David Blake : Citation Profile

Are you David Blake?

City University

28

H index

56

i10 index

2230

Citations

RESEARCH PRODUCTION:

137

Articles

44

Papers

1

Books

5

Chapters

RESEARCH ACTIVITY:

   43 years (1981 - 2024). See details.
   Cites by year: 51
   Journals where David Blake has often published
   Relations with other researchers
   Recent citing documents: 132.    Total self citations: 74 (3.21 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pbl129
   Updated: 2024-12-03    RAS profile: 2024-08-08    
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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 (31)

Mitchell, Olivia (30)

Bravo, Jorge (28)

Regis, Luca (27)

De Waegenaere, Anja (25)

luciano, elisa (25)

Broeders, Dirk (17)

Loisel, Stéphane (17)

Li, Youwei (17)

Holzmann, Robert (16)

Beckmann, Joscha (14)

Cites to:

Mitchell, Olivia (34)

Lee, Ronald (28)

Thaler, Richard (19)

Milevsky, Moshe (18)

merton, robert (18)

wermers, russell (17)

Cummins, John (16)

Dowd, Kevin (16)

Biffis, Enrico (16)

Timmermann, Allan (15)

Laibson, David (15)

Main data

Where David Blake has published?

Journals with more than one article published# docs
Journal of Risk & Insurance23
North American Actuarial Journal18
Insurance: Mathematics and Economics13
The Geneva Papers on Risk and Insurance - Issues and Practice6
JRFM5
Journal of Asset Management4
Economic Journal4
ASTIN Bulletin4
Journal of Economic Dynamics and Control3
Applied Financial Economics3
Annals of Actuarial Science3
European Economic Review2
British Actuarial Journal2
Financial Analysts Journal2
Asia-Pacific Journal of Risk and Insurance2
Review of Behavioral Finance2
Scottish Journal of Political Economy2
The Journal of Business2
Review of Finance2

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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2023The impact of simultaneous shocks to financial markets and mortality on pension buy-out prices. (2023). Kleinow, Torsten ; Uur, Omur ; Arik, Aye. In: ASTIN Bulletin. RePEc:cup:astinb:v:53:y:2023:i:2:p:392-417_10.

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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.

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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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2023Comparing forecasting performance in cross-sections. (2023). Zhu, Yinchu ; Timmermann, Allan ; Qu, Ritong. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407621002256.

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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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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.

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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.

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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.

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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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2023Fund investor cliques and flow sensitivity—evidence from China. (2023). Liu, Xiaotong ; Ma, Weichun ; Guo, Xueting ; Mo, Yan. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pb:s1544612323008358.

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2023Underwriter strength and credit spread of corporate bond issuance. (2023). Tian, XU ; Wang, Yan. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pc:s1544612323008371.

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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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2023Intergenerational actuarial fairness when longevity increases: Amending the retirement age. (2023). Holzmann, Robert ; Ayuso, Mercedes ; Bravo, Jorge M ; Palmer, Edward. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:113:y:2023:i:c:p:161-184.

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2023Hedging longevity risk under non-Gaussian state-space stochastic mortality models: A mean-variance-skewness-kurtosis approach. (2023). Chan, Wai-Sum ; Liu, Yanxin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:113:y:2023:i:c:p:96-121.

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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.

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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.

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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.

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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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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.

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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.

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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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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.

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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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2023Uneasy lies the head that wears a crown: Firm network status and market response to negative rumors. (2023). Ying, Sammy Xiaoyan ; Wu, Huiying ; Fan, Michelle Xiaomin ; You, Jiaxing. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:82:y:2023:i:c:s0927538x23002330.

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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.

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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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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.

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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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2023(UBS Pensions series 17) Long-Term Value at Risk. (2003). Dowd, Kevin ; Cairns, Andrew ; Blake, David. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp468.

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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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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.

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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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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.

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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.

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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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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..

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

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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.

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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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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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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.
[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.
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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.
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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]		article11
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
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.
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This paper has nother version. Agregated cites: 12		article
2006Longevity Bonds: Financial Engineering, Valuation, and Hedging In: Journal of Risk & Insurance.
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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.
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2013The New Life Market In: Journal of Risk & Insurance.
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2013Informed Intermediation of Longevity Exposures In: Journal of Risk & Insurance.
[Full Text][Citation analysis]		article9
2016The Cost of Counterparty Risk and Collateralization in Longevity Swaps In: Journal of Risk & Insurance.
[Full Text][Citation analysis]		article30
2011The cost of counterparty risk and collateralization in longevity swaps.(2011) In: MPRA Paper.
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This paper has nother version. Agregated cites: 30		paper
2017MANAGING FINANCIALLY DISTRESSED PENSION PLANS IN THE INTEREST OF BENEFICIARIES In: Journal of Risk & Insurance.
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