David Blake : Citation Profile

City University

29

H index

60

i10 index

2596

Citations

RESEARCH PRODUCTION:

141

Articles

44

Papers

1

Books

5

Chapters

RESEARCH ACTIVITY:

   43 years (1981 - 2024). See details.
   Cites by year: 60
   Journals where David Blake has often published
   Relations with other researchers
   Recent citing documents: 88.    Total self citations: 78 (2.92 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pbl129
   Updated: 2025-03-15    RAS profile: 2025-03-14    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

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 (39)

Li, Hong (38)

Mitchell, Olivia (34)

De Waegenaere, Anja (30)

Regis, Luca (29)

luciano, elisa (26)

Li, Youwei (24)

Loisel, Stéphane (22)

Holzmann, Robert (21)

Milevsky, Moshe (18)

Broeders, Dirk (18)

Cites to:

Mitchell, Olivia (34)

Lee, Ronald (28)

Thaler, Richard (19)

Milevsky, Moshe (18)

merton, robert (18)

wermers, russell (17)

Dowd, Kevin (16)

Biffis, Enrico (16)

Cummins, John (16)

Timmermann, Allan (15)

Laibson, David (15)

Main data

Production by document typebookpaperchapterarticle1981198219831984198519861987198819891990199119921993199419951996199719981999200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202401020Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published198119821983198419851986198719881989199019911992199319941995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202320240100200Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received1984198519861987198819891990199119921993199419951996199719981999200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202420250100200300Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year1981198219831984198519861987198819891990199119921993199419951996199719981999200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202402505007501,000Citations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 29Most cited documents123456789101112131415161718192021222324252627282930310100200300Number of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution201308201309201310201311201312201401201402201403201404201405201406201407201408201409201410201411201412201501201502201503201504201505201506201507201508201509201510201511201512201601201602201603201604201605201606201607201608201609201610201611201612201701201702201703201704201705201706201707201708201709201710201711201712201801201802201803201804201805201806201807201808201809201810201811201812201901201902201903201904201905201906201907201908201909201910201911201912202001202002202003202004202005202006202007202008202009202010202011202012202101202102202103202104202105202106202107202108202109202110202111202112202201202202202203202204202205202206202207202208202209202210202211202212202301202302202303202304202305202306202307202308202309202310202311202312202401202402202403202404202405202406202407202408202409202410202411202412202501202502202503010203040h-index Highcharts.comExport to raster or vector imagePrint the chart

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 Practice7
JRFM5
ASTIN Bulletin4
Journal of Asset Management4
Economic Journal4
Annals of Actuarial Science3
Applied Financial Economics3
Journal of Economic Dynamics and Control3
Review of Behavioral Finance3
The Journal of Business2
Financial Analysts Journal2
European Economic Review2
Asia-Pacific Journal of Risk and Insurance2
Review of Finance2
Scottish Journal of Political Economy2
British Actuarial Journal2

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 (2025 and 2024)

Year  ↓Title of citing document  ↓
2024Estimation of Spectral Risk Measure for Left Truncated and Right Censored Data. (2024). Sen, Rituparna ; Biswas, Suparna. In: Papers. RePEc:arx:papers:2402.14322.

Full description at Econpapers || Download paper

2024Institutional investor network and idiosyncratic volatility of stocks. (2024). Zhang, Yongmin ; Ma, Huiping ; Zhai, Xiaoying ; Toh, Moau Yong ; Wang, Peijun. In: Economics and Politics. RePEc:bla:ecopol:v:36:y:2024:i:3:p:1261-1288.

Full description at Econpapers || Download paper

2024Interaction Between Age Pension Means Testing and Innovative Income Streams in Australia. (2024). Butt, Adam ; Ai, Wenqi ; Khemka, Gaurav. In: The Economic Record. RePEc:bla:ecorec:v:100:y:2024:i:331:p:533-567.

Full description at Econpapers || Download paper

2024Wrong Kind of Transparency? Mutual Funds’ Higher Reporting Frequency, Window Dressing, and Performance. (2024). Zhang, Zilong ; Yeung, Eric P ; Xin, Xiangang. In: Journal of Accounting Research. RePEc:bla:joares:v:62:y:2024:i:2:p:737-781.

Full description at Econpapers || Download paper

2024A behavioral gap in survival beliefs. (2024). de Giorgi, Enrico G ; Apicella, Giovanna. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:91:y:2024:i:1:p:213-247.

Full description at Econpapers || Download paper

2024Mortality modelling with arrival of additional year of mortality data: Calibration and forecasting. (2024). Kuen, Kenny Kam ; Shi, Yanlin ; Zhang, Jinhui ; It, Chong. In: Demographic Research. RePEc:dem:demres:v:50:y:2024:i:28.

Full description at Econpapers || Download paper

2024A Bayesian model for age at death with cohort effects. (2024). Dimai, Matteo ; Brabec, Marek. In: Demographic Research. RePEc:dem:demres:v:51:y:2024:i:33.

Full description at Econpapers || Download paper

2025A comprehensive database of estimates and forecasts of Spanish sex–age death rates by climate area, income level, and habitat size (2010–2050). (2025). Pava, Jose M ; Sifre-Armengol, Celia ; Benito, Josep Lled. In: Demographic Research. RePEc:dem:demres:v:52:y:2025:i:1.

Full description at Econpapers || Download paper

2024Impact of audit committee social capital on the adoption of COSO 2013. (2024). McCumber, William ; Tadesse, Amanuel ; Islam, Md Shariful ; Farah, Nusrat. In: Advances in accounting. RePEc:eee:advacc:v:64:y:2024:i:c:s0882611023000445.

Full description at Econpapers || Download paper

2024Macro topology structure and evolution of Chinese Public Funds’ Co-holding Network. (2024). Liu, Zhenchun ; Guo, Xiaoping ; Fan, Ningyuan ; Wang, Jianwei. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001591.

Full description at Econpapers || Download paper

2024Mutual fund cliques, fund flow-performance sensitivity, and stock price crash risk. (2024). Cao, Chang ; Wang, Jingda ; Liu, Xiaotong. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923005483.

Full description at Econpapers || Download paper

2024Beyond active share: Boosting fund performance through common holdings with same-benchmark mutual funds. (2024). Wang, Danxia. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000279.

Full description at Econpapers || Download paper

2024Numerological superstitions and market-wide herding: Evidence from China. (2024). Gebka, Bartosz ; Gavriilidis, Konstantinos ; Cui, Yueting ; Kallinterakis, Vasileios. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924001315.

Full description at Econpapers || Download paper

2024Technological revolution and regulatory innovation: How governmental artificial intelligence adoption matters for financial regulation intensity. (2024). Lei, Pengfei ; Wu, Hanrui ; Li, Daozheng ; Pan, Martin. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924004678.

Full description at Econpapers || Download paper

2024Mutual fund liquidity management and family affiliation. (2024). Xu, Zhaojin ; Popescu, Marius. In: Finance Research Letters. RePEc:eee:finlet:v:66:y:2024:i:c:s1544612324007116.

Full description at Econpapers || Download paper

2024Optimal investment in defined contribution pension schemes with forward utility preferences. (2024). Chong, Wing Fung ; Hin, Kenneth Tsz. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:114:y:2024:i:c:p:192-211.

Full description at Econpapers || Download paper

2024Longevity hedge effectiveness using socioeconomic indices. (2024). Laursen, Nicolai Sogaard ; Kallestrup-Lamb, Malene. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:114:y:2024:i:c:p:242-251.

Full description at Econpapers || Download paper

2024Quantile mortality modelling of multiple populations via neural networks. (2024). Scognamiglio, Salvatore ; Marino, Zelda ; Corsaro, Stefania. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:116:y:2024:i:c:p:114-133.

Full description at Econpapers || Download paper

2024Benefit volatility-targeting strategies in lifetime pension pools. (2024). Begin, Jean-Franois ; Sanders, Barbara. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:118:y:2024:i:c:p:72-94.

Full description at Econpapers || Download paper

2024Are consensus FX forecasts valuable for investors?. (2024). Rubaszek, Michał ; Beckmann, Joscha ; Kwas, Marek. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:268-284.

Full description at Econpapers || Download paper

2024Hierarchical mortality forecasting with EVT tails: An application to solvency capital requirement. (2024). Chen, Hua ; Li, Han. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:2:p:549-563.

Full description at Econpapers || Download paper

2024Price impact under heterogeneous beliefs and restricted participation. (2024). Kardaras, Constantinos ; Anthropelos, Michail. In: Journal of Economic Theory. RePEc:eee:jetheo:v:215:y:2024:i:c:s0022053123001709.

Full description at Econpapers || Download paper

2024Investment network and stock’s systemic risk contribution: Evidence from China. (2024). Borjigin, Sumuya ; Xiang, Youtao. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:94:y:2024:i:c:p:113-132.

Full description at Econpapers || Download paper

2024COVID-19 and US females’ portfolio decisions. (2024). Apergis, Nicholas. In: International Review of Economics & Finance. RePEc:eee:reveco:v:95:y:2024:i:c:s1059056024004830.

Full description at Econpapers || Download paper

2024Mutual fund flows and returns dynamics: Investor preferences and performance persistence. (2024). Paimanova, Viktoriia ; Guida, Roberto ; Galloppo, Giuseppe. In: Research in International Business and Finance. RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002782.

Full description at Econpapers || Download paper

2024Insurance business and social sustainability: A proposal. (2024). Sibillo, Marilena ; Piscopo, Gabriella ; di Lorenzo, Emilia ; D'Amato, Valeria ; Trotta, Annarita. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:93:y:2024:i:c:s003801212400079x.

Full description at Econpapers || Download paper

2025.

Full description at Econpapers || Download paper

2024A Quantitative Comparison of Mortality Models with Jumps: Pre- and Post-COVID Insights on Insurance Pricing. (2024). Ozen, Selin ; Ahin, Ule. In: Risks. RePEc:gam:jrisks:v:12:y:2024:i:3:p:53-:d:1356870.

Full description at Econpapers || Download paper

2024Two-Population Mortality Forecasting: An Approach Based on Model Averaging. (2024). Haberman, Steven ; Zhu, Rui ; Millossovich, Pietro ; de Mori, Luca. In: Risks. RePEc:gam:jrisks:v:12:y:2024:i:4:p:60-:d:1365205.

Full description at Econpapers || Download paper

2024COVID-19 and Excess Mortality: An Actuarial Study. (2024). Alonso-Garcia, Jennifer ; Delbrouck, Camille. In: Risks. RePEc:gam:jrisks:v:12:y:2024:i:4:p:61-:d:1367677.

Full description at Econpapers || Download paper

2025Uncertainty in Pricing and Risk Measurement of Survivor Contracts. (2025). Dominic, Len Patrick ; So, Kenrick Raymond ; Cruz, Stephanie Claire ; Marcella, Elias Antonio ; Briones, Jeric. In: Risks. RePEc:gam:jrisks:v:13:y:2025:i:2:p:35-:d:1594125.

Full description at Econpapers || Download paper

2024Does Food Expenditure Decrease after Retirement, and for Whom?. (2024). Sender, Maya ; Kimhi, Ayal. In: Sustainability. RePEc:gam:jsusta:v:16:y:2024:i:5:p:1992-:d:1347846.

Full description at Econpapers || Download paper

2024Mean-Variance Efficient Large Portfolios : A Simple Machine Learning Heuristic Technique based on the Two-Fund Separation Theorem. (2024). Maillet, Bertrand ; Costola, Michele ; Zhang, Xiang ; Yuan, Zhining. In: Post-Print. RePEc:hal:journl:hal-04514343.

Full description at Econpapers || Download paper

2024The impact of climate risk on the asset side and liability side of the insurance industry: evidence from China. (2024). Li, Shouwei ; Rui, Xue ; Zhao, Tianxiang ; Yang, Sitong. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:57:y:2024:i:3:d:10.1007_s10644-024-09700-2.

Full description at Econpapers || Download paper

2024Do pension funds provide financial stability? Evidence from European Union countries. (2024). Ercan, Metin ; Peksevim, Seda. In: Journal of Financial Services Research. RePEc:kap:jfsres:v:66:y:2024:i:3:d:10.1007_s10693-023-00408-4.

Full description at Econpapers || Download paper

2024Delegated Investment Management in Alternative Assets. (2024). Andonov, Aleksandar. In: The Review of Corporate Finance Studies. RePEc:oup:rcorpf:v:13:y:2024:i:1:p:264-301..

Full description at Econpapers || Download paper

2025Modelling and Forecasting Mortality Rates for a Life Insurance Portfolio. (2025). Navarro, Eliseo ; Lled, Josep ; Atance, David. In: Risk Management. RePEc:pal:risman:v:27:y:2025:i:1:d:10.1057_s41283-024-00155-3.

Full description at Econpapers || Download paper

2024Fundamental determinants of exchange rate expectations. (2024). Czudaj, Robert ; Beckmann, Joscha. In: MPRA Paper. RePEc:pra:mprapa:120648.

Full description at Econpapers || Download paper

2024Legitimacy and the extraordinary growth of ESG measures and metrics in the global investment management industry. (2024). Dixon, Adam D ; Clark, Gordon L. In: Environment and Planning A. RePEc:sae:envira:v:56:y:2024:i:2:p:645-661.

Full description at Econpapers || Download paper

2024Frailty-based Lee–Carter family of stochastic mortality models. (2024). Menzietti, Massimiliano ; Haberman, Steven ; Damato, Valeria ; Carannante, Maria. In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:58:y:2024:i:6:d:10.1007_s11135-023-01786-6.

Full description at Econpapers || Download paper

2024Liquidity In Corporate Markets. (2024). Bebczuk, Ricardo ; Carvajal, Ana Fiorella. In: World Bank Publications - Reports. RePEc:wbk:wboper:41408.

Full description at Econpapers || Download paper

Works by David Blake:

Year  ↓Title  ↓Type  ↓Cited  ↓
2016Modelling Socio-Economic Differences in the Mortality of Danish Males Using a New Affluence Index In: CREATES Research Papers.
[Full Text][Citation analysis]		paper3
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 nother 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 nother 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]		article40
2010Decentralized Investment Management: Evidence from the Pension Fund Industry.(2010) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 40		paper
2010Decentralized investment management: evidence from the pension fund industry.(2010) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 40		paper
2016Phantoms never die: living with unreliable population data In: Journal of the Royal Statistical Society Series A.
[Full Text][Citation analysis]		article12
2003Reply to “Survivor Bonds: A Comment on Blake and Burrows” In: Journal of Risk & Insurance.
[Full Text][Citation analysis]		article3
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]		article47
2006Longevity Risk and Capital Markets In: Journal of Risk & Insurance.
[Full Text][Citation analysis]		article12
2011Longevity Risk and Capital Markets.(2011) In: North American Actuarial Journal.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12		article
2006Longevity Bonds: Financial Engineering, Valuation, and Hedging In: Journal of Risk & Insurance.
[Full Text][Citation analysis]		article64
2006A Two‐Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration In: Journal of Risk & Insurance.
[Full Text][Citation analysis]		article264
2010Survivor Derivatives: A Consistent Pricing Framework In: Journal of Risk & Insurance.
[Full Text][Citation analysis]		article18
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]		article24
2013Informed Intermediation of Longevity Exposures In: Journal of Risk & Insurance.
[Full Text][Citation analysis]		article10
2016The Cost of Counterparty Risk and Collateralization in Longevity Swaps In: Journal of Risk & Insurance.
[Full Text][Citation analysis]		article31
2011The cost of counterparty risk and collateralization in longevity swaps.(2011) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 31		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 nother 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 nother 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 nother 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 nother 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 nother 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 nother 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 nother 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 nother 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 nother 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 nother 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 nother 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 nother 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]		article3
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]		article4
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]		article14
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]		paper37
1999The hazards of mutual fund underperformance: A Cox regression analysis.(1999) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 37		article
1997Performance Measurement using Multiple Asset Class Portfolio Data In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper6
2002International Asset Allocation with Time-Varying Investment Opportunities In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper14
2002International asset allocation with time-varying investment opportunities.(2002) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		paper
2005International Asset Allocation with Time-Varying Investment Opportunities.(2005) In: The Journal of Business.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		article
2010Did the Housing Boom Increase Household Spending In: Issues in Brief.
[Full Text][Citation analysis]		paper2
2023Longevity risk and capital markets: the 2021–22 update In: JODE - Journal of Demographic Economics.
[Full Text][Citation analysis]		article1
.() In: .
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		article
2020CBDX: a workhorse mortality model from the Cairns–Blake–Dowd family In: Annals of Actuarial Science.
[Full Text][Citation analysis]		article4
2020Identifiability in age/period mortality models In: Annals of Actuarial Science.
[Full Text][Citation analysis]		article5
2020Identifiability in age/period/cohort mortality models In: Annals of Actuarial Science.
[Full Text][Citation analysis]		article6
2006Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk* In: ASTIN Bulletin.
[Full Text][Citation analysis]		article100
2011Bayesian Stochastic Mortality Modelling for Two Populations In: ASTIN Bulletin.
[Full Text][Citation analysis]		article62
2017MODELLING MORTALITY FOR PENSION SCHEMES In: ASTIN Bulletin.
[Full Text][Citation analysis]		article2
2019MODELLING SOCIO-ECONOMIC DIFFERENCES IN MORTALITY USING A NEW AFFLUENCE INDEX In: ASTIN Bulletin.
[Full Text][Citation analysis]		article10
2006Living with Mortality: Longevity Bonds and Other Mortality-Linked Securities In: British Actuarial Journal.
[Full Text][Citation analysis]		article79
2019Still living with mortality: the longevity risk transfer market after one decade In: British Actuarial Journal.
[Full Text][Citation analysis]		article12
2017New Evidence on Mutual Fund Performance: A Comparison of Alternative Bootstrap Methods In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article12
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]		article68
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]		article36
1986The Performance of UK Exchange Rate Forecasters. In: Economic Journal.
[Full Text][Citation analysis]		article29
2022Smart defaults: Determining the number of default funds in a pension scheme In: The British Accounting Review.
[Full Text][Citation analysis]		article0
2006Stochastic lifestyling: Optimal dynamic asset allocation for defined contribution pension plans In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article96
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 nother version. Agregated cites: 96		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]		article31
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 nother version. Agregated cites: 31		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]		article31
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 nother version. Agregated cites: 31		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]		article6
2014Improved inference in the evaluation of mutual fund performance using panel bootstrap methods In: Journal of Econometrics.
[Full Text][Citation analysis]		article12
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]		article2
2017The market for lemmings: The herding behavior of pension funds In: Journal of Financial Markets.
[Full Text][Citation analysis]		article30
1998Pension schemes as options on pension fund assets: implications for pension fund management In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article31
2001Pensionmetrics: stochastic pension plan design and value-at-risk during the accumulation phase In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article45
2003Pensionmetrics 2: stochastic pension plan design during the distribution phase In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article71
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 nother version. Agregated cites: 71		paper
2006Mortality-dependent financial risk measures In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article13
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]		article16
2010Evaluating the goodness of fit of stochastic mortality models In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article37
2011Mortality density forecasts: An analysis of six stochastic mortality models In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article85
2015Modelling longevity bonds: Analysing the Swiss Re Kortis bond In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article16
2018Longevity risk and capital markets: The 2015–16 update In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article2
2018Longevity risk and capital markets: The 2015–16 update.(2018) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2018Identifiability, cointegration and the gravity model In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article6
2021Longevity risk and capital markets: The 2019-20 update In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article11
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]		article43
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]		paper4
2003UK pension fund management after Myners: The hunt for correlation begins.(2003) In: Journal of Asset Management.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		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 nother 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]		paper3
2004Long‐Term Value at Risk.(2004) In: Journal of Risk Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		article
2002Performance clustering and incentives in the UK pension fund industry In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper36
2002Performance clustering and incentives in the UK pension fund industry.(2002) In: Journal of Asset Management.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 36		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 nother 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]		paper21
2004The impact of wealth on consumption and retirement behaviour in the UK.(2004) In: Applied Financial Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 21		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
In: .
[Full Text][Citation analysis]		article0
1991The Estimation of Rational Expectations Models: A Survey In: Journal of Economic Studies.
[Full Text][Citation analysis]		article0
In: .
[Full Text][Citation analysis]		article0
2008Defined contribution pensions: dealing with the reluctant investor In: Journal of Financial Regulation and Compliance.
[Full Text][Citation analysis]		article1
In: .
[Full Text][Citation analysis]		article0
2021Mental time travel and the valuation of financial investments In: Review of Behavioral Finance.
[Full Text][Citation analysis]		article0
2024Mental time travel and the valuation of financial investments: analysing five biases that cause pricing anomalies In: Review of Behavioral Finance.
[Full Text][Citation analysis]		article0
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]		article2
2022The Great Game Will Never End: Why the Global Financial Crisis Is Bound to Be Repeated In: JRFM.
[Full Text][Citation analysis]		article1
2023Target2: The Silent Bailout System That Keeps the Euro Afloat 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]		article3
2002The United Kingdom: Examining the Switch from Low Public Pensions to High-Cost Private Pensions In: NBER Chapters.
[Full Text][Citation analysis]		chapter4
2018Fund Flows, Manager Changes, and Performance Persistence* In: Review of Finance.
[Full Text][Citation analysis]		article3
1998Mutual Fund Performance: Evidence from the UK In: Review of Finance.
[Full Text][Citation analysis]		article75
2003Pension Schemes and Pension Funds in the United Kingdom In: OUP Catalogue.
[Citation analysis]		book24
2018Longevity: a new asset class In: Journal of Asset Management.
[Full Text][Citation analysis]		article3
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]		article5
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 nother version. Agregated cites: 2		paper
2024Longevity risk and capital markets: the 2022–2023 update In: The Geneva Papers on Risk and Insurance - Issues and Practice.
[Full Text][Citation analysis]		article0
2014Longevity Risk and Capital Markets: The 2012–2013 Update.(2014) In: North American Actuarial Journal.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
2024Correction: Longevity risk and capital markets: the 2022–2023 update In: The Geneva Papers on Risk and Insurance - Issues and Practice.
[Full Text][Citation analysis]		article0
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]		paper7
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]		paper11
2014Sharing Longevity Risk: Why Governments Should Issue Longevity Bonds.(2014) In: North American Actuarial Journal.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11		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]		paper29
2014Longevity hedge effectiveness: a decomposition.(2014) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 29		article
2011A gravity model of mortality rates for two related populations In: MPRA Paper.
[Full Text][Citation analysis]		paper49
2011A Gravity Model of Mortality Rates for Two Related Populations.(2011) In: North American Actuarial Journal.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 49		article
2011Longevity hedging 101: A framework for longevity basis risk analysis and hedge effectiveness In: MPRA Paper.
[Full Text][Citation analysis]		paper44
2012Keeping Some Skin in the Game: How to Start a Capital Market in Longevity Risk Transfers In: MPRA Paper.
[Full Text][Citation analysis]		paper13
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 nother version. Agregated cites: 13		article
2010Facing up to uncertain life expectancy: The longevity fan charts In: Demography.
[Full Text][Citation analysis]		article9
1993The fisher hypothesis: Evidence from three high inflation economies In: Review of World Economics (Weltwirtschaftliches Archiv).
[Full Text][Citation analysis]		article18
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]		article20
1997The demand for alcohol in the United Kingdom In: Applied Economics.
[Full Text][Citation analysis]		article26
In: .
[Full Text][Citation analysis]		article11
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]		article183
2010Backtesting Stochastic Mortality Models In: North American Actuarial Journal.
[Full Text][Citation analysis]		article23
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]		article4
2014A General Procedure for Constructing Mortality Models In: North American Actuarial Journal.
[Full Text][Citation analysis]		article21
2020Longevity Risk and Capital Markets: The 2016–2017 Update In: North American Actuarial Journal.
[Full Text][Citation analysis]		article4
2020Longevity Risk and Capital Markets: The 2017–2018 Update In: North American Actuarial Journal.
[Full Text][Citation analysis]		article4
2021Hedging Annuity Risks with the Age-Period-Cohort Two-Population Gravity Model In: North American Actuarial Journal.
[Full Text][Citation analysis]		article1
2021On the Structure and Classification of Mortality Models In: North American Actuarial Journal.
[Full Text][Citation analysis]		article6
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]		article1
2021Forward Mortality Rates in Discrete Time II: Longevity Risk and Hedging Strategies In: North American Actuarial Journal.
[Full Text][Citation analysis]		article1
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
In: .
[Full Text][Citation analysis]		article0
In: .
[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]		article4
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]		article96
2009Options on normal underlyings with an application to the pricing of survivor swaptions In: Journal of Futures Markets.
[Full Text][Citation analysis]		article2
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. Last updated February, 4 2025. Contact: CitEc Team