David Blake : Citation Profile


Are you David Blake?

City University

26

H index

51

i10 index

2190

Citations

RESEARCH PRODUCTION:

123

Articles

44

Papers

1

Books

5

Chapters

RESEARCH ACTIVITY:

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

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pbl129
   Updated: 2022-07-02    RAS profile: 2022-06-01    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Morales, Marco (13)

Loisel, Stéphane (2)

Tonks, Ian (2)

Milidonis, Andreas (2)

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

Is cited by:

Bravo, Jorge (36)

Mitchell, Olivia (35)

Broeders, Dirk (33)

De Waegenaere, Anja (30)

Regis, Luca (29)

Li, Hong (25)

Li, Youwei (24)

luciano, elisa (24)

Loisel, Stéphane (21)

Holzmann, Robert (18)

Milevsky, Moshe (17)

Cites to:

Lee, Ronald (28)

Mitchell, Olivia (26)

Milevsky, Moshe (18)

merton, robert (18)

Dowd, Kevin (16)

Cummins, John (16)

Biffis, Enrico (16)

Thaler, Richard (16)

Laibson, David (14)

Timmermann, Allan (14)

Poterba, James (13)

Main data


Where David Blake has published?


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

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

Recent works citing David Blake (2022 and 2021)


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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.
[Full Text][Citation analysis]
paper2
2011Financial Risks and the Pension Protection Fund: Can it Survive Them? In: Papers.
[Full Text][Citation analysis]
paper1
2006Financial Risks and the Pension Protection Fund: Can it Survive Them?.(2006) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2011Financial Risks and the Pension Protection Fund:Can It Survive Them?.(2011) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2006PYRRHIC VICTORY? THE UNINTENDED CONSEQUENCE OF THE PENSIONS ACT 2004 In: Economic Affairs.
[Full Text][Citation analysis]
article0
2008What is a Promise from the Government Worth? Quantifying Political Risk in State and Personal Pension Schemes in the United Kingdom In: Economica.
[Full Text][Citation analysis]
article2
2013Decentralized Investment Management: Evidence from the Pension Fund Industry In: Journal of Finance.
[Full Text][Citation analysis]
article31
2010Decentralized Investment Management: Evidence from the Pension Fund Industry.(2010) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 31
paper
2010Decentralized investment management: evidence from the pension fund industry.(2010) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 31
paper
2016Phantoms never die: living with unreliable population data In: Journal of the Royal Statistical Society Series A.
[Full Text][Citation analysis]
article9
2003Reply to “Survivor Bonds: A Comment on Blake and Burrows” In: Journal of Risk & Insurance.
[Full Text][Citation analysis]
article1
2006Survivor Swaps In: Journal of Risk & Insurance.
[Full Text][Citation analysis]
article34
2006After VaR: The Theory, Estimation, and Insurance Applications of Quantile?Based Risk Measures In: Journal of Risk & Insurance.
[Full Text][Citation analysis]
article46
2006Longevity Risk and Capital Markets In: Journal of Risk & Insurance.
[Full Text][Citation analysis]
article9
2011Longevity Risk and Capital Markets.(2011) In: North American Actuarial Journal.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9
article
2006Longevity Bonds: Financial Engineering, Valuation, and Hedging In: Journal of Risk & Insurance.
[Full Text][Citation analysis]
article60
2006A Two?Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration In: Journal of Risk & Insurance.
[Full Text][Citation analysis]
article232
2010Survivor Derivatives: A Consistent Pricing Framework In: Journal of Risk & Insurance.
[Full Text][Citation analysis]
article14
2013Longevity Risk and Capital Markets: The 2011–2012 Update In: Journal of Risk & Insurance.
[Full Text][Citation analysis]
article2
2013The New Life Market In: Journal of Risk & Insurance.
[Full Text][Citation analysis]
article21
2013Informed Intermediation of Longevity Exposures In: Journal of Risk & Insurance.
[Full Text][Citation analysis]
article6
2016The Cost of Counterparty Risk and Collateralization in Longevity Swaps In: Journal of Risk & Insurance.
[Full Text][Citation analysis]
article26
2011The cost of counterparty risk and collateralization in longevity swaps.(2011) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 26
paper
2017MANAGING FINANCIALLY DISTRESSED PENSION PLANS IN THE INTEREST OF BENEFICIARIES In: Journal of Risk & Insurance.
[Full Text][Citation analysis]
article0
2017Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference In: Journal of Risk & Insurance.
[Full Text][Citation analysis]
article0
2017Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference.(2017) In: Journal of Risk & Insurance.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
article
1992The Demand for Cider in the United Kingdom. In: Oxford Bulletin of Economics and Statistics.
[Citation analysis]
article0
2014Spend More Today Safely: Using Behavioral Economics to Improve Retirement Expenditure Decisions With SPEEDOMETER Plans In: Risk Management and Insurance Review.
[Full Text][Citation analysis]
article2
1990Portfolio Behaviour and Asset Pricing in a Characteristics Framework. In: Scottish Journal of Political Economy.
[Citation analysis]
article1
1996Financial Intermediation and Financial Innovation in a Characteristics Framework. In: Scottish Journal of Political Economy.
[Citation analysis]
article2
2008Longevity Risk and Capital Markets: The 2007-2008 Update In: Asia-Pacific Journal of Risk and Insurance.
[Full Text][Citation analysis]
article1
2008The Birth of the Life Market In: Asia-Pacific Journal of Risk and Insurance.
[Full Text][Citation analysis]
article12
2016Le nouveau marché du risque de longévité In: Revue d'économie financière.
[Full Text][Citation analysis]
article0
1998The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis In: University of California at San Diego, Economics Working Paper Series.
[Full Text][Citation analysis]
paper34
1999The hazards of mutual fund underperformance: A Cox regression analysis.(1999) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 34
article
1997Performance Measurement using Multiple Asset Class Portfolio Data In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper5
2002International Asset Allocation with Time-Varying Investment Opportunities In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper13
2002International asset allocation with time-varying investment opportunities.(2002) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13
paper
2005International Asset Allocation with Time-Varying Investment Opportunities.(2005) In: The Journal of Business.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13
article
2010Did the Housing Boom Increase Household Spending In: Issues in Brief.
[Full Text][Citation analysis]
paper2
2020CBDX: a workhorse mortality model from the Cairns–Blake–Dowd family In: Annals of Actuarial Science.
[Full Text][Citation analysis]
article2
2020Identifiability in age/period mortality models In: Annals of Actuarial Science.
[Full Text][Citation analysis]
article0
2020Identifiability in age/period/cohort mortality models In: Annals of Actuarial Science.
[Full Text][Citation analysis]
article2
2006Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk* In: ASTIN Bulletin.
[Full Text][Citation analysis]
article81
2011Bayesian Stochastic Mortality Modelling for Two Populations In: ASTIN Bulletin.
[Full Text][Citation analysis]
article49
2017MODELLING MORTALITY FOR PENSION SCHEMES In: ASTIN Bulletin.
[Full Text][Citation analysis]
article1
2019MODELLING SOCIO-ECONOMIC DIFFERENCES IN MORTALITY USING A NEW AFFLUENCE INDEX In: ASTIN Bulletin.
[Full Text][Citation analysis]
article4
2006Living with Mortality: Longevity Bonds and Other Mortality-Linked Securities In: British Actuarial Journal.
[Full Text][Citation analysis]
article66
2019Still living with mortality: the longevity risk transfer market after one decade In: British Actuarial Journal.
[Full Text][Citation analysis]
article4
2017New Evidence on Mutual Fund Performance: AÂ Comparison of Alternative Bootstrap Methods In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
article7
1996Efficiency, Risk Aversion and Portfolio Insurance: An Analysis of Financial Asset Portfolios Held by Investors in the United Kingdom. In: Economic Journal.
[Full Text][Citation analysis]
article67
2000Does It Matter What Type of Pension Scheme You Have? In: Economic Journal.
[Full Text][Citation analysis]
article22
2006On The Sustainability of the UK State Pension System in the Light of Population Ageing and Declining Fertility In: Economic Journal.
[Full Text][Citation analysis]
article31
1986The Performance of UK Exchange Rate Forecasters. In: Economic Journal.
[Full Text][Citation analysis]
article26
2006Stochastic lifestyling: Optimal dynamic asset allocation for defined contribution pension plans In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
article86
2004Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans.(2004) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 86
paper
2013Target-driven investing: Optimal investment strategies in defined contribution pension plans under loss aversion In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
article26
2011Target-driven investing: Optimal investment strategies in defined contribution pension plans under loss aversion.(2011) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 26
paper
2014Age-dependent investing: Optimal funding and investment strategies in defined contribution pension plans when members are rational life cycle financial planners In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
article27
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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 27
paper
1989Testing models generating time varying asset return expectations and risks : The case of UK private sector pension funds In: Economic Modelling.
[Full Text][Citation analysis]
article0
2019The valuation of no-negative equity guarantees and equity release mortgages In: Economics Letters.
[Full Text][Citation analysis]
article4
2014Improved inference in the evaluation of mutual fund performance using panel bootstrap methods In: Journal of Econometrics.
[Full Text][Citation analysis]
article10
1984Complete systems methods of estimating models with rational and adaptive expectations : A case study In: European Economic Review.
[Full Text][Citation analysis]
article1
1988The stochastic analysis of competitive unemployment insurance premiums In: European Economic Review.
[Full Text][Citation analysis]
article1
2017The market for lemmings: The herding behavior of pension funds In: Journal of Financial Markets.
[Full Text][Citation analysis]
article19
1998Pension schemes as options on pension fund assets: implications for pension fund management In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
article33
2001Pensionmetrics: stochastic pension plan design and value-at-risk during the accumulation phase In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
article43
2003Pensionmetrics 2: stochastic pension plan design during the distribution phase In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
article69
2003Pensionmetrics 2: stochastic pension plan design during the distribution phase.(2003) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 69
paper
2006Mortality-dependent financial risk measures In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
article12
2008Longevity risk and the Grim Reapers toxic tail: The survivor fan charts In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
article12
2010Longevity risk and capital markets: The 2008-2009 update In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
article2
2010Securitizing and tranching longevity exposures In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
article12
2010Evaluating the goodness of fit of stochastic mortality models In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
article34
2011Mortality density forecasts: An analysis of six stochastic mortality models In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
article69
2015Modelling longevity bonds: Analysing the Swiss Re Kortis bond In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
article14
2018Longevity risk and capital markets: The 2015–16 update In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
article1
2018Longevity risk and capital markets: The 2015–16 update.(2018) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 1
paper
2018Identifiability, cointegration and the gravity model In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
article4
2021Longevity risk and capital markets: The 2019-20 update In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
article1
1991Debt-equity swaps as bond conversions: implications for pricing In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article2
2018Network centrality and delegated investment performance In: Journal of Financial Economics.
[Full Text][Citation analysis]
article17
1982Monetarism and the US economy: A re-evaluation of Steins model 1960-1973 In: Journal of Monetary Economics.
[Full Text][Citation analysis]
article1
2004Liability valuation and optimal asset allocation In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
paper3
2004Barriers to pension scheme participation in small and medium sized enterprises In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
paper0
2003UK pension fund management after Myners: the hunt for correlation begins In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
paper3
2003UK pension fund management after Myners: The hunt for correlation begins.(2003) In: Journal of Asset Management.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
article
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.
[Full Text][Citation analysis]
paper0
2003The United Kingdom pension system: key issues In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
paper9
2001The United Kingdom Pension System: Key Issues.(2001) In: Discussion Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9
paper
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.
[Full Text][Citation analysis]
paper0
2003Financial system requirements for successful pension reform In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
paper2
2003Is immigration the answer to the UK’s pension crisis? In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
paper0
2003Modelling the composition of personal sector wealth in the United Kingdom In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
paper1
2003Long-term value at risk In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
paper2
2002Performance clustering and incentives in the UK pension fund industry In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
paper35
2002Performance clustering and incentives in the UK pension fund industry.(2002) In: Journal of Asset Management.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 35
article
2002Returns from active management in international equity markets; evidence from a panel of UK pension funds In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
paper5
2005Returns from active management in international equity markets: Evidence from a panel of UK pension funds.(2005) In: Journal of Asset Management.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
article
2002The impact of wealth on consumption and retirement behaviour in the UK In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
paper17
2004The impact of wealth on consumption and retirement behaviour in the UK.(2004) In: Applied Financial Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 17
article
2008It is all Back to Front: Critical Issues in the Design of Defined Contribution Pension Plans In: Chapters.
[Full Text][Citation analysis]
chapter0
2004Contracting Out of the State Pension System: The British Experience of Carrots and Sticks In: Chapters.
[Full Text][Citation analysis]
chapter1
2008Defined contribution pensions: dealing with the reluctant investor In: Journal of Financial Regulation and Compliance.
[Full Text][Citation analysis]
article1
2010Pension Plan Decisions In: Review of Behavioral Finance.
[Full Text][Citation analysis]
article2
2022Projecting Mortality Rates to Extreme Old Age with the CBDX Model In: Forecasting.
[Full Text][Citation analysis]
article0
2021Mental Time Travel and Retirement Savings In: JRFM.
[Full Text][Citation analysis]
article0
2022Good Practice Principles in Modelling Defined Contribution Pension Plans In: JRFM.
[Full Text][Citation analysis]
article0
2022Nudges and Networks: How to Use Behavioural Economics to Improve the Life Cycle Savings-Consumption Balance In: JRFM.
[Full Text][Citation analysis]
article0
2016The Myth of Methuselah and the Uncertainty of Death: The Mortality Fan Charts In: Risks.
[Full Text][Citation analysis]
article3
2021Quantifying loss aversion: Evidence from a UK population survey In: Journal of Risk and Uncertainty.
[Full Text][Citation analysis]
article0
2002The United Kingdom: Examining the Switch from Low Public Pensions to High-Cost Private Pensions In: NBER Chapters.
[Full Text][Citation analysis]
chapter4
1998Mutual Fund Performance: Evidence from the UK In: Review of Finance.
[Full Text][Citation analysis]
article68
2003Pension Schemes and Pension Funds in the United Kingdom In: OUP Catalogue.
[Citation analysis]
book21
2018Longevity: a new asset class In: Journal of Asset Management.
[Full Text][Citation analysis]
article1
1999Portfolio Choice Models of Pension Funds and Life Assurance Companies: Similarities and Differences In: The Geneva Papers on Risk and Insurance - Issues and Practice.
[Full Text][Citation analysis]
article5
1999Annuity Markets: Problems and Solutions In: The Geneva Papers on Risk and Insurance - Issues and Practice.
[Full Text][Citation analysis]
article25
2000Measuring Value Added in the Pensions Industry In: The Geneva Papers on Risk and Insurance - Issues and Practice.
[Full Text][Citation analysis]
article4
2007The Impact of Occupation and Gender on Pensions from Defined Contribution Plans In: The Geneva Papers on Risk and Insurance - Issues and Practice.
[Full Text][Citation analysis]
article4
2011Longevity Risk and Capital Markets: The 2010–2011 Update In: The Geneva Papers on Risk and Insurance - Issues and Practice.
[Full Text][Citation analysis]
article2
2011Longevity risks and capital markets: The 2010-2011 update.(2011) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
paper
2011Optimal Investment Strategies in Defined Contribution Pension Plans In: Palgrave Macmillan Books.
[Citation analysis]
chapter0
1992A Non-linear Model of Portfolio Behaviour With Time-varying Expectations and Risks In: Palgrave Macmillan Books.
[Citation analysis]
chapter0
2011Longevity risk and capital markets: The 2009-2010 update In: MPRA Paper.
[Full Text][Citation analysis]
paper2
2008Turning pension plans into pension planes: What investment strategy designers of defined contribution pension plans can learn from commercial aircraft designers In: MPRA Paper.
[Full Text][Citation analysis]
paper6
2009NDC v FDC: Pros, cons and replication In: MPRA Paper.
[Full Text][Citation analysis]
paper0
2010Sharing longevity risk: Why governments should issue longevity bonds In: MPRA Paper.
[Full Text][Citation analysis]
paper10
2014Sharing Longevity Risk: Why Governments Should Issue Longevity Bonds.(2014) In: North American Actuarial Journal.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10
article
2010Why does mutual fund performance not persist? The impact and interaction of fund flows and manager changes In: MPRA Paper.
[Full Text][Citation analysis]
paper10
2010Spend more today: Using behavioural economics to improve retirement expenditure decisions In: MPRA Paper.
[Full Text][Citation analysis]
paper1
2011Longevity hedge effectiveness: a decomposition In: MPRA Paper.
[Full Text][Citation analysis]
paper24
2014Longevity hedge effectiveness: a decomposition.(2014) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 24
article
2011A gravity model of mortality rates for two related populations In: MPRA Paper.
[Full Text][Citation analysis]
paper41
2011A Gravity Model of Mortality Rates for Two Related Populations.(2011) In: North American Actuarial Journal.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 41
article
2011Longevity hedging 101: A framework for longevity basis risk analysis and hedge effectiveness In: MPRA Paper.
[Full Text][Citation analysis]
paper39
2012Keeping Some Skin in the Game: How to Start a Capital Market in Longevity Risk Transfers In: MPRA Paper.
[Full Text][Citation analysis]
paper7
2014Keeping Some Skin in the Game: How to Start a Capital Market in Longevity Risk Transfers.(2014) In: North American Actuarial Journal.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
article
2010Facing up to uncertain life expectancy: The longevity fan charts In: Demography.
[Full Text][Citation analysis]
article8
1993The fisher hypothesis: Evidence from three high inflation economies In: Review of World Economics (Weltwirtschaftliches Archiv).
[Full Text][Citation analysis]
article16
2004Modelling the composition of personal sector wealth in the UK In: Applied Financial Economics.
[Full Text][Citation analysis]
article9
1999Annual estimates of personal wealth holdings in the United Kingdom since 1948 In: Applied Financial Economics.
[Full Text][Citation analysis]
article17
1997The demand for alcohol in the United Kingdom In: Applied Economics.
[Full Text][Citation analysis]
article26
2009A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States In: North American Actuarial Journal.
[Full Text][Citation analysis]
article144
2010Backtesting Stochastic Mortality Models In: North American Actuarial Journal.
[Full Text][Citation analysis]
article21
2011Longevity Hedging 101 In: North American Actuarial Journal.
[Full Text][Citation analysis]
article37
2011A Computationally Efficient Algorithm for Estimating the Distribution of Future Annuity Values Under Interest-Rate and Longevity Risks In: North American Actuarial Journal.
[Full Text][Citation analysis]
article2
2014Longevity Risk and Capital Markets: The 2012–2013 Update In: North American Actuarial Journal.
[Full Text][Citation analysis]
article0
2014A General Procedure for Constructing Mortality Models In: North American Actuarial Journal.
[Full Text][Citation analysis]
article17
2020Longevity Risk and Capital Markets: The 2016–2017 Update In: North American Actuarial Journal.
[Full Text][Citation analysis]
article2
2020Longevity Risk and Capital Markets: The 2017–2018 Update In: North American Actuarial Journal.
[Full Text][Citation analysis]
article2
2021Hedging Annuity Risks with the Age-Period-Cohort Two-Population Gravity Model In: North American Actuarial Journal.
[Full Text][Citation analysis]
article0
2021On the Structure and Classification of Mortality Models In: North American Actuarial Journal.
[Full Text][Citation analysis]
article4
2021A Bayesian Approach to Modeling and Projecting Cohort Effects In: North American Actuarial Journal.
[Full Text][Citation analysis]
article0
2021Forward Mortality Rates in Discrete Time I: Calibration and Securities Pricing In: North American Actuarial Journal.
[Full Text][Citation analysis]
article0
2021Forward Mortality Rates in Discrete Time II: Longevity Risk and Hedging Strategies In: North American Actuarial Journal.
[Full Text][Citation analysis]
article0
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.
[Full Text][Citation analysis]
article0
1981Modelling the Ultimate Absurdity: A Comment on A Quantitative Study of the Strategic Arms Race in the Missile Age. In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
article3
2012What Should Be Done About The Underfunding of Defined Benefit Pension Schemes? In: Working Papers.
[Full Text][Citation analysis]
paper2
1999Asset Allocation Dynamics and Pension Fund Performance. In: The Journal of Business.
[Full Text][Citation analysis]
article89
2009Options on normal underlyings with an application to the pricing of survivor swaptions In: Journal of Futures Markets.
[Full Text][Citation analysis]
article1
2015Network centrality and pension fund performance In: CFR Working Papers.
[Full Text][Citation analysis]
paper2

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated July, 1st 2022. Contact: CitEc Team