David Blake : Citation Profile


Are you David Blake?

City University

27

H index

55

i10 index

2423

Citations

RESEARCH PRODUCTION:

128

Articles

44

Papers

1

Books

5

Chapters

RESEARCH ACTIVITY:

   41 years (1981 - 2022). See details.
   Cites by year: 59
   Journals where David Blake has often published
   Relations with other researchers
   Recent citing documents: 59.    Total self citations: 77 (3.08 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pbl129
   Updated: 2024-01-16    RAS profile: 2023-01-31    
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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:

Li, Hong (38)

Bravo, Jorge (36)

Mitchell, Olivia (34)

De Waegenaere, Anja (30)

Regis, Luca (29)

luciano, elisa (26)

Li, Youwei (24)

Loisel, Stéphane (22)

Milevsky, Moshe (18)

Broeders, Dirk (18)

Holzmann, Robert (18)

Cites to:

Mitchell, Olivia (34)

Lee, Ronald (28)

merton, robert (18)

Milevsky, Moshe (18)

Dowd, Kevin (16)

Cummins, John (16)

Biffis, Enrico (16)

Thaler, Richard (16)

wermers, russell (15)

Timmermann, Allan (15)

Poterba, James (14)

Main data


Where David Blake has published?


Journals with more than one article published# docs
Journal of Risk & Insurance25
North American Actuarial Journal18
Insurance: Mathematics and Economics13
The Geneva Papers on Risk and Insurance - Issues and Practice5
Economic Journal4
ASTIN Bulletin4
Journal of Asset Management4
JRFM4
Annals of Actuarial Science3
Journal of Economic Dynamics and Control3
The Journal of Business2
Asia-Pacific Journal of Risk and Insurance2
European Economic Review2
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 (2024 and 2023)


YearTitle of citing document
2023A Framework of Multivariate Utility Optimization with General Benchmarks. (2021). Zhang, Litian ; Liang, Zongxia ; Liu, Yang. In: Papers. RePEc:arx:papers:2101.06675.

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2023A Simple Bootstrap Method for Panel Data Inferences. (2022). GAO, Jiti ; Yan, Yayi ; Peng, Bin. In: Papers. RePEc:arx:papers:2205.00577.

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2023Utility-based indifference pricing of pure endowments in a Markov-modulated market model. (2023). Salterini, Benedetta ; Cretarola, Alessandra. In: Papers. RePEc:arx:papers:2301.13575.

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2023Optimal management of DB pension fund under both underfunded and overfunded cases. (2023). Xia, YI ; Liang, Zongxia ; Guan, Guohui. In: Papers. RePEc:arx:papers:2302.08731.

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2023Which factors affect the sustainability of pension schemes?. (2023). Fazouane, Abdesselam ; Outlioua, Said. In: Economic Affairs. RePEc:bla:ecaffa:v:43:y:2023:i:1:p:89-108.

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2023Fertility and climate change. (2023). Galeotti, Marzio ; Lupi, Veronica ; Gerlagh, Reyer. In: Scandinavian Journal of Economics. RePEc:bla:scandj:v:125:y:2023:i:1:p:208-252.

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2023Mispricing in inflation markets. (2023). Pinter, Gabor ; Barria, Rodrigo. In: Bank of England working papers. RePEc:boe:boeewp:1034.

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2023On constrained smoothing and out-of-range prediction using P-splines: A conic optimization approach. (2023). Durban, Maria ; Guerrero, Vanesa ; Navarro-Garcia, Manuel. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:441:y:2023:i:c:s0096300322007470.

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2023Does common ownership constrain managerial rent extraction? Evidence from insider trading profitability. (2023). Zhang, Hao ; Wu, Qiang ; Ma, Hui ; Chen, Shenglan. In: Journal of Corporate Finance. RePEc:eee:corfin:v:80:y:2023:i:c:s092911992300038x.

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2023Optimal longevity risk transfer under asymmetric information. (2023). Schultze, Mark B ; Li, Hong ; Chen, AN. In: Economic Modelling. RePEc:eee:ecmode:v:120:y:2023:i:c:s0264999322004163.

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2023Bootstrap analysis of mutual fund performance. (2023). Peng, Liang ; Leng, Xuan ; Jiang, Lei ; Huang, Haitao. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:239-255.

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2023Optimal management of DC pension fund under the relative performance ratio and VaR constraint. (2023). Xia, YI ; Liang, Zongxia ; Guan, Guohui. In: European Journal of Operational Research. RePEc:eee:ejores:v:305:y:2023:i:2:p:868-886.

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2023On optimal constrained investment strategies for long-term savers in stochastic environments and probability hedging. (2023). Vodika, Peter ; Nielsen, Jens Perch ; Kyriakou, Ioannis ; Gerrard, Russell. In: European Journal of Operational Research. RePEc:eee:ejores:v:307:y:2023:i:2:p:948-962.

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2023An integrated model for crude oil forecasting: Causality assessment and technical efficiency. (2023). Wang, Xuelian ; Liao, Stephen Shaoyi ; Wu, Peng ; Cheng, Xian. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005965.

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2023The GMWB guarantee embedded in Life Insurance Contracts: Fair Value Pricing Problem. (2023). Abid, Ilyes ; Naoui, Kamel ; Hamdi, Haykel ; Mrad, Fatma. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322005062.

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2023Portfolio choice with illiquid asset for a loss-averse pension fund investor. (2023). Zeng, Yan ; Li, Zhongfei ; Chen, Zheng. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:108:y:2023:i:c:p:60-83.

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2023Pricing extreme mortality risk in the wake of the COVID-19 pandemic. (2023). Yuan, Zhongyi ; Tang, Qihe ; Liu, Haibo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:108:y:2023:i:c:p:84-106.

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2023Optimal retirement savings over the life cycle: A deterministic analysis in closed form. (2023). Koch, Marlene ; Jensen, Bjarne Astrup ; Fischer, Marcel. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:112:y:2023:i:c:p:48-58.

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2023Multi-population mortality projection: The augmented common factor model with structural breaks. (2023). Vahid, Farshid ; Pantelous, Athanasios A ; Wang, Pengjie. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:450-469.

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2023Bayesian model averaging for mortality forecasting using leave-future-out validation. (2023). Salhi, Yahia ; Loisel, Stephane ; Goffard, Pierre-Olivier ; Barigou, Karim. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:674-690.

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2023Thirty years on: A review of the Lee–Carter method for forecasting mortality. (2023). Booth, Heather ; Camarda, Carlo Giovanni ; Basellini, Ugofilippo. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1033-1049.

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2023Share pledge financing network and systemic risks: Evidence from China. (2023). Wang, ZE ; Qin, Xiao. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:152:y:2023:i:c:s037842662300095x.

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2023Channel coordination under retailers (sub)conscious preferences of loss aversion and fairness. (2023). Ren, Jianbiao ; Guan, Zhenzhong ; Li, Yadong. In: Journal of Retailing and Consumer Services. RePEc:eee:joreco:v:74:y:2023:i:c:s0969698923001777.

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2023Over-weighting risk factor augmented with mutual fund managers social networks. (2023). Hou, Keqiang ; Li, Xing. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:77:y:2023:i:c:s0927538x22002098.

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2023Income growth, income uncertainty, and urban–rural household savings rate in China. (2023). Yang, Dan. In: Regional Science and Urban Economics. RePEc:eee:regeco:v:99:y:2023:i:c:s016604622200093x.

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2023Investor flow-chasing and price–performance puzzle: Evidence from global infrastructure funds. (2023). Yan, Cheng ; Marco, Chi Keung ; Gozgor, Giray ; Zhang, Xuliang ; Xu, Ruihui. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000594.

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2023Proposal for calculating regulatory capital requirements for reverse mortgages. (2023). Serna, Gregorio ; Navarro, Eliseo ; de la Fuente, Ivan. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:88:y:2023:i:c:s0038012123001714.

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2023Its Not Who You Know—Its Who Knows You: Employee Social Capital and Firm Performance. (2023). Wang, Jessie Jiaxu ; Choi, Lyungmae. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2023-20.

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2023Dirichlet Process Log Skew-Normal Mixture with a Missing-at-Random-Covariate in Insurance Claim Analysis. (2023). Bezbradica, Marija ; Crane, Martin ; Lindberg, David ; Kim, Minkun. In: Econometrics. RePEc:gam:jecnmx:v:11:y:2023:i:4:p:24-:d:1258711.

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2023.

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2023.

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2023Blockchain Application to Financial Market Clearing and Settlement Systems. (2023). Coutinho, Kevin ; Khairwal, Neerajkumari ; Wongthongtham, Pornpit ; Agarwal, Nipun. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:10:p:452-:d:1263933.

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2023.

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2023.

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2023Should Selection of the Optimum Stochastic Mortality Model Be Based on the Original or the Logarithmic Scale of the Mortality Rate?. (2023). Santolino, Miguel. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:10:p:170-:d:1250189.

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2023Disentangling Trend Risk and Basis Risk with Functional Time Series. (2023). Li, Johnny Siu-Hang ; Liu, Yanxin. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:12:p:208-:d:1289950.

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2023Dependence Modelling of Lifetimes in Egyptian Families. (2023). Khalil, Dalia ; Constantinescu, Corina ; Hana, Waleed ; Henshaw, Kira. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:1:p:18-:d:1032194.

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2023Commercial Retirement FOFs in China: Investment and Persistence Performance Analysis. (2023). Shen, LI ; Guo, Yundan. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:18:p:13442-:d:1235321.

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2023Herd Behaviour of Pension Funds by Asset Class. (2023). Bikker, Jacob A ; Koetsier, Ian. In: International Journal of Economics and Finance. RePEc:ibn:ijefaa:v:15:y:2023:i:2:p:26.

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2023Persistence of Large-Cap Equity Funds performance, market timing ability, and selectivity: evidence from India. (2023). Balakrishnan, A. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:30:y:2023:i:1:d:10.1007_s10690-022-09367-7.

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2023The role of institutional investors in the financial development. (2023). Andrieș, Alin Marius ; Sprincean, Nicu ; Brodocianu, Mihaela. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:56:y:2023:i:1:d:10.1007_s10644-022-09425-0.

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2023Optimal investment for defined-contribution pension plans under money illusion. (2023). Yang, Charles ; Wei, Pengyu. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:61:y:2023:i:2:d:10.1007_s11156-023-01169-w.

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2023The correct formula of 1979 prospect theory for multiple outcomes. (2023). Wakker, Peter P. In: Theory and Decision. RePEc:kap:theord:v:94:y:2023:i:2:d:10.1007_s11238-022-09885-w.

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2023An Age–Period–Cohort Model in a Dirichlet Framework: A Coherent Causes of Death Estimation. (2023). Nigri, Andrea ; Graziani, Rebecca. In: SocArXiv. RePEc:osf:socarx:856yw.

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2023Regulatory Limits to Risk Management. (2023). Sen, Ishita. In: Review of Financial Studies. RePEc:oup:rfinst:v:36:y:2023:i:6:p:2175-2223..

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2023UK mutual funds: performance persistence and portfolio size. (2023). Osullivan, Niall ; Nitzsche, Dirk ; Cuthbertson, Keith. In: Journal of Asset Management. RePEc:pal:assmgt:v:24:y:2023:i:4:d:10.1057_s41260-023-00310-7.

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2023The Greek-Turkish rivalry: A Bayesian VAR approach. (2023). Kechrinioti, Alexandra ; Karamanis, Dimitrios. In: MPRA Paper. RePEc:pra:mprapa:116827.

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2023Determinants of Fintech and Bigtech lending: the role of financial inclusion and financial development. (2023). Ozili, Peterson K. In: MPRA Paper. RePEc:pra:mprapa:117465.

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2023Hedging longevity risk in defined contribution pension schemes. (2023). Wang, Yongjie ; Ewald, Christian-Oliver ; Agarwal, Ankush. In: Computational Management Science. RePEc:spr:comgts:v:20:y:2023:i:1:d:10.1007_s10287-023-00440-8.

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2023Locally-coherent multi-population mortality modelling via neural networks. (2023). Scognamiglio, Salvatore ; Perla, Francesca. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:46:y:2023:i:1:d:10.1007_s10203-022-00382-x.

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2023Unexpected longevity, intergenerational policies, and fertility. (2023). Ki, Seok ; Hwang, Jisoo. In: Journal of Population Economics. RePEc:spr:jopoec:v:36:y:2023:i:3:d:10.1007_s00148-023-00943-3.

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2023.

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2023Does the Fisher effect hold in Rwanda?. (2023). Iddrisu, Abdul-Aziz ; Plajeva, Tatjana ; Boachie, Micheal Kofi ; Ruzima, Martin. In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:57:y:2023:i:3:d:10.1007_s11135-022-01479-6.

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2023Backtesting stochastic mortality models by prediction interval-based metrics. (2023). Marino, Mario ; Scognamiglio, Salvatore. In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:57:y:2023:i:4:d:10.1007_s11135-022-01537-z.

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2023.

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2023Extensions of the Lee–Carter model to project the data?driven rotation of age?specific mortality decline and forecast coherent mortality rates. (2023). Shi, Yanlin ; Liu, Cuixia. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:4:p:813-834.

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2023A new option for mortality–interest rates. (2023). Tsai, Cary Chiliang ; Lin, Tzuling. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:2:p:273-293.

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Works by David Blake:


YearTitleTypeCited
2016Modelling Socio-Economic Differences in the Mortality of Danish Males Using a New Affluence Index In: CREATES Research Papers.
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paper2
2011Financial Risks and the Pension Protection Fund: Can it Survive Them? In: Papers.
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paper1
2006Financial Risks and the Pension Protection Fund: Can it Survive Them?.(2006) In: MPRA Paper.
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This paper has nother version. Agregated cites: 1
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2011Financial Risks and the Pension Protection Fund:Can It Survive Them?.(2011) In: Working Papers.
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This paper has nother version. Agregated cites: 1
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2006PYRRHIC VICTORY? THE UNINTENDED CONSEQUENCE OF THE PENSIONS ACT 2004 In: Economic Affairs.
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article0
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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article2
2013Decentralized Investment Management: Evidence from the Pension Fund Industry In: Journal of Finance.
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article36
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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This paper has nother version. Agregated cites: 36
paper
2016Phantoms never die: living with unreliable population data In: Journal of the Royal Statistical Society Series A.
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article11
2003Reply to “Survivor Bonds: A Comment on Blake and Burrows” In: Journal of Risk & Insurance.
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article3
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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article45
2006Longevity Risk and Capital Markets In: Journal of Risk & Insurance.
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article12
2011Longevity Risk and Capital Markets.(2011) In: North American Actuarial Journal.
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2006Longevity Bonds: Financial Engineering, Valuation, and Hedging In: Journal of Risk & Insurance.
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article61
2006A Two?Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration In: Journal of Risk & Insurance.
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article250
2010Survivor Derivatives: A Consistent Pricing Framework In: Journal of Risk & Insurance.
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article16
2013Longevity Risk and Capital Markets: The 2011–2012 Update In: Journal of Risk & Insurance.
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article2
2013The New Life Market In: Journal of Risk & Insurance.
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article22
2013Informed Intermediation of Longevity Exposures In: Journal of Risk & Insurance.
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article7
2016The Cost of Counterparty Risk and Collateralization in Longevity Swaps In: Journal of Risk & Insurance.
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article29
2011The cost of counterparty risk and collateralization in longevity swaps.(2011) In: MPRA Paper.
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2017MANAGING FINANCIALLY DISTRESSED PENSION PLANS IN THE INTEREST OF BENEFICIARIES In: Journal of Risk & Insurance.
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2017Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference In: Journal of Risk & Insurance.
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2017Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference.(2017) In: Journal of Risk & Insurance.
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2017Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference.(2017) In: Journal of Risk & Insurance.
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2017Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference.(2017) In: Journal of Risk & Insurance.
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2017Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference.(2017) In: Journal of Risk & Insurance.
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2017Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference.(2017) In: Journal of Risk & Insurance.
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2017Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference.(2017) In: Journal of Risk & Insurance.
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2017Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference.(2017) In: Journal of Risk & Insurance.
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2017Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference.(2017) In: Journal of Risk & Insurance.
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2017Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference.(2017) In: Journal of Risk & Insurance.
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2017Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference.(2017) In: Journal of Risk & Insurance.
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This paper has nother version. Agregated cites: 0
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2017Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference.(2017) In: Journal of Risk & Insurance.
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This paper has nother version. Agregated cites: 0
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2017Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference.(2017) In: Journal of Risk & Insurance.
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1992The Demand for Cider in the United Kingdom. In: Oxford Bulletin of Economics and Statistics.
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article0
2014Spend More Today Safely: Using Behavioral Economics to Improve Retirement Expenditure Decisions With SPEEDOMETER Plans In: Risk Management and Insurance Review.
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article3
1990Portfolio Behaviour and Asset Pricing in a Characteristics Framework. In: Scottish Journal of Political Economy.
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article1
1996Financial Intermediation and Financial Innovation in a Characteristics Framework. In: Scottish Journal of Political Economy.
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article4
2008Longevity Risk and Capital Markets: The 2007-2008 Update In: Asia-Pacific Journal of Risk and Insurance.
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article1
2008The Birth of the Life Market In: Asia-Pacific Journal of Risk and Insurance.
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article13
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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paper35
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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2020CBDX: a workhorse mortality model from the Cairns–Blake–Dowd family In: Annals of Actuarial Science.
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2020Identifiability in age/period mortality models In: Annals of Actuarial Science.
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2020Identifiability in age/period/cohort mortality models In: Annals of Actuarial Science.
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article5
2006Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk* In: ASTIN Bulletin.
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article97
2011Bayesian Stochastic Mortality Modelling for Two Populations In: ASTIN Bulletin.
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article59
2017MODELLING MORTALITY FOR PENSION SCHEMES In: ASTIN Bulletin.
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article2
2019MODELLING SOCIO-ECONOMIC DIFFERENCES IN MORTALITY USING A NEW AFFLUENCE INDEX In: ASTIN Bulletin.
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article9
2006Living with Mortality: Longevity Bonds and Other Mortality-Linked Securities In: British Actuarial Journal.
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article76
2019Still living with mortality: the longevity risk transfer market after one decade In: British Actuarial Journal.
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article7
2017New Evidence on Mutual Fund Performance: AÂ Comparison of Alternative Bootstrap Methods In: Journal of Financial and Quantitative Analysis.
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article11
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