Andrew J. G. Cairns

Heriot-Watt University - Department of Actuarial Science & Statistics

Edinburgh, Scotland EH14 4AS

United Kingdom

  • Heriot-Watt University - Department of Actuarial Science & Statistics

SCHOLARLY PAPERS

33

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440

Scholarly Papers (33)

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1.

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

Number of pages: 77 Posted: 11 Feb 2009
Andrew J. G. Cairns, David P. Blake, Kevin Dowd, Guy Coughlan and David Epstein
Heriot-Watt University - Department of Actuarial Science & Statistics, City University London - Cass Business School, Nottingham University Business School (NUBS), Pacific Global Advisors and J.P. Morgan Chase & Co.
Downloads 1,303 (14,391)
Citation 31

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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.

Default Funds in UK Defined Contribution Pension Plans

Financial Analysts Journal, July/August 2007
Number of pages: 37 Posted: 10 Sep 2007
Alistair Byrne, Kevin Dowd, David P. Blake and Andrew J. G. Cairns
University of Edinburgh - Business School, Nottingham University Business School (NUBS), City University London - Cass Business School and Heriot-Watt University - Department of Actuarial Science & Statistics
Downloads 410 (70,237)
Citation 2

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defined contribution, default funds, asset allocation, lifecycle investing

3.

Mortality Density Forecasts: An Analysis of Six Stochastic Mortality Models

Pensions Institute Discussion Paper No. PI-0801
Number of pages: 70 Posted: 10 Feb 2009 Last Revised: 10 Jul 2009
Andrew J. G. Cairns, David P. Blake, Kevin Dowd, Guy Coughlan, David Epstein and Marwa Khalaf-Allah
Heriot-Watt University - Department of Actuarial Science & Statistics, City University London - Cass Business School, Nottingham University Business School (NUBS), Pacific Global Advisors, J.P. Morgan Chase & Co. and J.P. Morgan
Downloads 322 (92,743)
Citation 22

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

4.

Modelling and Management of Mortality Risk: A Review

Scandinavian Actuarial Journal, Vol. 2-3, pp. 79-113, 2008, Pensions Institute Discussion Paper No. PI-0814
Number of pages: 47 Posted: 10 Feb 2009 Last Revised: 16 Apr 2009
Andrew J. G. Cairns, David P. Blake and Kevin Dowd
Heriot-Watt University - Department of Actuarial Science & Statistics, City University London - Cass Business School and Nottingham University Business School (NUBS)
Downloads 319 (93,683)
Citation 9

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

5.

The Birth of the Life Market

Pensions Institute Discussion Paper No. PI-0807
Number of pages: 32 Posted: 28 Apr 2009
David P. Blake, Andrew J. G. Cairns and Kevin Dowd
City University London - Cass Business School, Heriot-Watt University - Department of Actuarial Science & Statistics and Nottingham University Business School (NUBS)
Downloads 268 (113,029)
Citation 1

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6.

Sharing Longevity Risk: Why Governments Should Issue Longevity Bonds

Pensions Institute Discussion Paper No. PI-1002
Number of pages: 27 Posted: 01 Dec 2011
David P. Blake, Tom Boardman and Andrew J. G. Cairns
City University London - Cass Business School, affiliation not provided to SSRN and Heriot-Watt University - Department of Actuarial Science & Statistics
Downloads 231 (131,541)
Citation 7

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Longevity risk, longevity bonds, public policy, political economy

7.

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

Pensions Institute Discussion Paper PI-0713
Number of pages: 29 Posted: 10 Feb 2009
Paul Dawson, Kevin Dowd, Andrew J. G. Cairns and David P. Blake
Kent State University, Nottingham University Business School (NUBS), Heriot-Watt University - Department of Actuarial Science & Statistics and City University London - Cass Business School
Downloads 230 (132,070)
Citation 2

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8.

Modeling and Management of Longevity Risk

Pension Research Council Working Paper, PRC WP2013-19
Number of pages: 34 Posted: 09 Oct 2013
Andrew J. G. Cairns
Heriot-Watt University - Department of Actuarial Science & Statistics
Downloads 229 (132,637)
Citation 3

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Longevity Risk, Stochastic Mortality Models, Robustness, Risk Management

9.

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

EFA 2005 Moscow Meetings Paper, Cass Business School Research Paper
Number of pages: 26 Posted: 28 Jan 2005
Alistair Byrne, Kevin Dowd, David P. Blake and Andrew J. G. Cairns
University of Edinburgh - Business School, Nottingham University Business School (NUBS), City University London - Cass Business School and Heriot-Watt University - Department of Actuarial Science & Statistics
Downloads 209 (144,815)

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

10.

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

Financial Services Review, Vol. 15, No. 3, 2006
Number of pages: 30 Posted: 10 Sep 2007
Alistair Byrne, Kevin Dowd, David P. Blake and Andrew J. G. Cairns
University of Edinburgh - Business School, Nottingham University Business School (NUBS), City University London - Cass Business School and Heriot-Watt University - Department of Actuarial Science & Statistics
Downloads 202 (149,509)

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retirement saving, defined contribution, stochastic simulation

11.

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

Number of pages: 43 Posted: 29 Apr 2009 Last Revised: 10 Jul 2009
Kevin Dowd, Andrew J. G. Cairns, David P. Blake, Guy Coughlan, David Epstein and Marwa Khalaf-Allah
Nottingham University Business School (NUBS), Heriot-Watt University - Department of Actuarial Science & Statistics, City University London - Cass Business School, Pacific Global Advisors, J.P. Morgan Chase & Co. and J.P. Morgan
Downloads 192 (156,780)
Citation 24

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backtesting, forecasting performance, mortality models

12.

Completing the Survivor Derivatives Market: A General Pricing Framework

Pensions Institute Discussion Paper No. PI-0712
Number of pages: 34 Posted: 10 Feb 2009
Paul Dawson, Kevin Dowd, Andrew J. G. Cairns and David P. Blake
Kent State University, Nottingham University Business School (NUBS), Heriot-Watt University - Department of Actuarial Science & Statistics and City University London - Cass Business School
Downloads 169 (175,743)
Citation 1

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13.

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

Pension Institute Discussion Paper No. PI-0823
Number of pages: 25 Posted: 10 Feb 2009
Kevin Dowd, David P. Blake and Andrew J. G. Cairns
Nottingham University Business School (NUBS), City University London - Cass Business School and Heriot-Watt University - Department of Actuarial Science & Statistics
Downloads 138 (207,945)
Citation 2

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

14.

Evaluating the Goodness of Fit of Stochastic Mortality Models

Number of pages: 53 Posted: 04 May 2009
Kevin Dowd, Andrew J. G. Cairns, David P. Blake, Guy Coughlan, David Epstein and Marwa Khalaf-Allah
Nottingham University Business School (NUBS), Heriot-Watt University - Department of Actuarial Science & Statistics, City University London - Cass Business School, Pacific Global Advisors, J.P. Morgan Chase & Co. and J.P. Morgan
Downloads 129 (219,441)
Citation 12

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goodness of fit, mortality models

15.

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 126 (223,400)
Citation 5

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16.

Taking the Long View

Number of pages: 4 Posted: 06 May 2009 Last Revised: 10 Jul 2009
David P. Blake, Tom Boardman, Andrew J. G. Cairns and Kevin Dowd
City University London - Cass Business School, affiliation not provided to SSRN, Heriot-Watt University - Department of Actuarial Science & Statistics and Nottingham University Business School (NUBS)
Downloads 88 (286,218)
Citation 2

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17.

Longevity Hedge Effectiveness: A Decomposition

Pensions Institute Discussion Paper No. PI-1106
Number of pages: 36 Posted: 01 Dec 2011
Andrew J. G. Cairns, Kevin Dowd, David P. Blake and Guy Coughlan
Heriot-Watt University - Department of Actuarial Science & Statistics, City University London - Sir John Cass Business School, City University London - Cass Business School and Pacific Global Advisors
Downloads 84 (294,661)
Citation 1

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

18.

Facing Up to Uncertain Life Expectancy: The Longevity Fan Charts

Number of pages: 36 Posted: 11 Feb 2009
Kevin Dowd, David P. Blake and Andrew J. G. Cairns
Nottingham University Business School (NUBS), City University London - Cass Business School and Heriot-Watt University - Department of Actuarial Science & Statistics
Downloads 76 (312,747)
Citation 8

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19.

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 (396,472)

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mortality, fan charts, longevity risk, parameter risk

20.

Phantoms Never Die: Living with Unreliable Population Data

Downloads 38 (430,236)
Citation 3

Phantoms Never Die: Living with Unreliable Population Data

Journal of the Royal Statistical Society, 2016
Number of pages: 31 Posted: 22 Mar 2016
Andrew J. G. Cairns, David P. Blake, Kevin Dowd and Amy R. Kessler
Heriot-Watt University - Department of Actuarial Science & Statistics, City University London - Cass Business School, Nottingham University Business School (NUBS) and Prudential Retirement
Downloads 20 (537,000)

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

Phantoms Never Die: Living with Unreliable Population Data

Number of pages: 40 Posted: 21 Oct 2015
Andrew J. G. Cairns, David P. Blake, Kevin Dowd and Amy R. Kessler
Heriot-Watt University - Department of Actuarial Science & Statistics, City University London - Cass Business School, City University London - Sir John Cass Business School and Prudential Retirement
Downloads 18 (549,910)
Citation 2

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

21.

Longevity Bonds: Financial Engineering, Valuation, and Hedging

Journal of Risk & Insurance, Vol. 73, No. 4, pp. 647-672, December 2006
Number of pages: 26 Posted: 29 Nov 2006
David P. Blake, Kevin Dowd, Andrew J. G. Cairns and Richard D. MacMinn
City University London - Cass Business School, Nottingham University Business School (NUBS), Heriot-Watt University - Department of Actuarial Science & Statistics and National Chengchi University
Downloads 34 (446,679)
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22.

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 (460,143)
Citation 6
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23.

A Family of Term-Structure Models for Long-Term Risk Management and Derivative Pricing

Mathematical Finance, Vol. 14, No. 3, pp. 415-444, July 2004
Number of pages: 30 Posted: 11 Jul 2004
Andrew J. G. Cairns
Heriot-Watt University - Department of Actuarial Science & Statistics
Downloads 28 (474,673)
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24.

Survivor Swaps

Journal of Risk and Insurance, Vol. 73, No. 1, pp. 1-17, March 2006
Number of pages: 17 Posted: 08 May 2006
Kevin Dowd, David P. Blake, Andrew J. G. Cairns and Paul Dawson
Nottingham University Business School (NUBS), City University London - Cass Business School, Heriot-Watt University - Department of Actuarial Science & Statistics and Kent State University
Downloads 26 (485,146)
Citation 2
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25.

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

Number of pages: 86 Posted: 14 Nov 2018
David P. Blake, Andrew J. G. Cairns, Kevin Dowd and Amy R. Kessler
City University London - Cass Business School, Heriot-Watt University - Department of Actuarial Science & Statistics, City University London - Sir John Cass Business School and Prudential Retirement
Downloads 20 (519,084)
Citation 2

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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

26.

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

Number of pages: 41 Posted: 22 May 2019
Andrew J. G. Cairns, Malene Kallestrup Lamb, Carsten Rosenskjold, David P. Blake and Kevin Dowd
Heriot-Watt University - Department of Actuarial Science & Statistics, Aarhus University - CREATES, Aarhus University, City University London - Cass Business School and City University London - Sir John Cass Business School
Downloads 8 (591,604)

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

27.

Survivor Derivatives: A Consistent Pricing Framework

Downloads 3 (626,208)
Citation 16

Survivor Derivatives: A Consistent Pricing Framework

Journal of Risk and Insurance, Vol. 77, Issue 3, pp. 579-596, September 2010
Number of pages: 18 Posted: 04 Aug 2010
Paul Dawson, Kevin Dowd, Andrew J. G. Cairns and David P. Blake
Kent State University, City University London - Sir John Cass Business School, Heriot-Watt University - Department of Actuarial Science & Statistics and City University London - Cass Business School
Downloads 3 (655,294)
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Survivor Derivatives: A Consistent Pricing Framework

Journal of Risk and Insurance, Vol. 77, Issue 3, pp. 579-596, 2010
Number of pages: 18 Posted: 08 Mar 2018
Paul Dawson, Kevin Dowd, Andrew J. G. Cairns and David P. Blake
Kent State University, City University London - Sir John Cass Business School, Heriot-Watt University - Department of Actuarial Science & Statistics and City University London - Cass Business School
Downloads 0
Citation 2
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28.

Getting Feedback on Defined Contribution Pension Plans

Journal of Risk and Insurance, Vol. 76, Issue 2, pp. 385-417, June 2009
Number of pages: 33 Posted: 05 May 2009
Bonnie-Jeanne MacDonald and Andrew J. G. Cairns
Heriot-Watt University and Heriot-Watt University - Department of Actuarial Science & Statistics
Downloads 2 (636,063)
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29.

The New Life Market

Journal of Risk and Insurance, Vol. 80, Issue 3, pp. 501-558, 2013
Number of pages: 58 Posted: 30 Aug 2013
David P. Blake, Andrew J. G. Cairns, Guy Coughlan, Kevin Dowd and Richard D. MacMinn
City University London - Cass Business School, Heriot-Watt University - Department of Actuarial Science & Statistics, Pacific Global Advisors, City University London - Sir John Cass Business School and National Chengchi University
Downloads 1 (648,637)
Citation 1
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30.

Robust Hedging of Longevity Risk

Journal of Risk and Insurance, Vol. 80, Issue 3, pp. 621-648, 2013
Number of pages: 28 Posted: 30 Aug 2013
Andrew J. G. Cairns
Heriot-Watt University - Department of Actuarial Science & Statistics
Downloads 0 (666,530)
Citation 1
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31.

A Gravity Model of Mortality Rates for Two Related Populations

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

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32.

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

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

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

33.

Default Funds in U.K. Defined-Contribution Plans

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

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Private Wealth Management, Asset Allocation, Portfolio Management, Other