David P. Blake

City University London - Cass Business School

Professor of Pension Economics, Director of Pensions Institute

London, EC2Y 8HB

Great Britain

  • City University London - Cass Business School

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Scholarly Papers (78)

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1.

A Quantitative Comparison of Stochastic Mortality Models Using Data from England & Wales and the United States

Number of pages: 77 Posted: 11 Feb 2009
Andrew J. G. Cairns, David P. Blake, Kevin Dowd, Guy Coughlan and David Epstein
Heriot-Watt University - Department of Actuarial Science & Statistics, City University London - Cass Business School, Nottingham University Business School (NUBS), Pacific Global Advisors and J.P. Morgan Chase & Co.
Downloads 1,307 (14,448)
Citation 59

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Stochastic mortality, CBD-Perks models, Lee-Carter models, age effect, period effect, cohort effect, maximum likelihood, Bayes Information Criterion, robustness

2.

Mortality-Linked Securities and Derivatives

Number of pages: 20 Posted: 11 Feb 2009 Last Revised: 08 Oct 2009
Enrico Biffis and David P. Blake
Imperial College Business School and City University London - Cass Business School
Downloads 1,040 (20,376)
Citation 18

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3.

The Market for Lemmings: The Herding Behavior of Pension Funds

Number of pages: 63 Posted: 21 Feb 2015 Last Revised: 06 Dec 2016
David P. Blake, Lucio Sarno and Gabriele Zinna
City University London - Cass Business School, City University London - Sir John Cass Business School and Bank of Italy
Downloads 516 (53,257)
Citation 2

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Institutional investors; pension funds; herding; portfolio rebalancing.

4.

Longevity Risk and Capital Markets: The 2008-2009 Update

Number of pages: 7 Posted: 19 Mar 2009
David P. Blake, Anja De Waegenaere, Richard D. MacMinn and Theo Nijman
City University London - Cass Business School, Tilburg University - Center for Economic Research (CentER), National Chengchi University and Tilburg University - Center and Faculty of Economics and Business Administration
Downloads 477 (58,832)
Citation 6

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5.

Why Does Mutual Fund Performance Not Persist? The Impact and Interaction of Fund Flows and Manager Changes

Paris December 2010 Finance Meeting EUROFIDAI - AFFI
Number of pages: 44 Posted: 22 Oct 2010
Wolfgang Bessler, David P. Blake, Peter Lueckoff and Ian Tonks
Justus-Liebig-University Giessen, City University London - Cass Business School, Justus-Liebig-University Giessen and University of Bristol
Downloads 426 (67,485)
Citation 9

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Mutual Funds, Performance Persistence, Fund Flows, Manager Turnover

6.

Default Funds in UK Defined Contribution Pension Plans

Financial Analysts Journal, July/August 2007
Number of pages: 37 Posted: 10 Sep 2007
Alistair Byrne, Kevin Dowd, David P. Blake and Andrew J. G. Cairns
University of Edinburgh - Business School, Nottingham University Business School (NUBS), City University London - Cass Business School and Heriot-Watt University - Department of Actuarial Science & Statistics
Downloads 410 (70,694)
Citation 2

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defined contribution, default funds, asset allocation, lifecycle investing

7.

The Cost of Counterparty Risk and Collateralization in Longevity Swaps

Downloads 385 ( 76,058)
Citation 8

The Cost of Counterparty Risk and Collateralization in Longevity Swaps

Number of pages: 44 Posted: 04 Apr 2011 Last Revised: 03 Feb 2014
Enrico Biffis, David P. Blake, Lorenzo Pitotti and Ariel Sun
Imperial College Business School, City University London - Cass Business School, Credit Suisse Securities and Imperial College London, Business School
Downloads 385 (75,379)
Citation 11

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longevity swap, counterparty risk, default risk, collateral, marking-to-market

The Cost of Counterparty Risk and Collateralization in Longevity Swaps

Journal of Risk and Insurance, Vol. 83, Issue 2, pp. 387-419, 2016
Number of pages: 33 Posted: 23 May 2016
Enrico Biffis, Ariel Sun, David P. Blake and Lorenzo Pitotti
Imperial College Business School, Imperial College London, Business School, City University London - Cass Business School and Credit Suisse Securities
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8.

Securitizing and Tranching Longevity Exposures

Number of pages: 40 Posted: 26 May 2009 Last Revised: 17 Aug 2009
Enrico Biffis and David P. Blake
Imperial College Business School and City University London - Cass Business School
Downloads 385 (76,058)
Citation 4

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longevity risk, asymmetric information, security design, pooling, tranching

9.

Mortality Density Forecasts: An Analysis of Six Stochastic Mortality Models

Pensions Institute Discussion Paper No. PI-0801
Number of pages: 70 Posted: 10 Feb 2009 Last Revised: 10 Jul 2009
Andrew J. G. Cairns, David P. Blake, Kevin Dowd, Guy Coughlan, David Epstein and Marwa Khalaf-Allah
Heriot-Watt University - Department of Actuarial Science & Statistics, City University London - Cass Business School, Nottingham University Business School (NUBS), Pacific Global Advisors, J.P. Morgan Chase & Co. and J.P. Morgan
Downloads 326 (92,023)
Citation 36

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Stochastic mortality model, cohort erect, fan charts, model risk, fore-casting, model selection criteria

10.

Modelling and Management of Mortality Risk: A Review

Scandinavian Actuarial Journal, Vol. 2-3, pp. 79-113, 2008, Pensions Institute Discussion Paper No. PI-0814
Number of pages: 47 Posted: 10 Feb 2009 Last Revised: 16 Apr 2009
Andrew J. G. Cairns, David P. Blake and Kevin Dowd
Heriot-Watt University - Department of Actuarial Science & Statistics, City University London - Cass Business School and Nottingham University Business School (NUBS)
Downloads 319 (94,267)
Citation 9

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Stochastic mortality models, Short-rate models, Market models, Cohort effect, SCOR

11.

An Unreal Number: How Company Pension Accounting Fosters an Illusion of Certainty

Number of pages: 86 Posted: 19 Feb 2009
David P. Blake
City University London - Cass Business School
Downloads 283 (107,397)
Citation 7

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12.

The Birth of the Life Market

Pensions Institute Discussion Paper No. PI-0807
Number of pages: 32 Posted: 28 Apr 2009
David P. Blake, Andrew J. G. Cairns and Kevin Dowd
City University London - Cass Business School, Heriot-Watt University - Department of Actuarial Science & Statistics and Nottingham University Business School (NUBS)
Downloads 268 (113,719)
Citation 5

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13.

And Death Shall Have No Dominion: Life Settlements and the Ethic of Profiting from Mortality

Number of pages: 29 Posted: 19 Feb 2009
David P. Blake and Debbie Harrison
City University London - Cass Business School and City University London - Sir John Cass Business School
Downloads 265 (115,070)
Citation 10

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14.

Dealing With the Reluctant Investor: Innovation and Governance in DC Pension Investment

Number of pages: 58 Posted: 11 Sep 2007
Alistair Byrne, Debbie Harrison and David P. Blake
University of Edinburgh - Business School, City University London - Sir John Cass Business School and City University London - Cass Business School
Downloads 251 (121,692)
Citation 3

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pensions, defined contribution, lifecycle funds, governance

15.

Longevity Risk and Capital Markets: The 2007-2008 Update

Number of pages: 6 Posted: 11 Feb 2009
Richard D. MacMinn, Jennifer L. Wang and David P. Blake
National Chengchi University, National Chengchi University - Department of Risk Management and Insurance and City University London - Cass Business School
Downloads 232 (131,776)

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16.

Sharing Longevity Risk: Why Governments Should Issue Longevity Bonds

Pensions Institute Discussion Paper No. PI-1002
Number of pages: 27 Posted: 01 Dec 2011
David P. Blake, Tom Boardman and Andrew J. G. Cairns
City University London - Cass Business School, affiliation not provided to SSRN and Heriot-Watt University - Department of Actuarial Science & Statistics
Downloads 231 (132,358)
Citation 8

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Longevity risk, longevity bonds, public policy, political economy

17.

Options on Normal Underlyings with an Application to the Pricing of Survivor Swaptions

Pensions Institute Discussion Paper PI-0713
Number of pages: 29 Posted: 10 Feb 2009
Paul Dawson, Kevin Dowd, Andrew J. G. Cairns and David P. Blake
Kent State University, Nottingham University Business School (NUBS), Heriot-Watt University - Department of Actuarial Science & Statistics and City University London - Cass Business School
Downloads 230 (132,924)
Citation 3

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18.

The Stakeholder Pension Lottery: An Analysis of the Default Funds in UK Stakeholder Pension Schemes

EFA 2005 Moscow Meetings Paper, Cass Business School Research Paper
Number of pages: 26 Posted: 28 Jan 2005
Alistair Byrne, Kevin Dowd, David P. Blake and Andrew J. G. Cairns
University of Edinburgh - Business School, Nottingham University Business School (NUBS), City University London - Cass Business School and Heriot-Watt University - Department of Actuarial Science & Statistics
Downloads 209 (145,674)

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pension schemes, defined contribution, default funds, strategic asset allocation, lifestyle profile, stochastic simulation

19.

There's No Time Like the Present: The Cost of Delaying Retirement Saving

Financial Services Review, Vol. 15, No. 3, 2006
Number of pages: 30 Posted: 10 Sep 2007
Alistair Byrne, Kevin Dowd, David P. Blake and Andrew J. G. Cairns
University of Edinburgh - Business School, Nottingham University Business School (NUBS), City University London - Cass Business School and Heriot-Watt University - Department of Actuarial Science & Statistics
Downloads 203 (149,657)

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retirement saving, defined contribution, stochastic simulation

20.

New Evidence on Mutual Fund Performance: A Comparison of Alternative Bootstrap Methods

Downloads 199 (152,520)
Citation 36

New Evidence on Mutual Fund Performance: A Comparison of Alternative Bootstrap Methods

Number of pages: 44 Posted: 21 Oct 2015
David P. Blake, Tristan Caulfield, Christos Ioannidis and Ian Tonks
City University London - Cass Business School, University College London, University of Bath-Department of Economics and University of Bristol
Downloads 162 (183,418)
Citation 2

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mutual funds, unit trusts, open ended investment companies, performance measurement, factor benchmark models, bootstrap methods

New Evidence on Mutual Fund Performance: A Comparison of Alternative Bootstrap Methods

Pensions Institute, Discussion Paper PI-1404
Number of pages: 44 Posted: 22 Mar 2016
David P. Blake, Tristan Caulfield, Christos Ioannidis and Ian Tonks
City University London - Cass Business School, University College London, University of Bath-Department of Economics and University of Bristol
Downloads 37 (446,639)
Citation 35

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mutual funds, unit trusts, open ended investment companies, performance measurement, factor benchmark models, bootstrap methods

21.

Longevity Risk and Capital Markets: The 2013-14 Update

Downloads 198 (153,255)
Citation 8

Longevity Risk and Capital Markets: The 2013-14 Update

Pensions Institute Discussion Paper PI-1502
Number of pages: 29 Posted: 24 Mar 2016
Ken Seng Tan, David P. Blake and Richard D. MacMinn
University of Waterloo, City University London - Cass Business School and National Chengchi University
Downloads 106 (256,225)
Citation 6

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Longevity Risk and Capital Markets: The 2013-14 Update

Number of pages: 29 Posted: 11 Apr 2015
Ken Seng Tan, David P. Blake and Richard D. MacMinn
University of Waterloo, City University London - Cass Business School and National Chengchi University
Downloads 92 (281,981)
Citation 2

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22.

Backtesting Stochastic Mortality Models: An Ex-Post Evaluation of Multi-Period Ahead-Density Forecasts

Number of pages: 43 Posted: 29 Apr 2009 Last Revised: 10 Jul 2009
Kevin Dowd, Andrew J. G. Cairns, David P. Blake, Guy Coughlan, David Epstein and Marwa Khalaf-Allah
Nottingham University Business School (NUBS), Heriot-Watt University - Department of Actuarial Science & Statistics, City University London - Cass Business School, Pacific Global Advisors, J.P. Morgan Chase & Co. and J.P. Morgan
Downloads 193 (157,018)
Citation 24

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backtesting, forecasting performance, mortality models

23.

Financial Risks and the Pension Protection Fund: Can it Survive Them?

Number of pages: 32 Posted: 22 Jun 2007
John Cotter, David P. Blake and Kevin Dowd
University College Dublin, City University London - Cass Business School and Nottingham University Business School (NUBS)
Downloads 191 (158,465)
Citation 3

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24.

Network Centrality and Delegated Investment Performance

Netspar Discussion Paper No. 12/2015-065
Number of pages: 55 Posted: 07 Mar 2016 Last Revised: 02 Oct 2016
Alberto Rossi, David P. Blake, Allan Timmermann, Ian Tonks and Russ Wermers
University of Maryland - Department of Finance, City University London - Cass Business School, UCSD, University of Bristol and University of Maryland - Robert H. Smith School of Business
Downloads 181 (166,405)
Citation 1

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Networks, Investment Management, Performance

25.

Financial Sophistication and Pension Plan Decisions

Number of pages: 30 Posted: 11 Feb 2009
Alistair Byrne, David P. Blake and Graham Mannion
University of Edinburgh - Business School, City University London - Cass Business School and PensionDCisions
Downloads 179 (168,017)
Citation 1

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Pensions, Defined Contribution, Contribution Rates, Investment Choice

26.

Completing the Survivor Derivatives Market: A General Pricing Framework

Pensions Institute Discussion Paper No. PI-0712
Number of pages: 34 Posted: 10 Feb 2009
Paul Dawson, Kevin Dowd, Andrew J. G. Cairns and David P. Blake
Kent State University, Nottingham University Business School (NUBS), Heriot-Watt University - Department of Actuarial Science & Statistics and City University London - Cass Business School
Downloads 169 (176,787)
Citation 1

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27.

Target2: The Silent Bailout System that Keeps the Euro Afloat

Number of pages: 66 Posted: 31 May 2018
David P. Blake
City University London - Cass Business School
Downloads 161 (185,219)

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Target2, payment system, Optimal Currency Area, Eurozone, euro

28.

Target-Driven Investing: Optimal Investment Strategies in Defined Contribution Pension Plans Under Loss Aversion

Downloads 160 (185,219)
Citation 3

Target-Driven Investing: Optimal Investment Strategies in Defined Contribution Pension Plans Under Loss Aversion

Pension Institute Discussion Paper No. PI-1112
Number of pages: 45 Posted: 01 Dec 2011
David P. Blake, Douglas Wright and Yumeng Zhang
City University London - Cass Business School, City University London - Sir John Cass Business School and Solutions Group, Legal & General Investment Management
Downloads 123 (229,830)
Citation 2

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defined contribution pension plan, investment strategy, loss aversion, target replacement ratio, threshold strategy, portfolio insurance, dynamic programming

Target-Driven Investing: Optimal Investment Strategies in Defined Contribution Pension Plans Under Loss Aversion

Pensions Institute, Discussion Paper PI-1112
Number of pages: 36 Posted: 08 Mar 2016
David P. Blake, Douglas Wright and Yumeng Zhang
City University London - Cass Business School, City University London - Sir John Cass Business School and Solutions Group, Legal & General Investment Management
Downloads 37 (446,639)
Citation 2

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defined contribution pension plan, investment strategy, loss aversion, target replacement ratio, threshold strategy, portfolio insurance, dynamic programming

29.

Informed Intermediation of Longevity Exposures

Downloads 145 (200,998)

Informed Intermediation of Longevity Exposures

Number of pages: 24 Posted: 18 Nov 2012
Enrico Biffis and David P. Blake
Imperial College Business School and City University London - Cass Business School
Downloads 145 (201,470)

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Informed Intermediation of Longevity Exposures

Journal of Risk and Insurance, Vol. 80, Issue 3, pp. 559-584, 2013
Number of pages: 26 Posted: 30 Aug 2013
Enrico Biffis and David P. Blake
Imperial College Business School and City University London - Cass Business School
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Informed Intermediation of Longevity Exposures

CAREFIN Research Paper No. 17/09
Posted: 08 May 2010
David P. Blake and Enrico Biffis
City University London - Cass Business School and Imperial College Business School

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30.

The Distribution of Future Annuity Prices under Interest-Rate and Longevity Risks

Pension Institute Discussion Paper No. PI-0823
Number of pages: 25 Posted: 10 Feb 2009
Kevin Dowd, David P. Blake and Andrew J. G. Cairns
Nottingham University Business School (NUBS), City University London - Cass Business School and Heriot-Watt University - Department of Actuarial Science & Statistics
Downloads 138 (209,202)
Citation 2

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longevity risk, interest-rate risk, annuity prices, Taylor series

31.

Evaluating the Goodness of Fit of Stochastic Mortality Models

Number of pages: 53 Posted: 04 May 2009
Kevin Dowd, Andrew J. G. Cairns, David P. Blake, Guy Coughlan, David Epstein and Marwa Khalaf-Allah
Nottingham University Business School (NUBS), Heriot-Watt University - Department of Actuarial Science & Statistics, City University London - Cass Business School, Pacific Global Advisors, J.P. Morgan Chase & Co. and J.P. Morgan
Downloads 130 (219,392)
Citation 14

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goodness of fit, mortality models

32.

Turning Pensions Plans into Pension Planes: What Investment Strategy Designers of Defined Contribution Pension Plans Can Learn from Commercial Aircraft Designers

Number of pages: 86 Posted: 29 Apr 2009
David P. Blake, Andrew J. G. Cairns and Kevin Dowd
City University London - Cass Business School, Heriot-Watt University - Department of Actuarial Science & Statistics and Nottingham University Business School (NUBS)
Downloads 127 (223,373)
Citation 6

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33.

Spend More Today: Using Behavioural Economics to Improve Retirement Expenditure Decisions

Pensions Institute Discussions Paper No. PI-1014
Number of pages: 43 Posted: 01 Dec 2011
David P. Blake and Tom Boardman
City University London - Cass Business School and affiliation not provided to SSRN
Downloads 121 (231,693)
Citation 1

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Behavioural economics, Retirement, Annuities

34.

Age Dependent Investing: Optimal Funding and Investment Strategies in Defined Contribution Pension Plans when Members are Rational Life Cycle Financial Planners

Downloads 120 (233,073)
Citation 7

Age Dependent Investing: Optimal Funding and Investment Strategies in Defined Contribution Pension Plans when Members are Rational Life Cycle Financial Planners

Pensions Institute Discussion Paper No. PI-1111
Number of pages: 46 Posted: 01 Dec 2011
David P. Blake, Douglas Wright and Yumeng Zhang
City University London - Cass Business School, City University London - Sir John Cass Business School and Solutions Group, Legal & General Investment Management
Downloads 87 (292,482)

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defined contribution pension plan, funding strategy, investment strategy, Epstein-Zin utility, stochastic lifestyling, phased annuitisation, dynamic programming

Age-Dependent Investing: Optimal Funding and Investment Strategies in Defined Contribution Pension Plans When Members are Rational Life Cycle Financial Planners

Pensions Institute, Discussion Paper PI-1111
Number of pages: 46 Posted: 08 Mar 2016
David P. Blake, Douglas Wright and Yumeng Zhang
City University London - Cass Business School, City University London - Sir John Cass Business School and Solutions Group, Legal & General Investment Management
Downloads 33 (464,868)
Citation 9

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defined contribution pension plan, funding strategy, investment strategy, Epstein-Zin utility, stochastic lifestyling, phased annuitisation, dynamic programming

35.

The Term Structure of Funding Spreads

Number of pages: 40 Posted: 11 Feb 2009
Joachim Inkmann and David P. Blake
University of Melbourne - Department of Finance and City University London - Cass Business School
Downloads 118 (236,079)
Citation 2

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term structure, funding risk, funding spread, asset-liability management

36.

Apocalyptic Demography? Putting Longevity Risk in Perspective

Number of pages: 55 Posted: 19 Feb 2009
David P. Blake
City University London - Cass Business School
Downloads 101 (263,373)
Citation 3

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37.

Longevity Risks and Capital Markets: The 2010-2011 Update

Pension Institute Discussion Paper No. PI-1113
Number of pages: 14 Posted: 01 Dec 2011
David P. Blake, Christophe Courbage, Richard D. MacMinn and Michael Sherris
City University London - Cass Business School, Haute Ecole de Gestion de Genève - University of Applied Sciences Western Switzerland (HES-SO), National Chengchi University and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 97 (270,496)
Citation 1

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38.

Taking the Long View

Number of pages: 4 Posted: 06 May 2009 Last Revised: 10 Jul 2009
David P. Blake, Tom Boardman, Andrew J. G. Cairns and Kevin Dowd
City University London - Cass Business School, affiliation not provided to SSRN, Heriot-Watt University - Department of Actuarial Science & Statistics and Nottingham University Business School (NUBS)
Downloads 88 (287,921)
Citation 2

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39.

Measurement Without Theory: On the Extraordinary Abuse of Economic Models in the EU Referendum Debate

Number of pages: 64 Posted: 08 Aug 2016
David P. Blake
City University London - Cass Business School
Downloads 85 (294,257)

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40.

Longevity Hedge Effectiveness: A Decomposition

Pensions Institute Discussion Paper No. PI-1106
Number of pages: 36 Posted: 01 Dec 2011
Andrew J. G. Cairns, Kevin Dowd, David P. Blake and Guy Coughlan
Heriot-Watt University - Department of Actuarial Science & Statistics, City University London - Sir John Cass Business School, City University London - Cass Business School and Pacific Global Advisors
Downloads 84 (296,384)
Citation 1

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hedge effectiveness, correlation, mark-to-model, valuation model, simulation, value hedging, longevity risk, stochastic mortality, population basis risk, recalibration risk

41.

Facing Up to Uncertain Life Expectancy: The Longevity Fan Charts

Number of pages: 36 Posted: 11 Feb 2009
Kevin Dowd, David P. Blake and Andrew J. G. Cairns
Nottingham University Business School (NUBS), City University London - Cass Business School and Heriot-Watt University - Department of Actuarial Science & Statistics
Downloads 76 (314,604)
Citation 11

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42.

We Need a National Narrative: Building a Consensus Around Retirement Income

Independent Review of Retirement Income, 2016
Number of pages: 606 Posted: 24 Mar 2016
David P. Blake
City University London - Cass Business School
Downloads 65 (342,646)

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43.

Longevity Risk and Capital Markets: The 2015-16 Update

Pensions Institute, Working Paper No. 1704
Number of pages: 44 Posted: 26 Oct 2017
David P. Blake, Nicole El Karoui, Richard D. MacMinn and Stéphane Loisel
City University London - Cass Business School, Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees, National Chengchi University and University of Lyon 1 - Institute of Finance and Insurance Science (ISFA)
Downloads 61 (353,905)
Citation 3

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44.

Pyrrhic Victory? The Unintended Consequences of the Pensions Act 2004

Number of pages: 55 Posted: 19 Feb 2009
Debbie Harrison, Alistair Byrne, Bill Rhodes and David P. Blake
City University London - Sir John Cass Business School, University of Edinburgh - Business School, Pendragon PLC and City University London - Cass Business School
Downloads 57 (365,865)
Citation 2

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45.

Annuities & Accessibilility: How the Industry Can Empower Consumers to Make Rational Choices

Number of pages: 45 Posted: 19 Feb 2009
Debbie Harrison, Alistair Byrne and David P. Blake
City University London - Sir John Cass Business School, University of Edinburgh - Business School and City University London - Cass Business School
Downloads 55 (372,180)
Citation 4

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46.

Brexit and the City

Number of pages: 189 Posted: 31 May 2018
David P. Blake
City University London - Cass Business School
Downloads 54 (375,455)

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City of London, Brexit, European Union, regulatory equivalence, mutual recognition of regulations

47.

The Myth of Methuselah and the Uncertainty of Death: The Mortality Fan Charts

Number of pages: 16 Posted: 11 Feb 2009
Kevin Dowd, David P. Blake and Andrew J. G. Cairns
Nottingham University Business School (NUBS), City University London - Cass Business School and Heriot-Watt University - Department of Actuarial Science & Statistics
Downloads 47 (398,735)

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mortality, fan charts, longevity risk, parameter risk

48.

Longevity: A New Asset Class

Number of pages: 38 Posted: 14 Nov 2018
David P. Blake
City University London - Cass Business School
Downloads 44 (409,541)

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longevity risk, longevity-linked assets, uncorrelated returns

49.

What Should Be Done About the Underfunding of Defined Benefit Pension Schemes? A Case Study of Ireland

Number of pages: 42 Posted: 04 Mar 2014
John Cotter, David P. Blake and Kevin Dowd
University College Dublin, City University London - Cass Business School and Nottingham University Business School (NUBS)
Downloads 41 (420,743)
Citation 1

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Defined Benefit Pension Schemes, Funding, Government Insurance Schemes

50.

Phantoms Never Die: Living with Unreliable Population Data

Downloads 40 (424,591)
Citation 3

Phantoms Never Die: Living with Unreliable Population Data

Journal of the Royal Statistical Society, 2016
Number of pages: 31 Posted: 22 Mar 2016
Andrew J. G. Cairns, David P. Blake, Kevin Dowd and Amy R. Kessler
Heriot-Watt University - Department of Actuarial Science & Statistics, City University London - Cass Business School, Nottingham University Business School (NUBS) and Prudential Retirement
Downloads 22 (527,449)

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Baby boom; Cohort–births–deaths exposures methodology; Convexity adjustment ratio; Deaths; Graphical diagnostics; Population data

Phantoms Never Die: Living with Unreliable Population Data

Number of pages: 40 Posted: 21 Oct 2015
Andrew J. G. Cairns, David P. Blake, Kevin Dowd and Amy R. Kessler
Heriot-Watt University - Department of Actuarial Science & Statistics, City University London - Cass Business School, City University London - Sir John Cass Business School and Prudential Retirement
Downloads 18 (553,281)
Citation 3

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Baby boom, cohort-births-deaths exposures methodology, convexity adjustment ratio, deaths, graphical diagnostics, population data

51.

NDC v. FDC: Pros, Cons and Replication

Number of pages: 12 Posted: 07 Dec 2011
David P. Blake
City University London - Cass Business School
Downloads 39 (428,656)

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non-financial defined contribution, financial defined contribution

52.

Mental Time Travel and the Valuation of Financial Investments

Pensions Institute Discussion Paper PI-1403
Number of pages: 20 Posted: 25 Oct 2017
David P. Blake and John Pickles
City University London - Cass Business School and City, University of London
Downloads 34 (449,352)

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mental time travel; time discounting; expectations; perceptions; time preference; risk preference; closed-end fund puzzle; market valuation; personal valuation

53.

Longevity Bonds: Financial Engineering, Valuation, and Hedging

Journal of Risk & Insurance, Vol. 73, No. 4, pp. 647-672, December 2006
Number of pages: 26 Posted: 29 Nov 2006
David P. Blake, Kevin Dowd, Andrew J. G. Cairns and Richard D. MacMinn
City University London - Cass Business School, Nottingham University Business School (NUBS), Heriot-Watt University - Department of Actuarial Science & Statistics and National Chengchi University
Downloads 34 (449,352)
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54.

Delivering DC? Barriers to Participation in the Company-Sponsored Pensions Market

Number of pages: 69 Posted: 18 Feb 2009
Debbie Harrison, Alistair Byrne and David P. Blake
City University London - Sir John Cass Business School, University of Edinburgh - Business School and City University London - Cass Business School
Downloads 33 (453,767)
Citation 1

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55.

A Two-Factor Model for Stochastic Mortality With Parameter Uncertainty: Theory and Calibration

Journal of Risk & Insurance, Vol. 73, No. 4, pp. 687-718, December 2006
Number of pages: 32 Posted: 29 Nov 2006
Andrew J. G. Cairns, David P. Blake and Kevin Dowd
Heriot-Watt University - Department of Actuarial Science & Statistics, City University London - Cass Business School and Nottingham University Business School (NUBS)
Downloads 31 (462,872)
Citation 6
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56.

Survivor Swaps

Journal of Risk and Insurance, Vol. 73, No. 1, pp. 1-17, March 2006
Number of pages: 17 Posted: 08 May 2006
Kevin Dowd, David P. Blake, Andrew J. G. Cairns and Paul Dawson
Nottingham University Business School (NUBS), City University London - Cass Business School, Heriot-Watt University - Department of Actuarial Science & Statistics and Kent State University
Downloads 26 (488,087)
Citation 2
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57.

Independent Review of Retirement Income: Consultation

Independent Review of Retirement Income, 2016
Number of pages: 105 Posted: 24 Mar 2016
David P. Blake
City University London - Cass Business School
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58.

Pyrrhic Victory? The Unintended Consequence of the Pensions Act 2004

Economic Affairs, Vol. 26, No. 2, pp. 9-16, June 2006
Number of pages: 8 Posted: 30 May 2006
Alistair Byrne, Debbie Harrison, David P. Blake and Bill Rhodes
University of Edinburgh - Business School, City University London - Sir John Cass Business School, City University London - Cass Business School and Pendragon PLC
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59.

On the Sustainability of the UK State Pension System in the Light of Population Ageing and Declining Fertility

Economic Journal, Vol. 116, No. 512, pp. F286-F305, June 2006
Number of pages: 20 Posted: 02 Jun 2006
David P. Blake and Leslie D. Mayhew
City University London - Cass Business School and City University London - Sir John Cass Business School
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60.

Improved Inference in the Evaluation of Mutual Fund Performance Using Panel Bootstrap Methods

Pensions Institute, Discussion Paper PI-1405
Number of pages: 28 Posted: 22 Mar 2016
David P. Blake, Tristan Caulfield, Christos Ioannidis and Ian Tonks
City University London - Cass Business School, University College London, University of Bath-Department of Economics and University of Bristol
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mutual funds, unit trusts, open-ended investment companies, performance measurement, factor benchmark models, panel methods, bootstrap methods.

61.

International Asset Allocation with Time-Varying Investment Opportunities

CEPR Discussion Paper No. 3464
Number of pages: 39 Posted: 04 Sep 2002
Allan Timmermann and David P. Blake
UCSD and City University London - Cass Business School
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International asset allocation, market timing, UK pension funds, investment performance

62.

Still Living With Mortality: The Longevity Risk Transfer Market After One Decade

Number of pages: 86 Posted: 14 Nov 2018
David P. Blake, Andrew J. G. Cairns, Kevin Dowd and Amy R. Kessler
City University London - Cass Business School, Heriot-Watt University - Department of Actuarial Science & Statistics, City University London - Sir John Cass Business School and Prudential Retirement
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Buy-Outs; Buy-Ins; Longevity Insurance; Longevity Bonds; Longevity Swaps; q-Forwards; Tail-Risk Protection; Basis Risk; Credit Risk; Regulatory Capital; Collateral; Liquidity; Stochastic Mortality Models; Longevity Risk Premium; Longevity-Linked Securities; Reinsurance Sidecars

63.

After VAR: The Theory, Estimation, and Insurance Applications of Quantile-Based Risk Measures

Journal of Risk & Insurance, Vol. 73, No. 2, pp. 193-229, June 2006
Number of pages: 37 Posted: 30 May 2006
Kevin Dowd and David P. Blake
Nottingham University Business School (NUBS) and City University London - Cass Business School
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64.

How Bright are the Prospects for UK Trade and Prosperity Post-Brexit?

Number of pages: 55 Posted: 31 May 2018
David P. Blake
City University London - Cass Business School
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international trade, Brexit, protectionism, tariffs, Customs Union, Single Market

65.

A General Procedure for Constructing Mortality Models

Pensions Institute, Discussion Paper PI-1301
Number of pages: 53 Posted: 22 Mar 2016
Andrew Hunt and David P. Blake
City University London - Sir John Cass Business School and City University London - Cass Business School
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Mortality modelling, age/period/cohort models, age period effects, cohort effects

66.

Decentralized Investment Management: Evidence from the Pension Fund Industry

CEPR Discussion Paper No. DP7679
Number of pages: 57 Posted: 10 Feb 2010
David P. Blake, Allan Timmermann, Ian Tonks and Russ Wermers
City University London - Cass Business School, UCSD, University of Bristol and University of Maryland - Robert H. Smith School of Business
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asset management, decentralized management, pension funds, principal agent problems

67.

Modelling Socio-Economic Differences in Mortality Using a New Affluence Index

Number of pages: 41 Posted: 22 May 2019
Andrew J. G. Cairns, Malene Kallestrup Lamb, Carsten Rosenskjold, David P. Blake and Kevin Dowd
Heriot-Watt University - Department of Actuarial Science & Statistics, Aarhus University - CREATES, Aarhus University, City University London - Cass Business School and City University London - Sir John Cass Business School
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Affluence index, Danish mortality data, CBD-X model, gravity model

68.

What is a Promise from the Government Worth? Quantifying Political Risk in State and Personal Pension Schemes in the United Kingdom

Economica, Vol. 75, Issue 298, pp. 342-361, May 2008
Number of pages: 20 Posted: 07 Apr 2008
David P. Blake
City University London - Cass Business School
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69.

Survivor Derivatives: A Consistent Pricing Framework

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Citation 16

Survivor Derivatives: A Consistent Pricing Framework

Journal of Risk and Insurance, Vol. 77, Issue 3, pp. 579-596, September 2010
Number of pages: 18 Posted: 04 Aug 2010
Paul Dawson, Kevin Dowd, Andrew J. G. Cairns and David P. Blake
Kent State University, City University London - Sir John Cass Business School, Heriot-Watt University - Department of Actuarial Science & Statistics and City University London - Cass Business School
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Survivor Derivatives: A Consistent Pricing Framework

Journal of Risk and Insurance, Vol. 77, Issue 3, pp. 579-596, 2010
Number of pages: 18 Posted: 08 Mar 2018
Paul Dawson, Kevin Dowd, Andrew J. G. Cairns and David P. Blake
Kent State University, City University London - Sir John Cass Business School, Heriot-Watt University - Department of Actuarial Science & Statistics and City University London - Cass Business School
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70.

Managing Financially Distressed Pension Plans in the Interest of Beneficiaries

Journal of Risk and Insurance, Vol. 84, Issue 2, pp. 539-565, 2017
Number of pages: 27 Posted: 15 May 2017
Joachim Inkmann, David P. Blake and Zhen Shi
University of Melbourne - Department of Finance, City University London - Cass Business School and University of Melbourne
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71.

The New Life Market

Journal of Risk and Insurance, Vol. 80, Issue 3, pp. 501-558, 2013
Number of pages: 58 Posted: 30 Aug 2013
David P. Blake, Andrew J. G. Cairns, Guy Coughlan, Kevin Dowd and Richard D. MacMinn
City University London - Cass Business School, Heriot-Watt University - Department of Actuarial Science & Statistics, Pacific Global Advisors, City University London - Sir John Cass Business School and National Chengchi University
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72.

Good Practice Principles in Modelling Defined Contribution Pension Plans

Posted: 22 Mar 2016
David P. Blake and Kevin Dowd
City University London - Cass Business School and Nottingham University Business School (NUBS)

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73.

Spend More Today Safely: Using Behavioral Economics to Improve Retirement Expenditure Decisions with SPEEDOMETER Plans

Risk Management and Insurance Review, Vol. 17, Issue 1, pp. 83-112, 2014
Number of pages: 30 Posted: 04 Mar 2014
David P. Blake and Tom Boardman
City University London - Cass Business School and City University London - Sir John Cass Business School
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74.

A Gravity Model of Mortality Rates for Two Related Populations

North American Actuarial Journal, Vol. 15, No. 2, 2011
Posted: 24 Jan 2012
Kevin Dowd, Andrew J. G. Cairns, David P. Blake, Guy Coughlan and Marwa Khalaf-Allah
City University London - Sir John Cass Business School, Heriot-Watt University - Department of Actuarial Science & Statistics, City University London - Cass Business School, Pacific Global Advisors and J.P. Morgan

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75.

Perspectives: Designing a Defined-Contribution Plan - What to Learn from Aircraft Designers

Financial Analysts Journal, Vol. 65, No. 1, 2009
Posted: 31 Jan 2009
David P. Blake, Andrew J. G. Cairns and Kevin Dowd
City University London - Cass Business School, Heriot-Watt University - Department of Actuarial Science & Statistics and Nottingham University Business School (NUBS)

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Portfolio Management: Asset/Liability Management; Advocacy, Regulatory, and Legislative Issues: Advocacy Issues

76.

Default Funds in U.K. Defined-Contribution Plans

Financial Analysts Journal, Vol. 63, No. 4, pp. 40-51, July/August 2007
Posted: 25 Jul 2007
Alistair Byrne, Kevin Dowd, David P. Blake and Andrew J. G. Cairns
University of Edinburgh - Business School, Nottingham University Business School (NUBS), City University London - Cass Business School and Heriot-Watt University - Department of Actuarial Science & Statistics

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Private Wealth Management, Asset Allocation, Portfolio Management, Other

77.

Asset Allocation Dynamics and Pension Fund Performance

The Journal of Business, Vol. 72, No. 4, October 1999, Cass Business School Research Paper
Posted: 11 Feb 2000
Allan Timmermann, Bruce N. Lehmann and David P. Blake
UCSD, University of California, San Diego and City University London - Cass Business School

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78.

The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis

UCSD Economics Discussion Paper 98-11, Cass Business School Research Paper
Posted: 20 Aug 1998
Asger Lunde, David P. Blake and Allan Timmermann
Aarhus University - School of Economics and Management, City University London - Cass Business School and UCSD

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