David Blake : Citation Profile


Are you David Blake?

City University

23

H index

45

i10 index

1695

Citations

RESEARCH PRODUCTION:

106

Articles

44

Papers

1

Books

3

Chapters

RESEARCH ACTIVITY:

   39 years (1981 - 2020). See details.
   Cites by year: 43
   Journals where David Blake has often published
   Relations with other researchers
   Recent citing documents: 95.    Total self citations: 70 (3.97 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pbl129
   Updated: 2021-03-07    RAS profile: 2021-01-27    
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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:

Mitchell, Olivia (31)

De Waegenaere, Anja (29)

Broeders, Dirk (25)

luciano, elisa (22)

Loisel, Stéphane (14)

Li, Youwei (14)

Menoncin, Francesco (13)

Tsai, Jeffrey (12)

Drew, Michael (12)

Bravo, Jorge (11)

Herve, Fabrice (10)

Cites to:

Lee, Ronald (20)

merton, robert (17)

Dowd, Kevin (15)

Mitchell, Olivia (15)

Cummins, John (14)

Thaler, Richard (14)

Biffis, Enrico (13)

Timmermann, Allan (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
Economic Journal4
ASTIN Bulletin4
Journal of Economic Dynamics and Control3
Applied Financial Economics3
Annals of Actuarial Science3
Asia-Pacific Journal of Risk and Insurance2
Scottish Journal of Political Economy2
European Economic Review2
The Journal of Business2

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 (2021 and 2020)


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

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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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2020Hedging longevity risk in defined contribution pension schemes. (2019). Wang, Yongjie. In: Papers. RePEc:arx:papers:1904.10229.

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2020Sharing of longevity basis risk in pension schemes with income-drawdown guarantees. (2020). Wang, Yongjie ; Ewald, Christian-Oliver ; Agarwal, Ankush. In: Papers. RePEc:arx:papers:2002.05232.

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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). Liu, Yang ; Zhang, Litian ; Liang, Zongxia. 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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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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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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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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2020Survival and Pricing Puzzles. (2020). Nicodano, Giovanna ; Altieri, Michela . In: Carlo Alberto Notebooks. RePEc:cca:wpaper:604.

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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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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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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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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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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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2021Forecasting mortality with a hyperbolic spatial temporal VAR model. (2021). Chang, LE ; Shi, Yanlin ; Feng, Lingbing. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:1:p:255-273.

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2021Killing off cohorts: Forecasting mortality of non-extinct cohorts with the penalized composite link model. (2021). Vaupel, James W ; Lindahl-Jacobsen, Rune ; Camarda, Carlo Giovanni ; Boucher, Marie-Pier Bergeron ; Kjargaard, Soren ; Rizzi, Silvia. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:1:p:95-104.

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2020Pension fund equity performance: Patience, activity or both?. (2020). Luivjanska, Katarina ; van Lelyveld, Iman ; Gonzalez, Tanja Artiga. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:115:y:2020:i:c:s0378426620300790.

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2020Optimal life-cycle labour supply, consumption, and investment: The role of longevity-linked assets. (2020). Regis, Luca ; Menoncin, Francesco. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:120:y:2020:i:c:s0378426620301977.

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2020Vying for dominance: An experiment in dynamic network formation. (2020). Neligh, Nathaniel. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:178:y:2020:i:c:p:719-739.

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2020Information rigidities and exchange rate expectations. (2020). Reitz, Stefan ; Beckmann, Joscha. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:105:y:2020:i:c:s0261560618301414.

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2020Consumer resistance and inertia of retail investors: Development of the resistance adoption inertia continuance (RAIC) framework. (2020). Dhir, Amandeep ; Saxena, Akanksha ; Bhatia, Anuj ; Talwar, Shalini ; Seth, Himanshu. In: Journal of Retailing and Consumer Services. RePEc:eee:joreco:v:55:y:2020:i:c:s0969698919309567.

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2020An evaluation of Chinese securities investment fund performance. (2020). Sherman, Meadhbh ; Osullivan, Niall ; Gao, Jun. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:76:y:2020:i:c:p:249-259.

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2020Mitigating free riding in social networks: The impact of underestimating others’ ability in financial market. (2020). Fang, Libing ; Ding, Jing ; Chen, Shi. In: International Review of Economics & Finance. RePEc:eee:reveco:v:70:y:2020:i:c:p:582-599.

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2020Behavioural analysis of socially responsible investment managers: specialists versus non-specialists. (2020). Vicente, Ruth ; Alda, Mercedes. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531920300647.

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2020Stochastic Mortality Modelling for Dependent Coupled Lives. (2020). Pamen, Olivier Menoukeu ; Constantinescu, Corina ; Henshaw, Kira. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:1:p:17-:d:319039.

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2020Retiree Mortality Forecasting: A Partial Age-Range or a Full Age-Range Model?. (2020). Haberman, Steven ; Shang, Han Lin. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:3:p:69-:d:378980.

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2020The Impact of Model Uncertainty on Index-Based Longevity Hedging and Measurement of Longevity Basis Risk. (2020). Li, Jackie ; Balasooriya, Uditha. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:3:p:80-:d:393076.

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2020The Linear Link: Deriving Age-Specific Death Rates from Life Expectancy. (2020). Aburto, Jose Manuel ; Basellini, Ugofilippo ; Pascariu, Marius D ; Canudas-Romo, Vladimir. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:4:p:109-:d:431746.

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2020Modeling County-Level Spatio-Temporal Mortality Rates Using Dynamic Linear Models. (2020). Hartman, Brian ; Groendyke, Chris ; Gibbs, Zoe ; Richardson, Robert. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:4:p:117-:d:440287.

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2020Parsimonious Predictive Mortality Modeling by Regularization and Cross-Validation with and without Covid-Type Effect. (2020). Salhi, Yahia ; Loisel, Stephane ; Barigou, Karim. In: Risks. RePEc:gam:jrisks:v:9:y:2020:i:1:p:5-:d:467790.

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2020Pension Fund Management, Investment Performance, and Herding in the Context of Regulatory Changes: New Evidence from the Polish Pension System. (2020). Mosionek-Schweda, Magdalena ; Dopieraa, Ukasz. In: Risks. RePEc:gam:jrisks:v:9:y:2020:i:1:p:6-:d:469630.

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2021A Study on Link Functions for Modelling and Forecasting Old-Age Survival Probabilities of Australia and New Zealand. (2021). Liu, Jacie Jia. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:1:p:11-:d:473947.

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2020Economic Paradigms and Corporate Culture after the Great COVID-19 Pandemic: Towards a New Role of Welfare Organisations and Insurers. (2020). Sibillo, Marilena ; di Lorenzo, Emilia. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:19:p:8163-:d:423194.

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2020Fiscal Sustainability in Aging Societies: Evidence from Euro Area Countries. (2020). Sosvilla-Rivero, Simon ; del Carmen, Maria. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:24:p:10276-:d:459061.

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2020Assessing the Sustainability of China’s Basic Pension Funding for Urban and Rural Residents. (2020). Xian, Xinghui ; Su, Changhao ; Sun, Lanying. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:7:p:2833-:d:340637.

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2020Sharing of longevity basis risk in pension schemes with income-drawdown guarantees. (2020). Wang, Yongjie ; Ewald, Christian-Oliver ; Agarwal, Ankush. In: Working Papers. RePEc:gla:glaewp:2020_18.

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2020Mortality data correction in the absence of monthly fertility records. (2020). Elfassihi, Amal ; Boumezoued, Alexandre. In: Working Papers. RePEc:hal:wpaper:hal-02634631.

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2020Deep neural network for optimal retirement consumption in defined contribution pension system. (2020). Langrene, Nicolas ; Chen, Wen. In: Working Papers. RePEc:hal:wpaper:hal-02909818.

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2020An age-at-death distribution approach to forecast cohort mortality. (2020). Camarda, Carlo Giovanni ; Kjargaard, Soren ; Basellini, Ugofilippo. In: Working Papers. RePEc:idg:wpaper:axafx5_3agsuwaphvlfk.

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2020Performance of Personal Pension Funds in Portugal. (2020). Costa, Beatriz ; Medeiros, Maria Teresa. In: International Advances in Economic Research. RePEc:kap:iaecre:v:26:y:2020:i:3:d:10.1007_s11294-020-09791-3.

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2021Under pressure: investment behaviour of insurers under different financial and regulatory conditions. (2021). Reddic, Willie Dion. In: The Geneva Papers on Risk and Insurance - Issues and Practice. RePEc:pal:gpprii:v:46:y:2021:i:1:d:10.1057_s41288-020-00174-7.

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2020Broker Network Connectivity and the Cross-Section of Expected Stock Returns. (2020). Sensoy, Ahmet ; Nguyen, Duc Khuong ; Demir, Muge ; Tinic, Murat. In: MPRA Paper. RePEc:pra:mprapa:104719.

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2020Estimation of interest rates’ impact on mutual funds’ performance in the USA. (2020). Kurbatskiy, Alexey ; Kurbatskii, Aleksei ; Emelyanov, Nikita ; Voronina, Anna ; Artamonov, Nikita. In: Applied Econometrics. RePEc:ris:apltrx:0394.

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2020Sustaining the current or pursuing the new: incumbent digital transformation strategies in the financial service industry. (2020). Dehnert, Maik. In: Business Research. RePEc:spr:busres:v:13:y:2020:i:3:d:10.1007_s40685-020-00136-8.

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2020Rotation of the age pattern of mortality improvements in the European Union. (2020). Vekas, Peter. In: Central European Journal of Operations Research. RePEc:spr:cejnor:v:28:y:2020:i:3:d:10.1007_s10100-019-00617-0.

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2020Does surplus/deficit sharing increase risk-taking in a corporate defined benefit pension plan?. (2020). Romaniuk, Katarzyna. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:43:y:2020:i:1:d:10.1007_s10203-019-00252-z.

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2020Constructing dynamic life tables with a single-factor model. (2020). Balbas, Alejandro ; Atance, David ; Navarro, Eliseo . In: Decisions in Economics and Finance. RePEc:spr:decfin:v:43:y:2020:i:2:d:10.1007_s10203-020-00308-5.

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2020A Stackelberg Game of Backward Stochastic Differential Equations with Applications. (2020). Shi, Jingtao ; Zheng, Yueyang. In: Dynamic Games and Applications. RePEc:spr:dyngam:v:10:y:2020:i:4:d:10.1007_s13235-019-00341-z.

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2021Mortality Forecasting with the Lee–Carter Method: Adjusting for Smoothing and Lifespan Disparity. (2021). Mazzuco, Stefano ; Fazle, Ahbab Mohammad. In: European Journal of Population. RePEc:spr:eurpop:v:37:y:2021:i:1:d:10.1007_s10680-020-09559-9.

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2020An optimization model of retiree decisions under recursive utility with housing. (2020). Aydilek, Harun. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:44:y:2020:i:2:d:10.1007_s12197-019-09485-5.

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2020A modified common factor model for modelling mortality jointly for both sexes. (2020). Tang, Sixian ; Li, Jackie ; Wong, Kenneth. In: Journal of Population Research. RePEc:spr:joprea:v:37:y:2020:i:2:d:10.1007_s12546-020-09243-z.

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2020Open innovation from the perspective of network embedding: knowledge evolution and development trend. (2020). Tang, Liu ; Liu, Ting. In: Scientometrics. RePEc:spr:scient:v:124:y:2020:i:2:d:10.1007_s11192-020-03520-7.

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2020Mathematical Reserves vs Longevity Risk in Life Insurances. (2020). Magdalena, Homa. In: Econometrics. Advances in Applied Data Analysis. RePEc:vrs:eaiada:v:24:y:2020:i:1:p:23-38:n:3.

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2020Insight into stagnating adult life expectancy: Analyzing cause of death patterns across socioeconomic groups. (2020). , Carsten ; Kjargaard, Soren ; Kallestruplamb, Malene. In: Health Economics. RePEc:wly:hlthec:v:29:y:2020:i:12:p:1728-1743.

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2021Cross?shareholding networks and stock price synchronicity: Evidence from China. (2021). Zhou, Weixing ; Yuan, Yujie ; Wen, Fenghua. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:1:p:914-948.

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2020Mutual fund performance: The decision quality and capital magnet efficiencies. (2020). Hsieh, Pierre H ; Liu, Naiyu ; Lu, Wenmin ; Tebourbi, Imen. In: Managerial and Decision Economics. RePEc:wly:mgtdec:v:41:y:2020:i:5:p:861-872.

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2020Factor exposure variation and mutual fund performance. (2020). Weigert, Florian ; Fischer, Sebastian ; Ammann, Manuel. In: CFR Working Papers. RePEc:zbw:cfrwps:2006.

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2020Household finance. (2020). Haliassos, Michael ; Gomes, Francisco J ; Ramadorai, Tarun. In: IMFS Working Paper Series. RePEc:zbw:imfswp:138.

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2020Fundamental determinants of exchange rate expectations. (2020). Czudaj, Robert ; Beckmann, Joscha. In: VfS Annual Conference 2020 (Virtual Conference): Gender Economics. RePEc:zbw:vfsc20:224617.

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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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paper2
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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article1
2013Decentralized Investment Management: Evidence from the Pension Fund Industry In: Journal of Finance.
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article23
2010Decentralized Investment Management: Evidence from the Pension Fund Industry.(2010) In: CEPR Discussion Papers.
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paper
2010Decentralized investment management: evidence from the pension fund industry.(2010) In: MPRA Paper.
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paper
2016Phantoms never die: living with unreliable population data In: Journal of the Royal Statistical Society Series A.
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article8
2003Reply to “Survivor Bonds: A Comment on Blake and Burrows” In: Journal of Risk & Insurance.
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article1
2006Survivor Swaps In: Journal of Risk & Insurance.
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article34
2006After VaR: The Theory, Estimation, and Insurance Applications of Quantile‐Based Risk Measures In: Journal of Risk & Insurance.
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article40
2006Longevity Risk and Capital Markets In: Journal of Risk & Insurance.
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article7
2011Longevity Risk and Capital Markets.(2011) In: North American Actuarial Journal.
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article
2006Longevity Bonds: Financial Engineering, Valuation, and Hedging In: Journal of Risk & Insurance.
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article56
2006A Two‐Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration In: Journal of Risk & Insurance.
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article203
2010Survivor Derivatives: A Consistent Pricing Framework In: Journal of Risk & Insurance.
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article13
2013Longevity Risk and Capital Markets: The 2011–2012 Update In: Journal of Risk & Insurance.
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article2
2013The New Life Market In: Journal of Risk & Insurance.
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article16
2013Informed Intermediation of Longevity Exposures In: Journal of Risk & Insurance.
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article5
2016The Cost of Counterparty Risk and Collateralization in Longevity Swaps In: Journal of Risk & Insurance.
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article23
2011The cost of counterparty risk and collateralization in longevity swaps.(2011) In: MPRA Paper.
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paper
2017MANAGING FINANCIALLY DISTRESSED PENSION PLANS IN THE INTEREST OF BENEFICIARIES In: Journal of Risk & Insurance.
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article0
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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2017Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference.(2017) In: Journal of Risk & Insurance.
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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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article
1992The Demand for Cider in the United Kingdom. In: Oxford Bulletin of Economics and Statistics.
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article0
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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article1
1990Portfolio Behaviour and Asset Pricing in a Characteristics Framework. In: Scottish Journal of Political Economy.
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article1
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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article
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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paper
2005International Asset Allocation with Time-Varying Investment Opportunities.(2005) In: The Journal of Business.
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article
2010Did the Housing Boom Increase Household Spending In: Issues in Brief.
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paper2
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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article75
2011Bayesian Stochastic Mortality Modelling for Two Populations In: ASTIN Bulletin.
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article40
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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article2
2006Living with Mortality: Longevity Bonds and Other Mortality-Linked Securities In: British Actuarial Journal.
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article64
2017New Evidence on Mutual Fund Performance: AÂ Comparison of Alternative Bootstrap Methods In: Journal of Financial and Quantitative Analysis.
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article4
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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article60
2000Does It Matter What Type of Pension Scheme You Have? In: Economic Journal.
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article20
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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article26
1986The Performance of UK Exchange Rate Forecasters. In: Economic Journal.
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article21
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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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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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 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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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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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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2014A General Procedure for Constructing Mortality Models In: North American Actuarial Journal.
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