal.
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2011Longevity Hedging 101 In: North American Actuarial Journal.
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2011A Computationally Efficient Algorithm for Estimating the Distribution of Future Annuity Values Under Interest-Rate and Longevity Risks In: North American Actuarial Journal.
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2014Longevity Risk and Capital Markets: The 2012–2013 Update In: North American Actuarial Journal.
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2014A General Procedure for Constructing Mortality Models 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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