David P. Blake

City, University of London

Professor of Economics, Director of Pensions Institute

106 Bunhill Row

London, EC1Y 8TZX

Great Britain

http://www.pensions-institute.org/

  • City, University of London

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SCHOLARLY PAPERS

148

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15,163

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626

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550

Scholarly Papers (148)

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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 of London, Nottingham University Business School (NUBS), Pacific Global Advisors and J.P. Morgan Chase & Co.
Downloads 1,411 (17,804)
Citation 89

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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: 24 Jun 2020
Enrico Biffis and David P. Blake
Imperial College Business School and City, University of London
Downloads 1,137 (24,576)
Citation 24

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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 of London, University of Cambridge - Judge Business School and Bank of Italy
Downloads 595 (59,603)
Citation 5

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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 of London, Tilburg University - Department of Econometrics & OR, Netspar, and CentER, National Chengchi University and Tilburg University - Tilburg University School of Economics and Management
Downloads 497 (74,574)
Citation 8

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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 Last Revised: 24 Jun 2020
Wolfgang Bessler, David P. Blake, Peter Lueckoff and Ian Tonks
University of Hamburg, City, University of London, Justus-Liebig-University Giessen and University of Bristol
Downloads 487 (76,465)
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 of London and Heriot-Watt University - Department of Actuarial Science & Statistics
Downloads 426 (89,665)
Citation 3

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defined contribution, default funds, asset allocation, lifecycle investing

7.

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 of London
Downloads 407 (94,533)
Citation 9

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

8.

The Cost of Counterparty Risk and Collateralization in Longevity Swaps

Downloads 402 ( 95,835)
Citation 11

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 of London, Credit Suisse Securities and Imperial College London, Business School
Downloads 402 (95,009)
Citation 14

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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 of London and Credit Suisse Securities
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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 of London, Nottingham University Business School (NUBS), Pacific Global Advisors, J.P. Morgan Chase & Co. and J.P. Morgan
Downloads 383 (101,353)
Citation 56

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

10.

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

Downloads 358 (109,336)
Citation 44

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 of London, University College London, University of Bath-Department of Economics and University of Bristol
Downloads 294 (134,709)
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 of London, University College London, University of Bath-Department of Economics and University of Bristol
Downloads 64 (446,034)
Citation 43

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

11.

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 of London and Nottingham University Business School (NUBS)
Downloads 340 (115,797)
Citation 15

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

12.

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

Downloads 308 (128,802)
Citation 6

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 of London
Downloads 299 (132,289)
Citation 7

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

Pensions Institute, 2008
Number of pages: 86 Posted: 19 Jun 2020
David P. Blake, Zaki Khorasanee, John Pickles and David Tyrrall
City, University of London, affiliation not provided to SSRN, City, University of London and City University London - Sir John Cass Business School
Downloads 9 (773,395)

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13.

Target2: The Silent Bailout System that Keeps the Euro Afloat

Number of pages: 66 Posted: 31 May 2018
David P. Blake
City, University of London
Downloads 301 (132,077)
Citation 1

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

14.

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 of London and City University London - Sir John Cass Business School
Downloads 289 (137,851)
Citation 14

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15.

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

Downloads 286 (139,275)
Citation 6

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 of London
Downloads 272 (146,007)
Citation 7

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pensions, defined contribution, lifecycle funds, governance

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

Pensions Institute, 2007
Number of pages: 58 Posted: 19 Jun 2020
Alistair Byrne, Debbie Harrison and David P. Blake
University of Edinburgh - Business School, affiliation not provided to SSRN and City, University of London
Downloads 14 (730,131)

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16.

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 of London, Heriot-Watt University - Department of Actuarial Science & Statistics and Nottingham University Business School (NUBS)
Downloads 273 (146,150)
Citation 7

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17.

The Impact of COVID-19 on Future Higher-Age Mortality

Number of pages: 34 Posted: 12 Jun 2020 Last Revised: 14 Feb 2021
Andrew J. G. Cairns, David P. Blake, Amy Kessler and Marsha Kessler
Heriot-Watt University - Department of Actuarial Science & Statistics, City, University of London, Prudential Financial and M Kessler Group
Downloads 260 (153,495)
Citation 6

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COVID-19, all-cause mortality, frailty, co-morbidities, mortality deprivation, accelerated deaths model

18.

Sharing Longevity Risk: Why Governments Should Issue Longevity Bonds

Downloads 260 (153,495)
Citation 13

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 of London, affiliation not provided to SSRN and Heriot-Watt University - Department of Actuarial Science & Statistics
Downloads 237 (167,578)
Citation 17

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Longevity risk, longevity bonds, public policy, political economy

Sharing Longevity Risk: Why Governments Should Issue Longevity Bonds

Number of pages: 47 Posted: 22 Jun 2020
David P. Blake, Tom Boardman and Andrew J. G. Cairns
City, University of London, City University London - Sir John Cass Business School and Heriot-Watt University - Department of Actuarial Science & Statistics
Downloads 23 (657,901)
Citation 2

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Longevity risk, longevity bonds, public policy, political econom

19.

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 of London
Downloads 253 (157,849)
Citation 4

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20.

Longevity Risk and Capital Markets: The 2013-14 Update

Downloads 250 (159,695)
Citation 10

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 of London and National Chengchi University
Downloads 152 (250,442)
Citation 8

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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 of London and National Chengchi University
Downloads 98 (346,658)
Citation 4

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21.

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 G. Rossi, David P. Blake, Allan Timmermann, Ian Tonks and Russ Wermers
Georgetown University, City, University of London, UCSD, University of Bristol and University of Maryland - Robert H. Smith School of Business
Downloads 239 (166,729)
Citation 17

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Networks, Investment Management, Performance

22.

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 of London and Heriot-Watt University - Department of Actuarial Science & Statistics
Downloads 235 (169,440)

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retirement saving, defined contribution, stochastic simulation

23.

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 of London
Downloads 234 (170,125)
Citation 1

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24.

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 of London and Heriot-Watt University - Department of Actuarial Science & Statistics
Downloads 220 (180,483)

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

25.

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 of London, Pacific Global Advisors, J.P. Morgan Chase & Co. and J.P. Morgan
Downloads 209 (189,352)
Citation 31

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backtesting, forecasting performance, mortality models

26.

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

Number of pages: 32 Posted: 22 Jun 2007 Last Revised: 24 Jun 2020
John Cotter, David P. Blake and Kevin Dowd
University College Dublin, City, University of London and Nottingham University Business School (NUBS)
Downloads 199 (198,075)
Citation 3

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27.

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 of London and PensionDCisions
Downloads 193 (203,636)
Citation 1

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Pensions, Defined Contribution, Contribution Rates, Investment Choice

28.

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

Downloads 188 (208,470)
Citation 11

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 of London, City University London - Sir John Cass Business School and Solutions Group, Legal & General Investment Management
Downloads 133 (278,663)
Citation 4

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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 of London, City University London - Sir John Cass Business School and Solutions Group, Legal & General Investment Management
Downloads 55 (480,721)
Citation 8

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

29.

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 of London
Downloads 173 (224,011)
Citation 1

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30.

Quantifying Loss Aversion: Evidence from a UK Population Survey

Journal of Risk and Uncertainty; https://doi.org/10.1007/s11166-021-09356-7
Number of pages: 82 Posted: 16 Mar 2020 Last Revised: 18 Jan 2022
David P. Blake, E. S. Cannon and Douglas Wright
City, University of London, University of Bristol - Department of Economics and City University London - Sir John Cass Business School
Downloads 170 (227,387)

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Loss aversion, Gender effects, Expected utility, Risk attitudes, Survey data

31.

Informed Intermediation of Longevity Exposures

Downloads 158 (241,858)
Citation 4

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 of London
Downloads 158 (242,322)
Citation 4

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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 of London
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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 of London and Imperial College Business School

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32.

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 of London and Heriot-Watt University - Department of Actuarial Science & Statistics
Downloads 145 (259,452)
Citation 2

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

33.

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

Downloads 141 (265,317)
Citation 12

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 of London, City University London - Sir John Cass Business School and Solutions Group, Legal & General Investment Management
Downloads 93 (358,594)
Citation 1

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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 of London, City University London - Sir John Cass Business School and Solutions Group, Legal & General Investment Management
Downloads 48 (511,134)
Citation 11

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

34.

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 of London and affiliation not provided to SSRN
Downloads 141 (265,317)
Citation 1

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Behavioural economics, Retirement, Annuities

35.

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 of London, Heriot-Watt University - Department of Actuarial Science & Statistics and Nottingham University Business School (NUBS)
Downloads 138 (269,851)
Citation 7

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36.

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 of London, Pacific Global Advisors, J.P. Morgan Chase & Co. and J.P. Morgan
Downloads 137 (271,398)
Citation 22

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goodness of fit, mortality models

37.

Brexit and the City

Number of pages: 189 Posted: 31 May 2018
David P. Blake
City, University of London
Downloads 132 (279,123)

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

38.

Longevity: A New Asset Class

Number of pages: 38 Posted: 14 Nov 2018
David P. Blake
City, University of London
Downloads 126 (289,088)
Citation 1

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longevity risk, longevity-linked assets, uncorrelated returns

39.

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 of London
Downloads 124 (292,577)
Citation 2

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

40.

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 of London, Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees, National Chengchi University and University of Claude Bernard Lyon 1 - Institute of Finance and Insurance Science (ISFA)
Downloads 122 (296,024)
Citation 6

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41.

Apocalyptic Demography? Putting Longevity Risk in Perspective

Downloads 119 (301,425)
Citation 3

Apocalyptic Demography? Putting Longevity Risk in Perspective

Number of pages: 55 Posted: 19 Feb 2009
David P. Blake
City, University of London
Downloads 107 (326,676)
Citation 4

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Apocalyptic Demography? Putting Longevity Risk in Perspective

The Pensions Regulator, December 2007
Number of pages: 55 Posted: 18 Jun 2020
David P. Blake and John Pickles
City, University of London and City, University of London
Downloads 12 (747,447)

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42.

Longevity Risks and Capital Markets: The 2010-2011 Update

Pension Institute Discussion Paper No. PI-1113
Number of pages: 14 Posted: 01 Dec 2011 Last Revised: 24 Jun 2020
David P. Blake, Christophe Courbage, Richard D. MacMinn and Michael Sherris
City, University of London, 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 100 (339,494)
Citation 1

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43.

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 of London
Downloads 99 (341,771)
Citation 2

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44.

Longevity Hedge Effectiveness: A Decomposition

Downloads 97 (346,301)
Citation 6

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 of London and Pacific Global Advisors
Downloads 87 (373,967)
Citation 3

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

Longevity Hedge Effectiveness: A Decomposition

Number of pages: 43 Posted: 22 Jun 2020
Andrew J. G. Cairns, David P. Blake, Kevin Dowd and Guy Coughlan
Heriot-Watt University - Department of Actuarial Science & Statistics, City, University of London, Durham Business School and Pacific Global Advisors
Downloads 10 (764,658)
Citation 4

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Hedge effectiveness; Correlation; Value hedging; Valuation model; Longevity risk; Population basis risk; Recalibration risk

45.

Longevity Risk and Capital Markets: The 2019-20 Update

Insurance: Mathematics and Economics
Number of pages: 111 Posted: 06 Apr 2021
David P. Blake and Andrew J. G. Cairns
City, University of London and Heriot-Watt University - Department of Actuarial Science & Statistics
Downloads 95 (350,910)
Citation 1

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Longevity risk, life market, capital markets

46.

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

Downloads 95 (350,910)

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

Number of pages: 93 Posted: 15 Apr 2020 Last Revised: 17 Apr 2020
David P. Blake
City, University of London
Downloads 58 (468,727)

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international trade, free trade agreements, protectionism, tariffs, non-tariff barriers, Brexit

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 of London
Downloads 37 (566,644)

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international trade, Brexit, protectionism, tariffs, Customs Union, Single Market

47.

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 of London, affiliation not provided to SSRN, Heriot-Watt University - Department of Actuarial Science & Statistics and Nottingham University Business School (NUBS)
Downloads 91 (360,578)
Citation 2

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48.

Nudges and Networks: How to Use Behavioral Economics to Improve the Life Cycle Savings-Consumption Balance

Pensions Institute, DISCUSSION PAPER PI-2009, June 2020
Number of pages: 14 Posted: 02 Jul 2020
David P. Blake
City, University of London
Downloads 87 (373,351)

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nudges, networks, bwhavioural finance, retirement spending

49.

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 of London
Downloads 81 (386,977)

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50.

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 of London and Heriot-Watt University - Department of Actuarial Science & Statistics
Downloads 80 (389,830)
Citation 13

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51.

Striking Similarities: The Origins of the European Economic Community

Downloads 77 (398,449)

Striking Similarities: The Origins of the European Economic Community

Number of pages: 18 Posted: 07 Jul 2020
David P. Blake
City, University of London
Downloads 62 (453,382)

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European Economic Community, European Economic Community

Striking Similarities: The Origins of the European Economic Community

Advances in Politics and Economics, Vol. 4, No. 1, 2021
Number of pages: 19 Posted: 16 Feb 2021 Last Revised: 13 Jan 2022
David P. Blake
City, University of London
Downloads 15 (721,543)

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Origins of the European Economic Community, University of Berlin 1942, European Union

52.

Ensuring a Genuine Level Playing Field with the EU Post-Brexit

Number of pages: 20 Posted: 16 Mar 2020
David P. Blake
City, University of London
Downloads 76 (401,365)
Citation 1

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UK-EU future relationship, level playing field, cherry picking

53.

Mental Time Travel and the Valuation of Financial Investments

Downloads 72 (413,544)

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 of London and City, University of London
Downloads 52 (493,244)

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

Mental Time Travel and the Valuation of Financial Investments

Journal of Behavioral Finance, 2021
Number of pages: 22 Posted: 12 Mar 2021
David P. Blake and John Pickles
City, University of London and City, University of London
Downloads 20 (681,136)

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

54.

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 of London
Downloads 67 (429,705)
Citation 10

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55.

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 of London
Downloads 65 (436,594)

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56.

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 of London and Nottingham University Business School (NUBS)
Downloads 62 (447,050)
Citation 1

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Defined Benefit Pension Schemes, Funding, Government Insurance Schemes

57.

The UK Is the Eurozone’s Dumping Ground

Downloads 58 (461,695)

The UK Is the Eurozone’s Dumping Ground

Number of pages: 23 Posted: 14 Apr 2020 Last Revised: 14 Feb 2021
David P. Blake
City, University of London
Downloads 51 (497,599)

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euro, purchasing power parity, dumping

The UK is the Eurozone’s Dumping Ground

Review of Economics and Finance, 2021, 19, 124-141 (open access)
Number of pages: 18 Posted: 10 Sep 2021
David P. Blake
City, University of London
Downloads 7 (791,060)

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Euro, Purchasing Power Parity, Dumping

58.

Phantoms Never Die: Living with Unreliable Population Data

Downloads 58 (461,695)
Citation 11

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 of London, Nottingham University Business School (NUBS) and Prudential Retirement
Downloads 32 (595,566)

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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 of London, City University London - Sir John Cass Business School and Prudential Retirement
Downloads 19 (689,099)
Citation 11

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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

J. R. Statist. Soc. A (2016), 179, Part 4, pp. 975–1005
Number of pages: 31 Posted: 23 Jun 2020
Andrew J. G. Cairns, David P. Blake, Kevin Dowd and Amy Kessler
Heriot-Watt University - Department of Actuarial Science & Statistics, City, University of London, Durham Business School and Prudential Financial
Downloads 7 (791,060)
Citation 1

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Baby Boom; Cohort–Births–Deaths Exposures Methodology; Convexity Adjustment Ratio; Deaths; Graphical Diagnostics; Population Data

59.

NDC v. FDC: Pros, Cons and Replication

Downloads 55 (473,036)

NDC v. FDC: Pros, Cons and Replication

Number of pages: 12 Posted: 07 Dec 2011
David P. Blake
City, University of London
Downloads 46 (520,533)

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non-financial defined contribution, financial defined contribution

NDC v FDC: Pros, Cons and Replication

Number of pages: 12 Posted: 22 Jun 2020
David P. Blake
City, University of London
Downloads 9 (773,395)

Abstract:

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60.

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

Downloads 49 (497,528)
Citation 10

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 of London, Heriot-Watt University - Department of Actuarial Science & Statistics, City University London - Sir John Cass Business School and Prudential Retirement
Downloads 26 (635,593)
Citation 10

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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

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

Number of pages: 86 Posted: 12 Mar 2021
David P. Blake, Andrew J. G. Cairns, Kevin Dowd and Amy Kessler
City, University of London, Heriot-Watt University - Department of Actuarial Science & Statistics, Durham Business School and Prudential Financial
Downloads 13 (738,751)

Abstract:

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Longevity Risk; 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 Sidec

Still Living with Mortality: The Longevity Risk Transfer Market after One Decade

Number of pages: 86 Posted: 16 Mar 2020
David P. Blake, Andrew J. G. Cairns, Kevin Dowd and Amy Kessler
City, University of London, Heriot-Watt University - Department of Actuarial Science & Statistics, Durham Business School and Prudential Financial
Downloads 10 (764,658)

Abstract:

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Longevity Risk; 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

61.

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 of London and Heriot-Watt University - Department of Actuarial Science & Statistics
Downloads 48 (501,881)

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mortality, fan charts, longevity risk, parameter risk

62.

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 of London, University College London, University of Bath-Department of Economics and University of Bristol
Downloads 42 (529,266)
Citation 2

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

63.

Decentralized Investment Management: Evidence from the Pension Fund Industry

Downloads 39 (543,878)
Citation 31

Decentralized Investment Management: Evidence from the Pension Fund Industry

Number of pages: 56 Posted: 22 Jun 2020
David P. Blake, Alberto G. Rossi, Allan Timmermann, Ian Tonks and Russ Wermers
City, University of London, Georgetown University, UCSD, University of Bristol and University of Maryland - Robert H. Smith School of Business
Downloads 24 (650,377)
Citation 4

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Decentralized Investment Management: Evidence from the Pension Fund Industry

Number of pages: 57 Posted: 10 Feb 2010
David P. Blake, Allan Timmermann, Ian Tonks and Russ Wermers
City, University of London, UCSD, University of Bristol and University of Maryland - Robert H. Smith School of Business
Downloads 15 (721,543)
Citation 3
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asset management, decentralized management, pension funds, principal agent problems

64.

Fund Flows, Manager Change and Performance Persistence

Number of pages: 65 Posted: 22 Jun 2020
Wolfgang Bessler, David P. Blake, Peter Lueckoff and Ian Tonks
University of Hamburg, City, University of London, Justus-Liebig-University Giessen and University of Bristol
Downloads 36 (559,279)

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Mutual funds, performance persistence, fund flows, manager changes

65.

Grouping Individual Investment Preferences in Retirement Savings: A Cluster Analysis of a USS Members Risk Attitude Survey

Pensions Institute Discussion Paper, PI-2003, February 2020
Number of pages: 48 Posted: 16 Mar 2020
David P. Blake, Mel Duffield, Ian Tonks, Alistair Haig, Dean Blower and Laura MacPhee
City, University of London, affiliation not provided to SSRN, University of Bristol, Franklin Templeton, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 36 (559,279)

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investment choices, cluster analysis, risk attitudes, risk capacity, defined contribution pension schemes

66.

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

Number of pages: 41 Posted: 22 May 2019 Last Revised: 01 Jun 2020
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 of London and City University London - Sir John Cass Business School
Downloads 36 (559,279)
Citation 1

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Affluence index, Danish mortality data, CBD-X model, gravity model

67.

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 of London
Downloads 36 (559,279)
Citation 3

Abstract:

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68.

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 of London, Nottingham University Business School (NUBS), Heriot-Watt University - Department of Actuarial Science & Statistics and National Chengchi University
Downloads 35 (564,616)
Citation 7
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69.

Longevity Risk and Capital Markets: The 2018-19 Update

Number of pages: 60 Posted: 07 Jul 2020
David P. Blake and Andrew J. G. Cairns
City, University of London and Heriot-Watt University - Department of Actuarial Science & Statistics
Downloads 34 (569,971)

Abstract:

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70.

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 of London
Downloads 32 (580,847)
Citation 10

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Mortality modelling, age/period/cohort models, age period effects, cohort effects

71.

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 of London and Nottingham University Business School (NUBS)
Downloads 32 (580,847)
Citation 37
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72.

Modelling Longevity Bonds: Analysing the Swiss Re Kortis Bond

Pensions Institute, DISCUSSION PAPER PI-1504, 2015
Number of pages: 58 Posted: 23 Jun 2020
Andrew Hunt and David P. Blake
City University London - Sir John Cass Business School and City, University of London
Downloads 29 (598,575)
Citation 5

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Mortality Modelling, Age/Period/Cohort Models, General Procedure, Co-integration, Cohort Effects, Kortis Bond

73.

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

Number of pages: 34 Posted: 22 Jun 2020
David P. Blake and Tom Boardman
City, University of London and City University London - Sir John Cass Business School
Downloads 29 (598,575)

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74.

Independent Review of Retirement Income: Consultation

Independent Review of Retirement Income, 2016
Number of pages: 105 Posted: 24 Mar 2016 Last Revised: 24 Jun 2020
E. S. Cannon and David P. Blake
University of Bristol - Department of Economics and City, University of London
Downloads 29 (598,575)
Citation 5

Abstract:

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75.

On the Structure and Classification of Mortality Models

Pensions Institute Discussion Paper, PI-1506, August 2015
Number of pages: 43 Posted: 16 Mar 2020
Andrew Hunt and David P. Blake
City University London - Sir John Cass Business School and City, University of London
Downloads 28 (604,792)
Citation 8

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mortality modelling, age/period/cohort models, age period effects, cohort effects

76.

The Valuation of No-Negative Equity Guarantees and Equity Release Mortgages

Pensions Institute Discussion Paper, PI-1911, September 2019
Number of pages: 11 Posted: 16 Mar 2020
Kevin Dowd, David P. Blake, Dean Buckner and John Fry
Durham Business School, City, University of London, affiliation not provided to SSRN and Manchester Metropolitan University
Downloads 28 (604,792)
Citation 1

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Actuarial Science, Black ’76 model, CBD mortality models, Equity Release, No Negative Equity Guarantee, Prudential Regulation

77.

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 of London, Heriot-Watt University - Department of Actuarial Science & Statistics and Kent State University
Downloads 27 (611,104)
Citation 9
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78.

Turning Pension Plans Into Pension Planes: What Investment Strategy Designers of Defined Contribution Pension Plans Can Learn From Commercial Aircraft Designers

Downloads 26 (617,656)

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

Number of pages: 86 Posted: 19 Jun 2020
David P. Blake, Andrew J. G. Cairns and Kevin Dowd
City, University of London, Heriot-Watt University - Department of Actuarial Science & Statistics and Durham Business School
Downloads 6 (799,622)

Abstract:

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79.

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 of London and Pendragon PLC
Downloads 25 (624,312)
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80.

UK Pension Fund Management: How is Asset Allocation Influenced by the Valuation of Liabilities?

Number of pages: 49 Posted: 19 Jun 2020
David P. Blake
City, University of London
Downloads 24 (631,240)

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81.

Managing Euro Risk

Number of pages: 140 Posted: 29 Jun 2020
Barney Reynolds, David P. Blake and Bob Lyddon
affiliation not provided to SSRN, City, University of London and affiliation not provided to SSRN
Downloads 23 (638,104)

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82.

CBDX: A Workhorse Mortality Model from the Cairns-Blake-Dowd Family

Pensions Institute Discussion Paper, PI-2002, January 2020
Number of pages: 21 Posted: 16 Mar 2020
Kevin Dowd, Andrew Cairns and David P. Blake
City University London - Sir John Cass Business School, affiliation not provided to SSRN and City, University of London
Downloads 23 (638,104)
Citation 2

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mortality rates, Cairns-Blake-Dowd mortality model, CBDX mortality model

83.

International Asset Allocation with Time-Varying Investment Opportunities

Number of pages: 39 Posted: 04 Sep 2002
Allan Timmermann and David P. Blake
UCSD and City, University of London
Downloads 21 (652,248)
Citation 4
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International asset allocation, market timing, UK pension funds, investment performance

84.

The Real Lessons of the Global Banking Crisis

Number of pages: 10 Posted: 23 Jun 2020
David P. Blake
City, University of London
Downloads 20 (659,390)

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Global Banking Crisis

85.

Pension Plan Decisions

Number of pages: 33 Posted: 22 Jun 2020
Alistair Byrne, David P. Blake and Graham Mannion
University of Edinburgh - Business School, City, University of London and PensionDCisions
Downloads 19 (666,618)

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Pensions; Defined Contribution; Contribution Rates; Investment Choice; Behavioural Biases

86.

Longevity Hedging 101: A Framework for Longevity Basis Risk Analysis and Hedge Effectiveness

North American Actuarial Journal, Volume 15, Number 2, 2011
Number of pages: 38 Posted: 10 Jul 2020
Guy Coughlan, Marwa Khalaf-Allah, Yijing Ye, Sumit Kumar, Andrew J. G. Cairns, David P. Blake and Kevin Dowd
Pacific Global Advisors, J.P. Morgan, affiliation not provided to SSRN, Indian Institute of Management (IIM), Kozhikode, Heriot-Watt University - Department of Actuarial Science & Statistics, City, University of London and City University London - Sir John Cass Business School
Downloads 18 (673,877)
Citation 9

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Longevity hedging, longevity index, longevity basis risk, stochastic mortality, two populations, hedge effectiveness

87.

A Simple Approach to Project Extreme Old Age Mortality Rates and Value Mortality-Related Financial Instruments

Pensions Institute Discussion Paper, PI-1907, December 2019
Number of pages: 7 Posted: 16 Mar 2020
Kevin Dowd, Andrew J. G. Cairns and David P. Blake
Durham Business School, Heriot-Watt University - Department of Actuarial Science & Statistics and City, University of London
Downloads 18 (673,877)

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Age-Period-Cohort mortality model, age effect, projection, extreme old age, term annuity

88.

Identifiability in Age/Period/Cohort Mortality Models

Pensions Institute Discussion Paper, PI-1509, September 2015
Number of pages: 65 Posted: 16 Mar 2020
Andrew Hunt and David P. Blake
City University London - Sir John Cass Business School and City, University of London
Downloads 18 (673,877)
Citation 8

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mortality modelling, age/period/cohort models, identification issues, projection

89.

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 of London
Downloads 17 (681,224)
Citation 1
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90.

The Simple Economics of Funded and Unfunded Pension Systems

Number of pages: 10 Posted: 10 Jul 2020
David P. Blake and J. Michael Orszag
City, University of London and affiliation not provided to SSRN
Downloads 16 (688,697)
Citation 2

Abstract:

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91.

Improving Security and Flexibility in Retirement

Number of pages: 101 Posted: 18 Jun 2020
David P. Blake and Robert Hudson
City, University of London and Hull University Business School (HUBS)
Downloads 16 (688,697)
Citation 1

Abstract:

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92.

Longevity Risk and Hedging Solutions

In Georges Dionne (Ed.), Handbook of Insurance, second edition, Springer, New York, 2013
Number of pages: 48 Posted: 26 Nov 2020
Guy Coughlan, David P. Blake, Richard D. MacMinn, Andrew J. G. Cairns and Kevin Dowd
Pacific Global Advisors, City, University of London, National Chengchi University, Heriot-Watt University - Department of Actuarial Science & Statistics and Durham Business School
Downloads 15 (696,201)
Citation 1

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93.

Good Practice Principles in Modelling Defined Contribution Pension Plans

Downloads 15 (696,201)

Good Practice Principles in Modelling Defined Contribution Pension Plans

Number of pages: 25 Posted: 22 Jun 2020
Kevin Dowd and David P. Blake
Durham Business School and City, University of London
Downloads 15 (721,543)

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Good Practice Principles in Modelling Defined Contribution Pension Plans

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

Abstract:

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94.

On the Disclosure of the Costs of Investment Management

Number of pages: 13 Posted: 23 Jun 2020
David P. Blake
City, University of London
Downloads 13 (711,976)

Abstract:

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95.

Chapter 4: ‘Helping Savers to Manage Longevity Risk’

“We Need a National Narrative: Building a Consensus around Retirement Income”, Report of the Independent Review of Retirement Income , 2016
Number of pages: 33 Posted: 10 Jul 2020
David P. Blake
City, University of London
Downloads 12 (719,944)

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96.

Portability and Preservation of Pension Rights in the United Kingdom

Number of pages: 121 Posted: 18 Jun 2020
David P. Blake and J. Michael Orszag
City, University of London and affiliation not provided to SSRN
Downloads 12 (719,944)
Citation 1

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97.

Chapter 1: 'Introduction'

“We Need a National Narrative: Building a Consensus around Retirement Income”, Report of the Independent Review of Retirement Income, 2016
Number of pages: 33 Posted: 10 Jul 2020
David P. Blake
City, University of London
Downloads 11 (727,830)

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98.

Chapter 2: ‘How to Ensure That Savers Can Get the Best Products in Retirement’

“We Need a National Narrative: Building a Consensus around Retirement Income”, Report of the Independent Review of Retirement Income, 2016
Number of pages: 139 Posted: 10 Jul 2020
David P. Blake
City, University of London
Downloads 11 (727,830)

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99.

Chapter 6: ‘The Role of Collective Pension Schemes and How These Could Be Introduced in the UK’

“We Need a National Narrative: Building a Consensus around Retirement Income”, Report of the Independent Review of Retirement Income, 2016
Number of pages: 49 Posted: 10 Jul 2020
David P. Blake
City, University of London
Downloads 11 (727,830)

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100.

The consequences of not having to buy an annuity

Number of pages: 15 Posted: 22 Jun 2020
David P. Blake
City, University of London
Downloads 11 (727,830)

Abstract:

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101.

Caveat Venditor: The brave new world of auto-enrolment should be governed by the principle of seller not buyer beware

Pensions Institute, 2012
Number of pages: 40 Posted: 18 Jun 2020
Debbie Harrison, David P. Blake and Kevin Dowd
affiliation not provided to SSRN, City, University of London and Durham Business School
Downloads 11 (727,830)

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102.

A Healthier Way to De-Risk: The Introduction of Medical Underwriting to the Defined Benefit De-Risking Market

Number of pages: 59 Posted: 18 Jun 2020
Debbie Harrison and David P. Blake
affiliation not provided to SSRN and City, University of London
Downloads 11 (727,830)
Citation 2

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103.

On the Projection of Mortality Rates to Extreme Old Age

Pensions Institute Discussion Paper, PI-1909, December 2019
Number of pages: 10 Posted: 16 Mar 2020
Kevin Dowd and David P. Blake
Durham Business School and City, University of London
Downloads 11 (727,830)
Citation 1

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mortality rates, Cairns-Blake-Dowd mortality model, CBDX mortality model, Lee-Carter mortality model, projection, extreme old age

104.

Financial System Requirements for Successful Pension Reform

Number of pages: 42 Posted: 10 Jul 2020
David P. Blake
City, University of London
Downloads 10 (735,762)

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funded pension scheme, defined benefit, defined contribution, fund management, performance measurement, annuities

105.

Lost Pensions, Lost Pensioners: Is a National Registry of Pension Plans the Answer?

Number of pages: 27 Posted: 19 Jun 2020
David P. Blake and John A. Turner
City, University of London and Pension Policy Center
Downloads 10 (735,762)
Citation 1

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106.

Returning to the Core: Rediscovering a Role for Real Estate in Defined Contribution Pension Schemes

Pensions Institute, 2013
Number of pages: 104 Posted: 19 Jun 2020
Debbie Harrison, David P. Blake and Tony Key
affiliation not provided to SSRN, City, University of London and City University London - Faculty of Finance
Downloads 10 (735,762)

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107.

Forward Mortality Rates in Discrete Time II: Longevity Risk and Hedging Strategies

Pensions Institute Discussion Paper, PI-1602, January 2016
Number of pages: 48 Posted: 16 Mar 2020
Andrew Hunt and David P. Blake
City University London - Sir John Cass Business School and City, University of London
Downloads 10 (735,762)
Citation 5

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Mortality modelling, age/period/cohort models, forward mortality rates, longevity-linked securities, longevity hedging

108.

Chapter 3: ‘Supporting Savers to Make the Right Choice at Retirement for Them and Their Family and How to Build on the Lessons of Auto-Enrolment’

“We Need a National Narrative: Building a Consensus around Retirement Income”, Report of the Independent Review of Retirement Income, 2016
Number of pages: 239 Posted: 10 Jul 2020
David P. Blake
City, University of London
Downloads 9 (743,847)

Abstract:

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109.

International Investment Performance: Evidence from Institutional Investors’ Foreign Equity Holdings

Number of pages: 44 Posted: 10 Jul 2020
Allan Timmermann and David P. Blake
UCSD and City, University of London
Downloads 9 (743,847)
Citation 2

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110.

How Do Savers Think About and Respond to Risk? Evidence From a Population Survey and Lessons for the Investment Industry

Pensions Institute, 2014
Number of pages: 40 Posted: 19 Jun 2020
David P. Blake and Alistair Haig
City, University of London and Franklin Templeton
Downloads 9 (743,847)

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111.

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

Pensions Institute, 2004
Number of pages: 69 Posted: 18 Jun 2020
Debbie Harrison, Alistair Byrne and David P. Blake
affiliation not provided to SSRN, University of Edinburgh - Business School and City, University of London
Downloads 9 (743,847)

Abstract:

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112.

Annuities and Accessibility – How the Industry Can Empower Consumers to Make Rational Choices

Harrison, Byrne, and Blake 2006, Pensions Institute
Number of pages: 45 Posted: 18 Jun 2020
Debbie Harrison, Alistair Byrne and David P. Blake
affiliation not provided to SSRN, University of Edinburgh - Business School and City, University of London
Downloads 9 (743,847)

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114.

Chapter 5: ‘The Role of the National Employment Savings Trust in Helping Savers to Access Good Quality Retirement Products’

"We Need a National Narrative: Building a Consensus around Retirement Income", Report of the Independent Review of Retirement Income, 2016
Number of pages: 23 Posted: 10 Jul 2020
David P. Blake
City, University of London
Downloads 8 (751,964)

Abstract:

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115.

Bringing Black Box Thinking to the Pensions Industry

Pensions Institute, February 2018
Number of pages: 28 Posted: 18 Jun 2020
David P. Blake and Matthew Roy
City, University of London and affiliation not provided to SSRN
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116.

The Meaning of Life: An Uncertain Future for the Traditional Life Company Business Model in the UK’s Private Sector Pensions Market

Pensions Institute Report, 2015
Number of pages: 95 Posted: 18 Jun 2020
Debbie Harrison and David P. Blake
affiliation not provided to SSRN and City, University of London
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117.

Basis Risk and Pensions Schemes: A Relative Modelling Approach.

Number of pages: 65 Posted: 24 Jun 2020
Andrew Hunt and David P. Blake
City University London - Sir John Cass Business School and City, University of London
Downloads 7 (760,131)
Citation 1

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Mortality modelling, age/period/cohort models, relative models, longevity basis risk

118.

Ending Compulsory Annuitisation: Quantifying the Consequences

Pensions Institute, 2010
Number of pages: 61 Posted: 19 Jun 2020
David P. Blake, E. S. Cannon and Ian Tonks
City, University of London, University of Bristol - Department of Economics and University of Bristol
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119.

Forward Mortality Rates in Discrete Time I: Calibration and Securities Pricing

Pensions Institute Discussion Paper, PI-1511, September 2015
Number of pages: 57 Posted: 16 Mar 2020
Andrew Hunt and David P. Blake
City University London - Sir John Cass Business School and City, University of London
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Citation 3

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mortality modelling, age/period/cohort models, forward mortality rates, Esscher transform, longevity-linked securities

120.

Smart Defaults: Determining the Number of Default Funds in a Pension Scheme

Forthcoming, The British Accounting Review, https://doi.org/10.1016/j.bar.2021.101042
Number of pages: 18 Posted: 14 Jan 2022 Last Revised: 18 Jan 2022
David P. Blake, Mel Duffield, Ian Tonks, Alistair Haig, Dean Blower and Laura MacPhee
City, University of London, affiliation not provided to SSRN, University of Bristol, Franklin Templeton, affiliation not provided to SSRN and affiliation not provided to SSRN
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Defined contribution pension schemes, Investment choices, Default investment funds, Cluster analysis, Risk attitude, Risk capacity

121.

Keeping Some Skin in the Game: How to Start a Capital Market in Longevity Risk Transfers

Pensions Institute Discussion Paper PI-1207
Number of pages: 20 Posted: 23 Jun 2020
Enrico Biffis and David P. Blake
Imperial College Business School and City, University of London
Downloads 6 (768,083)
Citation 6

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122.

Ending Compulsory Annuitisation: What Are the Consequences?

Pensions Institute, 2010
Number of pages: 29 Posted: 19 Jun 2020
David P. Blake, E. S. Cannon and Ian Tonks
City, University of London, University of Bristol - Department of Economics and University of Bristol
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123.

An Evaluation of Investment Governance in London Local Government Pension Schemes: A Discussion Paper for Stakeholders to the London Funds

Cass Business School Discussion Paper, 2012
Number of pages: 42 Posted: 18 Jun 2020
Debbie Harrison and David P. Blake
affiliation not provided to SSRN and City, University of London
Downloads 6 (768,083)

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124.

Out of the GAR Frying Pan into the GIR Fire: An Independent Evaluation of the Current State of the With-Profits Fund of the Equitable Life Assurance Society

Number of pages: 26 Posted: 18 Jun 2020
David P. Blake
City, University of London
Downloads 6 (768,083)
Citation 1

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125.

Identifiability in Age/Period Mortality Models

Pensions Institute Discussion Paper, PI-1508, July 2015
Number of pages: 68 Posted: 16 Mar 2020
Andrew Hunt and David P. Blake
City University London - Sir John Cass Business School and City, University of London
Downloads 6 (768,083)
Citation 4

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mortality modelling, age/period models, identification, projection

126.

The Good, the Bad and the Healthy: The Medical Underwriting Revolution in the Defined Benefit De-Risking Market

Number of pages: 86 Posted: 10 Jul 2020
Andrew Hunt and David P. Blake
City University London - Sir John Cass Business School and City, University of London
Downloads 5 (776,072)
Citation 2

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127.

Chapter 7: 'Conclusion: Developing a National Narrative'

“We Need a National Narrative: Building a Consensus around Retirement Income”, Report of the Independent Review of Retirement Income, 2016
Number of pages: 58 Posted: 10 Jul 2020
David P. Blake
City, University of London
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128.

Pyrrhic Victory? The Unintended Consequences of the UK Pensions Act 2004

Pensions Institute, 2005
Number of pages: 55 Posted: 19 Jun 2020
Debbie Harrison, Alistair Byrne, Bill Rhodes and David P. Blake
affiliation not provided to SSRN, University of Edinburgh - Business School, affiliation not provided to SSRN and City, University of London
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129.

Greatest Good 2: Response to the Department for Work & Pensions Green Paper 'Security and Sustainability in Defined Benefit Pension Schemes'

Number of pages: 64 Posted: 18 Jun 2020
David P. Blake and Matthew Roy
City, University of London and affiliation not provided to SSRN
Downloads 5 (776,072)

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130.

The Greatest Good for the Greatest Number: An Examination of Early Intervention Strategies for Trustees and Sponsoring Employers of Stressed Defined Benefit Schemes

Number of pages: 34 Posted: 18 Jun 2020
Debbie Harrison and David P. Blake
affiliation not provided to SSRN and City, University of London
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131.

Identifiability, Cointegration and the Gravity Model

Pensions Institute Discussion Paper, PI-1505, July 2017
Number of pages: 28 Posted: 16 Mar 2020
Andrew Hunt and David P. Blake
City University London - Sir John Cass Business School and City, University of London
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Citation 3

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mortality modelling, age/period/cohort models, multi-population modelling, coherent mortality projection

132.

A Bayesian Approach to Modelling and Projecting Cohort Effects

Pensions Institute Discussion Paper, PI-1510, September 2015
Number of pages: 43 Posted: 16 Mar 2020
Andrew Hunt and David P. Blake
City University London - Sir John Cass Business School and City, University of London
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Citation 5

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mortality modelling, age/period/cohort models, identification issues, projection, consistency, cohort parameters

133.

VfM: Assessing Value for Money in Defined Contribution Default Funds

Pensions Institute, 2014
Number of pages: 76 Posted: 19 Jun 2020
Debbie Harrison, David P. Blake and Kevin Dowd
affiliation not provided to SSRN, City, University of London and Durham Business School
Downloads 4 (783,955)

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134.

Supporting Materials for ‘The Greatest Good for the Greatest Number: An Examination of Early Intervention Strategies for Trustees and Sponsoring Employers of Stressed Defined Benefit Schemes’

Number of pages: 93 Posted: 18 Jun 2020
Debbie Harrison and David P. Blake
affiliation not provided to SSRN and City, University of London
Downloads 4 (783,955)

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135.

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 of London
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136.

Survivor Derivatives: A Consistent Pricing Framework

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Citation 22

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 of London
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Citation 4
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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 of London
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Citation 9
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137.

Mental Time Travel and Retirement Savings

J. Risk Financial Manag. 2021, 14, 581. https://doi.org/10.3390/jrfm14120581
Number of pages: 13 Posted: 14 Jan 2022 Last Revised: 18 Jan 2022
David P. Blake and John Pickles
City, University of London and City, University of London
Downloads 2 (801,777)

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retirement savings; lifecycle model; financial investment valuation; mental time travel; time perception; projecting; exponential growth bias; discounting; present bias; symmetric; asymmetric; valuation

138.

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 of London and University of Melbourne
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139.

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 of London, 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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Citation 10
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140.

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 of London and City University London - Sir John Cass Business School
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Citation 1
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141.

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 of London, Pacific Global Advisors and J.P. Morgan

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142.

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 of London, 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

143.

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 of London and Heriot-Watt University - Department of Actuarial Science & Statistics

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Private Wealth Management, Asset Allocation, Portfolio Management, Other

144.

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 of London

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145.

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, Asger Lunde, David P. Blake and Allan Timmermann
CREATESAarhus University - School of Business and Social Sciences, City, University of London and UCSD

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146.

Quantifying loss aversion: Evidence from a UK population survey

Journal of Risk and Uncertainty; https://doi.org/10.1007/s11166-021-09356-7
Number of pages: 82
David P. Blake, E. S. Cannon and Douglas Wright
City, University of London, University of Bristol - Department of Economics and City University London - Sir John Cass Business School
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Loss aversion · Gender effects · Expected utility · Risk attitudes · Survey data

147.

Making Astrology Look Respectable: On the Extraordinary Abuse of Economic Models in the EU Referendum Debate

Number of pages: 65
David P. Blake
City, University of London
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148.

Looking into Longevity: Q&A with Professor David Blake

Number of pages: 12
David P. Blake
City, University of London
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