David P. Blake

City University London - Cass Business School

Professor of Pension Economics, Director of Pensions Institute

London, EC2Y 8HB

Great Britain

SCHOLARLY PAPERS

94

DOWNLOADS
Rank 3,184

SSRN RANKINGS

Top 3,184

in Total Papers Downloads

12,168

SSRN CITATIONS
Rank 1,324

SSRN RANKINGS

Top 1,324

in Total Papers Citations

305

CROSSREF CITATIONS

498

Scholarly Papers (94)

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
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 1,336 (14,900)
Citation 73

Abstract:

Loading...

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 1,060 (21,057)
Citation 22

Abstract:

Loading...

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, University of Cambridge - Judge Business School and Bank of Italy
Downloads 535 (53,923)
Citation 2

Abstract:

Loading...

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
City University London - Cass Business School, Tilburg University - Department of Econometrics & OR, Netspar, and CentER, National Chengchi University and Tilburg University - Tilburg University School of Economics and Management
Downloads 487 (60,648)
Citation 6

Abstract:

Loading...

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
Justus-Liebig-University Giessen, City University London - Cass Business School, Justus-Liebig-University Giessen and University of Bristol
Downloads 434 (69,811)
Citation 9

Abstract:

Loading...

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
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 411 (74,614)
Citation 3

Abstract:

Loading...

defined contribution, default funds, asset allocation, lifecycle investing

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 390 (78,462)
Citation 11

Abstract:

Loading...

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
Downloads 0
  • Add to Cart

Abstract:

Loading...

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 (80,384)
Citation 4

Abstract:

Loading...

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
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 340 (92,770)
Citation 46

Abstract:

Loading...

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 325 (97,499)
Citation 11

Abstract:

Loading...

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 286 (112,124)
Citation 7

Abstract:

Loading...

12.

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 271 (118,573)
Citation 10

Abstract:

Loading...

13.

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 269 (119,516)
Citation 5

Abstract:

Loading...

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 256 (125,977)
Citation 3

Abstract:

Loading...

pensions, defined contribution, lifecycle funds, governance

15.

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 232 (138,968)
Citation 10

Abstract:

Loading...

Longevity risk, longevity bonds, public policy, political economy

16.

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 (138,968)

Abstract:

Loading...

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
Kent State University, Nottingham University Business School (NUBS), Heriot-Watt University - Department of Actuarial Science & Statistics and City University London - Cass Business School
Downloads 232 (138,968)
Citation 3

Abstract:

Loading...

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

Number of pages: 44 Posted: 21 Oct 2015
City University London - Cass Business School, University College London, University of Bath-Department of Economics and University of Bristol
Downloads 187 (170,040)
Citation 3

Abstract:

Loading...

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
City University London - Cass Business School, University College London, University of Bath-Department of Economics and University of Bristol
Downloads 42 (446,503)
Citation 36

Abstract:

Loading...

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

19.

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
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 211 (152,082)

Abstract:

Loading...

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

20.

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
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 208 (154,156)

Abstract:

Loading...

retirement saving, defined contribution, stochastic simulation

21.
Downloads 205 (156,312)
Citation 9

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 112 (258,893)
Citation 6

Abstract:

Loading...

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 93 (294,483)
Citation 3

Abstract:

Loading...

22.

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 198 (161,481)
Citation 1

Abstract:

Loading...

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

23.

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
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 197 (162,264)
Citation 25

Abstract:

Loading...

backtesting, forecasting performance, mortality models

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
Georgetown University, City University London - Cass Business School, UCSD, University of Bristol and University of Maryland - Robert H. Smith School of Business
Downloads 196 (162,990)
Citation 6

Abstract:

Loading...

Networks, Investment Management, Performance

25.

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 (166,870)
Citation 3

Abstract:

Loading...

26.

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 181 (175,248)
Citation 1

Abstract:

Loading...

Pensions, Defined Contribution, Contribution Rates, Investment Choice

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 128 (234,506)
Citation 3

Abstract:

Loading...

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 44 (438,212)
Citation 3

Abstract:

Loading...

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

28.

Completing the Survivor Derivatives Market: A General Pricing Framework

Pensions Institute Discussion Paper No. PI-0712
Number of pages: 34 Posted: 10 Feb 2009
Kent State University, Nottingham University Business School (NUBS), Heriot-Watt University - Department of Actuarial Science & Statistics and City University London - Cass Business School
Downloads 170 (185,108)
Citation 1

Abstract:

Loading...

29.
Downloads 146 (210,506)
Citation 1

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 146 (210,984)
Citation 1

Abstract:

Loading...

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
Downloads 0
  • Add to Cart

Abstract:

Loading...

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

Abstract:

Loading...

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 139 (218,949)
Citation 2

Abstract:

Loading...

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
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 132 (228,149)
Citation 17

Abstract:

Loading...

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 130 (230,811)
Citation 6

Abstract:

Loading...

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 89 (302,836)

Abstract:

Loading...

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 34 (482,965)
Citation 9

Abstract:

Loading...

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 London - Cass Business School and affiliation not provided to SSRN
Downloads 123 (240,686)
Citation 1

Abstract:

Loading...

Behavioural economics, Retirement, Annuities

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 119 (246,747)
Citation 2

Abstract:

Loading...

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 107 (266,085)
Citation 3

Abstract:

Loading...

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
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 98 (282,499)
Citation 1

Abstract:

Loading...

38.

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 88 (302,555)
Citation 1

Abstract:

Loading...

39.

Taking the Long View

Number of pages: 4 Posted: 06 May 2009 Last Revised: 10 Jul 2009
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 (302,555)
Citation 2

Abstract:

Loading...

40.

Longevity Hedge Effectiveness: A Decomposition

Pensions Institute Discussion Paper No. PI-1106
Number of pages: 36 Posted: 01 Dec 2011
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 86 (306,957)
Citation 3

Abstract:

Loading...

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

41.

Longevity Risk and Capital Markets: The 2015-16 Update

Pensions Institute, Working Paper No. 1704
Number of pages: 44 Posted: 26 Oct 2017
City University London - Cass Business School, 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 81 (318,332)
Citation 5

Abstract:

Loading...

42.

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 80 (320,657)
Citation 12

Abstract:

Loading...

43.

Brexit and the City

Number of pages: 189 Posted: 31 May 2018
David P. Blake
City University London - Cass Business School
Downloads 73 (338,013)

Abstract:

Loading...

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

44.

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 71 (343,206)

Abstract:

Loading...

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 62 (368,757)
Citation 4

Abstract:

Loading...

46.

Longevity: A New Asset Class

Number of pages: 38 Posted: 14 Nov 2018
David P. Blake
City University London - Cass Business School
Downloads 61 (371,766)

Abstract:

Loading...

longevity risk, longevity-linked assets, uncorrelated returns

47.

Pyrrhic Victory? The Unintended Consequences of the Pensions Act 2004

Number of pages: 55 Posted: 19 Feb 2009
City University London - Sir John Cass Business School, University of Edinburgh - Business School, Pendragon PLC and City University London - Cass Business School
Downloads 61 (371,766)
Citation 2

Abstract:

Loading...

48.

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 (418,463)

Abstract:

Loading...

mortality, fan charts, longevity risk, parameter risk

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 43 (433,708)
Citation 1

Abstract:

Loading...

Defined Benefit Pension Schemes, Funding, Government Insurance Schemes

Phantoms Never Die: Living with Unreliable Population Data

Journal of the Royal Statistical Society, 2016
Number of pages: 31 Posted: 22 Mar 2016
Heriot-Watt University - Department of Actuarial Science & Statistics, City University London - Cass Business School, Nottingham University Business School (NUBS) and Prudential Retirement
Downloads 24 (540,137)

Abstract:

Loading...

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
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 (580,587)
Citation 9

Abstract:

Loading...

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 42 (437,604)

Abstract:

Loading...

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 39 (450,052)

Abstract:

Loading...

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

53.

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 34 (471,577)
Citation 1

Abstract:

Loading...

54.

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
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 (471,577)
Citation 1
  • Add to Cart

Abstract:

Loading...

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 (485,796)
Citation 18
  • Add to Cart

Abstract:

Loading...

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

Number of pages: 86 Posted: 14 Nov 2018
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
Downloads 25 (533,667)
Citation 4

Abstract:

Loading...

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: 16 Mar 2020
City University London - Cass Business School, Heriot-Watt University - Department of Actuarial Science & Statistics, Durham Business School and Prudential Financial
Downloads 4 (683,045)

Abstract:

Loading...

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

57.

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
City University London - Cass Business School, University College London, University of Bath-Department of Economics and University of Bristol
Downloads 27 (506,694)
Citation 1

Abstract:

Loading...

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

58.

Survivor Swaps

Journal of Risk and Insurance, Vol. 73, No. 1, pp. 1-17, March 2006
Number of pages: 17 Posted: 08 May 2006
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 (512,289)
Citation 3
  • Add to Cart

Abstract:

Loading...

59.

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
Downloads 25 (517,920)
Citation 4

Abstract:

Loading...

60.

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
University of Edinburgh - Business School, City University London - Sir John Cass Business School, City University London - Cass Business School and Pendragon PLC
Downloads 25 (517,920)
  • Add to Cart

Abstract:

Loading...

61.

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
Downloads 24 (523,836)
  • Add to Cart

Abstract:

Loading...

62.

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
Downloads 21 (541,830)

Abstract:

Loading...

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

63.

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
Downloads 21 (541,830)
Citation 1
  • Add to Cart

Abstract:

Loading...

International asset allocation, market timing, UK pension funds, investment performance

64.

Quantifying Loss Aversion: Evidence from a UK Population Survey

Pensions Institute Discussion Paper, PI-1912, October 2019
Number of pages: 89 Posted: 16 Mar 2020
David P. Blake, E. S. Cannon and Douglas Wright
City University London - Cass Business School, University of Bristol - Department of Economics and City University London - Sir John Cass Business School
Downloads 19 (554,287)

Abstract:

Loading...

behavioural finance, loss aversion, expected utility, survey data

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
Downloads 19 (554,287)
Citation 6

Abstract:

Loading...

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

66.

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
Downloads 17 (566,607)
Citation 1
  • Add to Cart

Abstract:

Loading...

67.

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
Downloads 15 (579,137)
Citation 4
  • Add to Cart

Abstract:

Loading...

asset management, decentralized management, pension funds, principal agent problems

68.

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

Number of pages: 20 Posted: 16 Mar 2020
David P. Blake
City University London - Cass Business School
Downloads 10 (612,296)

Abstract:

Loading...

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

69.

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 London - Cass Business School
Downloads 8 (625,845)

Abstract:

Loading...

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

70.

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 London - Cass Business School, affiliation not provided to SSRN and Manchester Metropolitan University
Downloads 8 (625,845)

Abstract:

Loading...

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

71.

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

Number of pages: 41 Posted: 22 May 2019
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
Downloads 8 (625,845)
Citation 1

Abstract:

Loading...

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

72.

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
City University London - Cass Business School, affiliation not provided to SSRN, University of Bristol, University of Edinburgh Business School, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 7 (632,598)

Abstract:

Loading...

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

73.

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 London - Cass Business School
Downloads 6 (639,482)

Abstract:

Loading...

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

74.

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 London - Cass Business School
Downloads 5 (646,543)

Abstract:

Loading...

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

75.

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 London - Cass Business School
Downloads 4 (653,701)

Abstract:

Loading...

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

76.

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 London - Cass Business School
Downloads 4 (653,701)

Abstract:

Loading...

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

77.

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
Downloads 4 (653,701)
  • Add to Cart

Abstract:

Loading...

78.

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 London - Cass Business School
Downloads 3 (661,554)

Abstract:

Loading...

mortality modelling, age/period models, identification, projection

79.
Downloads 3 (661,554)
Citation 17

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
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
Downloads 3 (691,809)
Citation 4
  • Add to Cart

Abstract:

Loading...

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
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
Downloads 0
Citation 4
  • Add to Cart

Abstract:

Loading...

80.

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 London - Cass Business School
Downloads 2 (671,082)

Abstract:

Loading...

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

81.

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 London - Cass Business School
Downloads 2 (671,082)

Abstract:

Loading...

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

82.

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 London - Cass Business School
Downloads 2 (671,082)

Abstract:

Loading...

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

83.

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 London - Cass Business School
Downloads 2 (671,082)

Abstract:

Loading...

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

84.

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
Downloads 1 (683,098)
  • Add to Cart

Abstract:

Loading...

85.

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
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
Downloads 1 (683,098)
Citation 1
  • Add to Cart

Abstract:

Loading...

86.

How bright are the prospects for UK trade and prosperity post-Brexit?

Number of pages: 111
David P. Blake
City University London - Cass Business School
Downloads 1

Abstract:

Loading...

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

87.

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)

Abstract:

Loading...

88.

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
Downloads 0 (700,513)
  • Add to Cart

Abstract:

Loading...

89.

A Gravity Model of Mortality Rates for Two Related Populations

North American Actuarial Journal, Vol. 15, No. 2, 2011
Posted: 24 Jan 2012
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

Abstract:

Loading...

90.

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)

Abstract:

Loading...

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

91.

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
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

Abstract:

Loading...

Private Wealth Management, Asset Allocation, Portfolio Management, Other

92.

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

Abstract:

Loading...

93.

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

Abstract:

Loading...

94.

The UK is the Eurozone’s dumping ground

Number of pages: 23
David P. Blake
City University London - Cass Business School
Downloads 0

Abstract:

Loading...

euro, purchasing power parity, dumping