David Blake : Citation Profile


Are you David Blake?

City University

17

H index

30

i10 index

1001

Citations

RESEARCH PRODUCTION:

70

Articles

43

Papers

1

Books

3

Chapters

RESEARCH ACTIVITY:

   36 years (1981 - 2017). See details.
   Cites by year: 27
   Journals where David Blake has often published
   Relations with other researchers
   Recent citing documents: 106.    Total self citations: 47 (4.48 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pbl129
   Updated: 2017-09-16    RAS profile: 2017-08-18    
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Relations with other researchers


Works with:

Tonks, Ian (3)

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

Is cited by:

De Waegenaere, Anja (26)

Mitchell, Olivia (22)

luciano, elisa (12)

Li, Youwei (10)

Tsai, Jeffrey (10)

Loisel, Stéphane (9)

Regis, Luca (9)

Tonks, Ian (8)

Menoncin, Francesco (8)

Drew, Michael (8)

Boyer, M. Martin (7)

Cites to:

merton, robert (16)

Dowd, Kevin (14)

Timmermann, Allan (11)

Poterba, James (11)

Lee, Ronald (10)

Summers, Lawrence (9)

Thaler, Richard (9)

Kotlikoff, Laurence (8)

French, Kenneth (8)

Feldstein, Martin (8)

Fama, Eugene (8)

Main data


Where David Blake has published?


Journals with more than one article published# docs
Journal of Risk & Insurance11
Insurance: Mathematics and Economics10
The Geneva Papers on Risk and Insurance - Issues and Practice5
Economic Journal4
Journal of Economic Dynamics and Control3
ASTIN Bulletin: The Journal of the International Actuarial Association3
Applied Financial Economics3
Asia-Pacific Journal of Risk and Insurance2
Scottish Journal of Political Economy2
European Economic Review2
The Journal of Business2

Working Papers Series with more than one paper published# docs
MPRA Paper / University Library of Munich, Germany16
Working Papers / Geary Institute, University College Dublin2

Recent works citing David Blake (2017 and 2016)


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

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2016Shortfall Deviation Risk: An alternative to risk measurement. (2016). Righi, Marcelo Brutti ; Ceretta, Paulo Sergio . In: Papers. RePEc:arx:papers:1501.02007.

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2016New class of distortion risk measures and their tail asymptotics with emphasis on VaR. (2016). Yin, Chuancun . In: Papers. RePEc:arx:papers:1503.08586.

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2017Actuarial Applications and Estimation of Extended~CreditRisk$^+$. (2017). Hirz, Jonas ; Shevchenko, Pavel V. ; Schmock, Uwe . In: Papers. RePEc:arx:papers:1505.04757.

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2016Polynomial Diffusion Models for Life Insurance Liabilities. (2016). Biagini, Francesca ; Zhang, Yinglin . In: Papers. RePEc:arx:papers:1602.07910.

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2016A unified approach to mortality modelling using state-space framework: characterisation, identification, estimation and forecasting. (2016). Shevchenko, Pavel V ; Peters, Gareth W ; Fung, Man Chung . In: Papers. RePEc:arx:papers:1605.09484.

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2016Optimal Consumption, Investment and Housing with Means-tested Public Pension in Retirement. (2016). Shevchenko, Pavel V ; Andreasson, Johan G ; Novikov, Alex . In: Papers. RePEc:arx:papers:1606.08984.

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

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2016The 2015-2017 policy changes to the means-tests of Australian Age Pension: implication to decisions in retirement. (2016). Shevchenko, Pavel V ; Andreasson, Johan G. In: Papers. RePEc:arx:papers:1611.08330.

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2017Cohort effects in mortality modelling: a Bayesian state-space approach. (2017). Fung, Man Chung ; Shevchenko, Pavel V ; Peters, Gareth W. In: Papers. RePEc:arx:papers:1703.08282.

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2016Behavioural finance perspectives on Malaysian stock market efficiency. (2016). Tuyon, Jasman ; Ahmada, Zamri . In: Borsa Istanbul Review. RePEc:bor:bistre:v:16:y:2016:i:1:p:43-61.

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2017Longevity Risk-Sharing Annuities: Partial Indexation in Mortality Experience. (2017). Saisai, Zhang ; Johnny, LI. In: Asia-Pacific Journal of Risk and Insurance. RePEc:bpj:apjrin:v:11:y:2017:i:1:p:30:n:5.

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2017Picking Funds with Confidence. (2017). Wermers, Russ ; Timmermann, Allan G ; Lunde, Asger ; Groenborg, Niels . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11896.

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2016Does selection of mortality model make a difference in projecting population ageing?. (2016). Scherbov, Sergei ; Ediev, Dalkhat . In: Demographic Research. RePEc:dem:demres:v:34:y:2016:i:2.

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2016Pension funds herding. (2016). Broeders, Dirk ; Schudel, Willem ; Minderhoud, Peter ; Chen, Damiaan . In: DNB Working Papers. RePEc:dnb:dnbwpp:503.

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2017Does it pay to pay performance fees? Empirical evidence from Dutch pension funds. (2017). Broeders, Dirk ; Rijsbergen, David ; van Oord, Arco . In: DNB Working Papers. RePEc:dnb:dnbwpp:561.

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2016Organizational and epistemic change: The growth of the art investment field. (2016). Coslor, Erica ; Spaenjers, Christophe . In: Accounting, Organizations and Society. RePEc:eee:aosoci:v:55:y:2016:i:c:p:48-62.

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2017A quantitative comparison of stochastic mortality models on Italian population data. (2017). Carfora, M F ; Orlando, A ; Cutillo, L. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:112:y:2017:i:c:p:198-214.

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2016Retirement planning in the light of changing demographics. (2016). Wang, Hong ; O'Hare, Colin ; Koo, Bonsoo . In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pb:p:749-763.

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2016On the robustness of persistence in mutual fund performance. (2016). Matallin-Saez, Juan Carlos ; Tortosa-Ausina, Emili ; Soler-Dominguez, Amparo . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:36:y:2016:i:c:p:192-231.

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2016The commitment value of funding pensions. (2016). Garon, Jean-Denis . In: Economics Letters. RePEc:eee:ecolet:v:145:y:2016:i:c:p:11-14.

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2017Evaluating the size of the bootstrap method for fund performance evaluation. (2017). Cheng, Tingting ; Yan, Cheng . In: Economics Letters. RePEc:eee:ecolet:v:156:y:2017:i:c:p:36-41.

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2016Nash equilibria of Over-The-Counter bargaining for insurance risk redistributions: The role of a regulator. (2016). Boonen, Tim J. In: European Journal of Operational Research. RePEc:eee:ejores:v:250:y:2016:i:3:p:955-965.

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2016Multi-objective probabilistically constrained programs with variable risk: Models for multi-portfolio financial optimization. (2016). Lejeune, Miguel ; Shen, Siqian . In: European Journal of Operational Research. RePEc:eee:ejores:v:252:y:2016:i:2:p:522-539.

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2016Time is money: Costing the impact of duration misperception in market prices. (2016). Sung, Ming-Chien ; McGroarty, Frank . In: European Journal of Operational Research. RePEc:eee:ejores:v:255:y:2016:i:2:p:397-410.

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2017Risk-neutral valuation of the non-recourse protection in reverse mortgages: A case study for Korea. (2017). , Joseph . In: Emerging Markets Review. RePEc:eee:ememar:v:30:y:2017:i:c:p:133-154.

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2016Wealth fluctuations and investment in risky assets: The UK micro evidence on households asset allocation. (2016). Paya, Ivan ; Wang, Peng . In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pa:p:221-235.

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2016UK equity mutual fund alphas make a comeback. (2016). Mateus, Irina B ; Todorovic, Natasa . In: International Review of Financial Analysis. RePEc:eee:finana:v:44:y:2016:i:c:p:98-110.

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2017The relationship between pension funds and the stock market: Does the aging population of Europe affect it?. (2017). Alda, Mercedes . In: International Review of Financial Analysis. RePEc:eee:finana:v:49:y:2017:i:c:p:83-97.

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2016A DCC-GARCH multi-population mortality model and its applications to pricing catastrophic mortality bonds. (2016). Wang, Zihe ; Li, Johnny Siu-Hang . In: Finance Research Letters. RePEc:eee:finlet:v:16:y:2016:i:c:p:103-111.

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2017The effects of age pension on retirement drawdown choices. (2017). Wiafe, Osei K ; Chen, John ; Basu, Anup K. In: Finance Research Letters. RePEc:eee:finlet:v:20:y:2017:i:c:p:81-87.

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2016Hedging mortality/longevity risks of insurance portfolios for life insurer/annuity provider and financial intermediary. (2016). Lin, Tzuling ; Tsai, Cary Chi-Liang . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:66:y:2016:i:c:p:44-58.

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2016Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump–diffusion model. (2016). Sun, Jingyun ; Zeng, Yan ; Li, Zhongfei . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:67:y:2016:i:c:p:158-172.

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2016Semi-parametric accelerated hazard relational models with applications to mortality projections. (2016). Denuit, Michel ; Cadena, Meitner . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:68:y:2016:i:c:p:1-16.

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2016Bayesian approaches for analyzing earthquake catastrophic risk. (2016). Li, Yunxian ; Tang, Niansheng ; Jiang, Xuejun . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:68:y:2016:i:c:p:110-119.

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2016A comparison of two legislative approaches to the pay-as-you-go pension system in terms of adequacy. The Italian case. (2016). Arezzo, Maria Felice ; Varga, Zoltan ; Attias, Anna ; Pianese, Augusto . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:68:y:2016:i:c:p:203-211.

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2016Statistical emulators for pricing and hedging longevity risk products. (2016). Ludkovski, M ; Risk, J. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:68:y:2016:i:c:p:45-60.

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2016Partial splitting of longevity and financial risks: The longevity nominal choosing swaptions. (2016). Loisel, Stéphane ; el Karoui, Nicole ; Bensusan, Harry ; Salhi, Yahia . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:68:y:2016:i:c:p:61-72.

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2016Optimal management of DC pension plan under loss aversion and Value-at-Risk constraints. (2016). Liang, Zongxia ; Guan, Guohui . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:69:y:2016:i:c:p:224-237.

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2016Hedging pure endowments with mortality derivatives. (2016). Young, Virginia R ; Wang, Ting . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:69:y:2016:i:c:p:238-255.

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2016Valuing inflation-linked death benefits under a stochastic volatility framework. (2016). Sheng, Wenlong ; Liang, Zongxia . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:69:y:2016:i:c:p:45-58.

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2016A multivariate evolutionary credibility model for mortality improvement rates. (2016). Schinzinger, Edo ; Christiansen, Marcus C ; Denuit, Michel M. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:69:y:2016:i:c:p:70-81.

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2016Optimal mix between pay-as-you-go and funding for DC pension schemes in an overlapping generations model. (2016). Alonso-Garcia, J ; Devolder, P. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:70:y:2016:i:c:p:224-236.

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2016Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality. (2016). Song, Andrew ; Ignatieva, Katja ; Ziveyi, Jonathan . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:70:y:2016:i:c:p:286-300.

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2016It’s all in the hidden states: A longevity hedging strategy with an explicit measure of population basis risk. (2016). Liu, Yanxin . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:70:y:2016:i:c:p:301-319.

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2016Inference pitfalls in Lee–Carter model for forecasting mortality. (2016). Peng, Liang ; Leng, Xuan . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:70:y:2016:i:c:p:58-65.

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2016Multi-period defined contribution pension funds investment management with regime-switching and mortality risk. (2016). Yao, Haixiang ; Li, Xun ; Chen, Ping . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:103-113.

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2016Polynomial diffusion models for life insurance liabilities. (2016). Biagini, Francesca ; Zhang, Yinglin . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:114-129.

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2016Coherent modeling of male and female mortality using Lee–Carter in a complex number framework. (2016). de Jong, Piet ; Xu, Jianhui ; Tickle, Leonie . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:130-137.

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2016The role of the dependence between mortality and interest rates when pricing Guaranteed Annuity Options. (2016). Deelstra, Griselda ; van Weverberg, Christopher ; Grasselli, Martino . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:205-219.

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2016Accounting and actuarial smoothing of retirement payouts in participating life annuities. (2016). Mitchell, Olivia ; Siegelin, Ivonne ; Rogalla, Ralph ; Maurer, Raimond . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:268-283.

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2016Demand for longevity securities under relative performance concerns: Stochastic differential games with cointegration. (2016). Kwok, Kai Yin ; Wong, Hoi Ying ; Chiu, Mei Choi . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:353-366.

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2016Longevity risk and retirement income tax efficiency: A location spending rate puzzle. (2016). Huang, Huaxiong ; Milevsky, Moshe A. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:50-62.

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2017Existence of optimal consumption strategies in markets with longevity risk. (2017). de Kort, J ; Vellekoop, M H. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:72:y:2017:i:c:p:107-121.

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2017Redistribution of longevity risk: The effect of heterogeneous mortality beliefs. (2017). De Waegenaere, Anja ; Boonen, Tim J ; Norde, Henk . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:72:y:2017:i:c:p:175-188.

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2017Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model. (2017). Li, Danping ; Yi, BO ; Zhao, Hui ; Rong, Ximin . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:72:y:2017:i:c:p:6-20.

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2017Measuring mortality heterogeneity with multi-state models and interval-censored data. (2017). Loisel, Stéphane ; el Karoui, Nicole ; Boumezoued, Alexandre . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:72:y:2017:i:c:p:67-82.

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2017On the effects of changing mortality patterns on investment, labour and consumption under uncertainty. (2017). Ewald, Christian-Oliver ; Zhang, Aihua . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:73:y:2017:i:c:p:105-115.

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2017Intergenerational risk sharing in closing pension funds. (2017). Boonen, Tim J ; de Waegenaere, Anja . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:74:y:2017:i:c:p:20-30.

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2017Institutional investors’ allocation to emerging markets: A panel approach to asset demand. (2017). Bonizzi, Bruno. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:47:y:2017:i:c:p:47-64.

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2016Frontiers in VaR forecasting and backtesting. (2016). Ruiz, Esther ; Nieto, Maria Rosa . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:2:p:475-501.

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2016A multilevel functional data method for forecasting population, with an application to the United Kingdom. (2016). Shang, Han Lin ; Bijak, Jakub ; PEter, ; Winiowski, Arkadiusz . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:3:p:629-649.

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2017Assessing the effects of unconventional monetary policy and low interest rates on pension fund risk incentives. (2017). Nguyen, Duc Khuong ; Paltalidis, Nikos ; Gounopoulos, Dimitrios ; Boubaker, Sabri . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:77:y:2017:i:c:p:35-52.

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2017Skill and luck in private equity performance. (2017). Korteweg, Arthur ; Sorensen, Morten . In: Journal of Financial Economics. RePEc:eee:jfinec:v:124:y:2017:i:3:p:535-562.

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2016Scale economies in pension fund investments: A dissection of investment costs across asset classes. (2016). , Dirk ; Rijsbergen, David R ; van Oord, Arco . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:67:y:2016:i:c:p:147-171.

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2017The impact of uncertainty on professional exchange rate forecasts. (2017). Czudaj, Robert ; Beckmann, Joscha. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:73:y:2017:i:pb:p:296-316.

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2017Exchange rate expectations since the financial crisis: Performance evaluation and the role of monetary policy and safe haven. (2017). Czudaj, Robert ; Beckmann, Joscha. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:74:y:2017:i:c:p:283-300.

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2017Exchange rate expectations and economic policy uncertainty. (2017). Czudaj, Robert ; Beckmann, Joscha. In: European Journal of Political Economy. RePEc:eee:poleco:v:47:y:2017:i:c:p:148-162.

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2016Cohort mortality risk or adverse selection in annuity markets?. (2016). Tonks, Ian ; Cannon, Edmund. In: Journal of Public Economics. RePEc:eee:pubeco:v:141:y:2016:i:c:p:68-81.

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2016Mitigating wind exposure with zero-cost collar insurance. (2016). Gomes, Leonardo ; Brando, Luiz ; Vasconcelos, Gabriel ; Fernandes, Glaucia . In: Renewable Energy. RePEc:eee:renene:v:99:y:2016:i:c:p:336-346.

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2016Multi-asset class mutual funds: Can they time the market? Evidence from the US, UK and Canada. (2016). Clare, Andrew ; Thomas, Steve ; Sherman, Meadhbh Brid . In: Research in International Business and Finance. RePEc:eee:riibaf:v:36:y:2016:i:c:p:212-221.

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2017The impact of the Arab Spring and the Ebola outbreak on African equity mutual fund investor decisions. (2017). Del Giudice, Alfonso ; Paltrinieri, Andrea . In: Research in International Business and Finance. RePEc:eee:riibaf:v:41:y:2017:i:c:p:600-612.

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2016Spouses’ Dependence across Generations and Pricing Impact on Reversionary Annuities. (2016). Spreeuw, Jaap ; luciano, elisa ; Vigna, Elena . In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:2:p:16-:d:70862.

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2016An Optimal Turkish Private Pension Plan with a Guarantee Feature. (2016). Acanogilu-Eki, Ayegl . In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:3:p:19-:d:72852.

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2016Predicting Human Mortality: Quantitative Evaluation of Four Stochastic Models. (2016). Novokreshchenova, Anastasia . In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:4:p:45-:d:84286.

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2017Multivariate Functional Time Series Forecasting: Application to Age-Specific Mortality Rates. (2017). Shang, Han Lin ; Gao, Yuan . In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:2:p:21-:d:94105.

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2016The Impact of Public Pension on Household Consumption: Evidence from China’s Survey Data. (2016). Chen, Taichang ; Zhao, Qing ; Li, Zhen . In: Sustainability. RePEc:gam:jsusta:v:8:y:2016:i:9:p:890-:d:77356.

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2016Wealth-Income Ratios in a Small, Developing Economy: Sweden, 1810–2014. (2016). Waldenstrom, Daniel . In: Working Paper Series. RePEc:hhs:iuiwop:1134.

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2016Expected and unexpected consequences of childbearing – a methodologically and politically important distinction that is overlooked. (2016). Kravdal, Oystein . In: Memorandum. RePEc:hhs:osloec:2016_005.

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2016A continuous-time stochastic model for the mortality surface of multiple populations. (2016). Jevtic, Peter ; Regis, Luca . In: Working Papers. RePEc:ial:wpaper:03/2016.

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2017The potential costs of Longevity Risk on Public Pensions. Evidence from Italian data. (2017). Pammolli, Fabio ; Regis, Luca ; Frassi, Benedetta . In: Working Papers. RePEc:ial:wpaper:1/2017.

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2016Accumulating approach to the life-cycle pension model: practical advantages. (2016). Kudryavtsev, Andrey ; Azoulay, Yaniv ; Shahrabani, Shosh . In: Financial Theory and Practice. RePEc:ipf:finteo:v:40:y:2016:i:4:p:413-436.

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2016Who Wins? Evaluating the Impact of UK Public Sector Pension Scheme Reforms. (2016). Rosazza Bondibene, Chiara ; Dolton, Peter ; Danzer, Alexander. In: IZA Discussion Papers. RePEc:iza:izadps:dp9936.

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2017Can investors benefit from the performance of alternative UCITS funds?. (2017). Busack, Michael ; Tille, Jan ; Drobetz, Wolfgang . In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:31:y:2017:i:1:d:10.1007_s11408-016-0283-7.

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2017Jumping over a low hurdle: personal pension fund performance. (2017). Petraki, Anastasia ; Zalewska, Anna . In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:48:y:2017:i:1:d:10.1007_s11156-015-0546-9.

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2017Proyección de mortalidad en España mediante mixturas de modelos y análisis del impacto económico del riesgo de longevidad /Mortality Projection in Spain through Mixtures of Models and Analysis of . (2017). Benchimol, Andres . In: Estudios de Economía Aplicada. RePEc:lrk:eeaart:35_2_7.

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2016Incentive Fees and Competition in Pension Funds: Evidence from a Regulatory Experiment. (2016). Kandel, Eugene ; Yafeh, Yishay ; Hamdani, Assaf ; Mugerman, Yevgeny . In: NBER Working Papers. RePEc:nbr:nberwo:22634.

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2016Asset Managers: Institutional Performance and Smart Betas. (2016). Morse, Adair ; Gerakos, Joseph ; Linnainmaa, Juhani T. In: NBER Working Papers. RePEc:nbr:nberwo:22982.

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2017The Impact of Pension Funding Mechanisms on the Stability and Payoff from Swiss DC Pension Schemes: A Sensitivity Analysis. (2017). Muller, Philipp ; Wagner, Joel . In: The Geneva Papers on Risk and Insurance - Issues and Practice. RePEc:pal:gpprii:v:42:y:2017:i:3:d:10.1057_s41288-017-0048-1.

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2016Models of Mortality rates - analysing the residuals. (2016). Li, Youwei ; O'Hare, Colin . In: MPRA Paper. RePEc:pra:mprapa:71394.

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2016Assessing the effects of unconventional monetary policy on pension funds risk incentives. (2016). Nguyen, Duc Khuong ; Gounopoulos, Dimitrios ; Boubaker, Sabri ; Paltalidis, Nikos . In: MPRA Paper. RePEc:pra:mprapa:73398.

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2016A General framework for modelling mortality to better estimate its relationship with interest rate risks. (2016). Dacorogna, Michel ; Apicella, Giovanna . In: MPRA Paper. RePEc:pra:mprapa:75788.

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2017Impact of the Degree of Relative Risk Aversion, the Interest Rate and the Exchange Rate Depreciation on Economic Welfare in a Small Open Economy. (2017). Venegas-Martínez, Francisco ; Soriano-Morales, Yazmin Viridiana ; Venegas-Martinez, Francisco ; Vallejo-Jimenez, Benjamin . In: MPRA Paper. RePEc:pra:mprapa:76441.

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2016Common Stochastic Trends in European Mortality Levels: Testing and Consequences for Modeling Longevity Risk in Insurance. (2016). Deaconu, Adela. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2016:i:2:p:152-168.

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2017Frequency of Adjusting Asset Allocations in the Life-Cycle Pension Model: When Doing More Is Not Necessarily Better. (2017). Kudryavtsev, Andrey ; Azoulay, Yaniv ; Shahrabani, Shosh . In: Bulletin of Applied Economics. RePEc:rmk:rmkbae:v:4:y:2017:i:1:p:13-33.

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2017Optimal pension fund composition for an Italian private pension plan sponsor. (2017). Kopa, Milo ; Vitali, Sebastiano ; Moriggia, Vittorio . In: Computational Management Science. RePEc:spr:comgts:v:14:y:2017:i:1:d:10.1007_s10287-016-0263-4.

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2016A representation of risk measures. (2016). amarante, massimiliano. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:39:y:2016:i:1:d:10.1007_s10203-016-0170-8.

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2017Lifespan Disparity as an Additional Indicator for Evaluating Mortality Forecasts. (2017). Bohk-Ewald, Christina ; Rau, Roland ; Ebeling, Marcus . In: Demography. RePEc:spr:demogr:v:54:y:2017:i:4:d:10.1007_s13524-017-0584-0.

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2016Spanish regulation for labeling of financial products: a behavioral-experimental analysis. (2016). Gomez, Y ; Vila, J ; Martinez-Moles, V. In: Economia Politica: Journal of Analytical and Institutional Economics. RePEc:spr:epolit:v:33:y:2016:i:3:d:10.1007_s40888-016-0037-z.

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2016Does the Impact of the Tobacco Epidemic Explain Structural Changes in the Decline of Mortality?. (2016). Nusselder, W J ; Peters, F ; MacKenbach, J P. In: European Journal of Population. RePEc:spr:eurpop:v:32:y:2016:i:5:d:10.1007_s10680-016-9384-2.

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2016Spektrale Risikomaße: Konzeption, betriebswirtschaftliche Anwendungen und Fallstricke. (2016). Brandtner, Mario . In: Management Review Quarterly. RePEc:spr:manrev:v:66:y:2016:i:2:d:10.1007_s11301-015-0116-1.

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More than 100 citations found, this list is not complete...

Works by David Blake:


YearTitleTypeCited
2016Modelling Socio-Economic Differences in the Mortality of Danish Males Using a New Affluence Index In: CREATES Research Papers.
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2011Financial Risks and the Pension Protection Fund: Can it Survive Them? In: Papers.
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2006Financial Risks and the Pension Protection Fund: Can it Survive Them?.(2006) In: MPRA Paper.
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2011Financial Risks and the Pension Protection Fund:Can It Survive Them?.(2011) In: Working Papers.
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2006PYRRHIC VICTORY? THE UNINTENDED CONSEQUENCE OF THE PENSIONS ACT 2004 In: Economic Affairs.
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2008What is a Promise from the Government Worth? Quantifying Political Risk in State and Personal Pension Schemes in the United Kingdom In: Economica.
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2013Decentralized Investment Management: Evidence from the Pension Fund Industry In: Journal of Finance.
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2010Decentralized Investment Management: Evidence from the Pension Fund Industry.(2010) In: CEPR Discussion Papers.
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2010Decentralized investment management: evidence from the pension fund industry.(2010) In: MPRA Paper.
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paper
2016Phantoms never die: living with unreliable population data In: Journal of the Royal Statistical Society Series A.
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article1
2003Reply to Survivor Bonds: A Comment on Blake and Burrows In: Journal of Risk & Insurance.
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article1
2006Survivor Swaps In: Journal of Risk & Insurance.
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article34
2006After VaR: The Theory, Estimation, and Insurance Applications of Quantile-Based Risk Measures In: Journal of Risk & Insurance.
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article28
2006Longevity Risk and Capital Markets In: Journal of Risk & Insurance.
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article4
2006Longevity Bonds: Financial Engineering, Valuation, and Hedging In: Journal of Risk & Insurance.
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article28
2006A Two-Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration In: Journal of Risk & Insurance.
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article125
2010Survivor Derivatives: A Consistent Pricing Framework In: Journal of Risk & Insurance.
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2013Longevity Risk and Capital Markets: The 2011–2012 Update In: Journal of Risk & Insurance.
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article1
2013The New Life Market In: Journal of Risk & Insurance.
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article9
2013Informed Intermediation of Longevity Exposures In: Journal of Risk & Insurance.
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article2
2016The Cost of Counterparty Risk and Collateralization in Longevity Swaps In: Journal of Risk & Insurance.
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2011The cost of counterparty risk and collateralization in longevity swaps.(2011) In: MPRA Paper.
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1992The Demand for Cider in the United Kingdom. In: Oxford Bulletin of Economics and Statistics.
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2014Spend More Today Safely: Using Behavioral Economics to Improve Retirement Expenditure Decisions With SPEEDOMETER Plans In: Risk Management and Insurance Review.
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article1
1990Portfolio Behaviour and Asset Pricing in a Characteristics Framework. In: Scottish Journal of Political Economy.
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1996Financial Intermediation and Financial Innovation in a Characteristics Framework. In: Scottish Journal of Political Economy.
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2008Longevity Risk and Capital Markets: The 2007-2008 Update In: Asia-Pacific Journal of Risk and Insurance.
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2008The Birth of the Life Market In: Asia-Pacific Journal of Risk and Insurance.
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2016Le nouveau marché du risque de longévité In: Revue d'économie financière.
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1998The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis In: University of California at San Diego, Economics Working Paper Series.
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1999The hazards of mutual fund underperformance: A Cox regression analysis.(1999) In: Journal of Empirical Finance.
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1997Performance Measurement using Multiple Asset Class Portfolio Data In: CEPR Discussion Papers.
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2002International Asset Allocation with Time-Varying Investment Opportunities In: CEPR Discussion Papers.
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2002International asset allocation with time-varying investment opportunities.(2002) In: LSE Research Online Documents on Economics.
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2005International Asset Allocation with Time-Varying Investment Opportunities.(2005) In: The Journal of Business.
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2010Did the Housing Boom Increase Household Spending In: Issues in Brief.
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2006Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk In: ASTIN Bulletin: The Journal of the International Actuarial Association.
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2011Bayesian Stochastic Mortality Modelling for Two Populations In: ASTIN Bulletin: The Journal of the International Actuarial Association.
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2017MODELLING MORTALITY FOR PENSION SCHEMES In: ASTIN Bulletin: The Journal of the International Actuarial Association.
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2006Living with Mortality: Longevity Bonds and Other Mortality-Linked Securities In: British Actuarial Journal.
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article30
2017New Evidence on Mutual Fund Performance: A Comparison of Alternative Bootstrap Methods In: Journal of Financial and Quantitative Analysis.
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1996Efficiency, Risk Aversion and Portfolio Insurance: An Analysis of Financial Asset Portfolios Held by Investors in the United Kingdom. In: Economic Journal.
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article49
2000Does It Matter What Type of Pension Scheme You Have? In: Economic Journal.
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article17
2006On The Sustainability of the UK State Pension System in the Light of Population Ageing and Declining Fertility In: Economic Journal.
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article17
1986The Performance of UK Exchange Rate Forecasters. In: Economic Journal.
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article16
2006Stochastic lifestyling: Optimal dynamic asset allocation for defined contribution pension plans In: Journal of Economic Dynamics and Control.
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article48
2004Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans.(2004) In: LSE Research Online Documents on Economics.
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paper
2013Target-driven investing: Optimal investment strategies in defined contribution pension plans under loss aversion In: Journal of Economic Dynamics and Control.
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article9
2011Target-driven investing: Optimal investment strategies in defined contribution pension plans under loss aversion.(2011) In: MPRA Paper.
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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.
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2011Age dependent investing: Optimal funding and investment strategies in defined contribution pension plans when members are rational life cycle financial planners.(2011) In: MPRA Paper.
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1989Testing models generating time varying asset return expectations and risks : The case of UK private sector pension funds In: Economic Modelling.
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2014Improved inference in the evaluation of mutual fund performance using panel bootstrap methods In: Journal of Econometrics.
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1984Complete systems methods of estimating models with rational and adaptive expectations : A case study In: European Economic Review.
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article1
1988The stochastic analysis of competitive unemployment insurance premiums In: European Economic Review.
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article1
1998Pension schemes as options on pension fund assets: implications for pension fund management In: Insurance: Mathematics and Economics.
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article17
2001Pensionmetrics: stochastic pension plan design and value-at-risk during the accumulation phase In: Insurance: Mathematics and Economics.
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article33
2003Pensionmetrics 2: stochastic pension plan design during the distribution phase In: Insurance: Mathematics and Economics.
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article48
2003Pensionmetrics 2: stochastic pension plan design during the distribution phase.(2003) In: LSE Research Online Documents on Economics.
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paper
2006Mortality-dependent financial risk measures In: Insurance: Mathematics and Economics.
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article9
2008Longevity risk and the Grim Reapers toxic tail: The survivor fan charts In: Insurance: Mathematics and Economics.
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article9
2010Longevity risk and capital markets: The 2008-2009 update In: Insurance: Mathematics and Economics.
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article2
2010Securitizing and tranching longevity exposures In: Insurance: Mathematics and Economics.
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article8
2010Evaluating the goodness of fit of stochastic mortality models In: Insurance: Mathematics and Economics.
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article19
2011Mortality density forecasts: An analysis of six stochastic mortality models In: Insurance: Mathematics and Economics.
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article33
2015Modelling longevity bonds: Analysing the Swiss Re Kortis bond In: Insurance: Mathematics and Economics.
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article3
1991Debt-equity swaps as bond conversions: implications for pricing In: Journal of Banking & Finance.
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article2
1982Monetarism and the US economy: A re-evaluation of Steins model 1960-1973 In: Journal of Monetary Economics.
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article1
2004Liability valuation and optimal asset allocation In: LSE Research Online Documents on Economics.
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paper2
2004Barriers to pension scheme participation in small and medium sized enterprises In: LSE Research Online Documents on Economics.
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2003UK pension fund management after Myners: the hunt for correlation begins In: LSE Research Online Documents on Economics.
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paper1
2003Take (smoothed) risks when you are young, not when you are old: how to get the best from your stakeholder pension plan In: LSE Research Online Documents on Economics.
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2003The United Kingdom pension system: key issues In: LSE Research Online Documents on Economics.
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2001The United Kingdom Pension System: Key Issues.(2001) In: Discussion Paper.
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2003What is a promise from the government worth?: measuring and assessing the implications of political risk in state and personal pension schemes in the United Kingdom In: LSE Research Online Documents on Economics.
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2003Financial system requirements for successful pension reform In: LSE Research Online Documents on Economics.
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2003Is immigration the answer to the UK’s pension crisis? In: LSE Research Online Documents on Economics.
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2003Modelling the composition of personal sector wealth in the United Kingdom In: LSE Research Online Documents on Economics.
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2003Long-term value at risk In: LSE Research Online Documents on Economics.
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2002Performance clustering and incentives in the UK pension fund industry In: LSE Research Online Documents on Economics.
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paper13
2002Returns from active management in international equity markets; evidence from a panel of UK pension funds In: LSE Research Online Documents on Economics.
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2002The impact of wealth on consumption and retirement behaviour in the UK In: LSE Research Online Documents on Economics.
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2004The impact of wealth on consumption and retirement behaviour in the UK.(2004) In: Applied Financial Economics.
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2008It is all Back to Front: Critical Issues in the Design of Defined Contribution Pension Plans In: Chapters.
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2004Contracting Out of the State Pension System: The British Experience of Carrots and Sticks In: Chapters.
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2008Defined contribution pensions: dealing with the reluctant investor In: Journal of Financial Regulation and Compliance.
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2016The Myth of Methuselah and the Uncertainty of Death: The Mortality Fan Charts In: Risks.
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2002The United Kingdom: Examining the Switch from Low Public Pensions to High-Cost Private Pensions In: NBER Chapters.
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1998Mutual Fund Performance: Evidence from the UK In: Review of Finance.
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2003Pension Schemes and Pension Funds in the United Kingdom In: OUP Catalogue.
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book17
1999Portfolio Choice Models of Pension Funds and Life Assurance Companies: Similarities and Differences In: The Geneva Papers on Risk and Insurance - Issues and Practice.
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article4
1999Annuity Markets: Problems and Solutions In: The Geneva Papers on Risk and Insurance - Issues and Practice.
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2000Measuring Value Added in the Pensions Industry In: The Geneva Papers on Risk and Insurance - Issues and Practice.
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2007The Impact of Occupation and Gender on Pensions from Defined Contribution Plans In: The Geneva Papers on Risk and Insurance - Issues and Practice.
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2011Longevity Risk and Capital Markets: The 2010–2011 Update In: The Geneva Papers on Risk and Insurance - Issues and Practice.
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2011Longevity risks and capital markets: The 2010-2011 update.(2011) In: MPRA Paper.
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2011Longevity risk and capital markets: The 2009-2010 update In: MPRA Paper.
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2008Turning pension plans into pension planes: What investment strategy designers of defined contribution pension plans can learn from commercial aircraft designers In: MPRA Paper.
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2009NDC v FDC: Pros, cons and replication In: MPRA Paper.
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2010Sharing longevity risk: Why governments should issue longevity bonds In: MPRA Paper.
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2010Why does mutual fund performance not persist? The impact and interaction of fund flows and manager changes In: MPRA Paper.
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2010Spend more today: Using behavioural economics to improve retirement expenditure decisions In: MPRA Paper.
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2011Longevity hedge effectiveness: a decomposition In: MPRA Paper.
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2014Longevity hedge effectiveness: a decomposition.(2014) In: Quantitative Finance.
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2011A gravity model of mortality rates for two related populations In: MPRA Paper.
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2011Longevity hedging 101: A framework for longevity basis risk analysis and hedge effectiveness In: MPRA Paper.
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2012Keeping Some Skin in the Game: How to Start a Capital Market in Longevity Risk Transfers In: MPRA Paper.
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2010Facing up to uncertain life expectancy: The longevity fan charts In: Demography.
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1993The fisher hypothesis: Evidence from three high inflation economies In: Review of World Economics (Weltwirtschaftliches Archiv).
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2004Modelling the composition of personal sector wealth in the UK In: Applied Financial Economics.
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1999Annual estimates of personal wealth holdings in the United Kingdom since 1948 In: Applied Financial Economics.
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1997The demand for alcohol in the United Kingdom In: Applied Economics.
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1981Modelling the Ultimate Absurdity: A Comment on A Quantitative Study of the Strategic Arms Race in the Missile Age. In: The Review of Economics and Statistics.
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1999Asset Allocation Dynamics and Pension Fund Performance. In: The Journal of Business.
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2009Options on normal underlyings with an application to the pricing of survivor swaptions In: Journal of Futures Markets.
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