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

34

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330

Scholarly Papers (34)

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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 1,748 (21,427)
Citation 98

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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 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 502 (119,736)
Citation 56

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

3.

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, Prismic Life and Commonwealth Care Alliance Inc
Downloads 484 (125,093)

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

4.

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 472 (128,853)
Citation 3

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defined contribution, default funds, asset allocation, lifecycle investing

5.

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 412 (151,359)
Citation 15

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

6.

Sharing Longevity Risk: Why Governments Should Issue Longevity Bonds

Downloads 363 (174,318)
Citation 19

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 278 (230,292)
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 - The Business School and Heriot-Watt University - Department of Actuarial Science & Statistics
Downloads 85 (631,330)
Citation 2

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Longevity risk, longevity bonds, public policy, political econom

7.

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 323 (197,888)

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retirement saving, defined contribution, stochastic simulation

8.

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 313 (204,682)
Citation 7

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9.

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 301 (213,473)
Citation 4

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10.

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 264 (244,470)

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pension schemes, defined contribution, default funds, strategic asset allocation, lifestyle profile, 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 of London, Pacific Global Advisors, J.P. Morgan Chase & Co. and J.P. Morgan
Downloads 263 (245,397)
Citation 31

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backtesting, forecasting performance, mortality models

12.

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 258 (250,239)
Citation 2

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Longevity risk, life market, capital markets

13.

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 220 (292,479)
Citation 1

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14.

Longevity Hedge Effectiveness: A Decomposition

Downloads 212 (303,028)
Citation 8

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 - The Business School, City, University of London and Pacific Global Advisors
Downloads 137 (444,285)
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 75 (679,717)
Citation 5

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

15.

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 187 (340,465)
Citation 23

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goodness of fit, mortality models

16.

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 182 (348,992)
Citation 6

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17.

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 179 (354,240)
Citation 2

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

18.

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

Downloads 169 (372,597)
Citation 13

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 - The Business School and Prudential Retirement
Downloads 63 (748,000)
Citation 8

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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 Prismic Life
Downloads 55 (801,210)
Citation 5

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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 Prismic Life
Downloads 51 (831,212)

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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

19.

Phantoms Never Die: Living with Unreliable Population Data

Downloads 146 (421,337)
Citation 12

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 55 (801,210)

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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 - The Business School and Prudential Retirement
Downloads 49 (846,834)
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 Prismic Life
Downloads 42 (907,118)
Citation 1

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

20.

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, Aarhus University, City, University of London and City University London - The Business School
Downloads 121 (488,961)
Citation 1

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

21.

Covid-19 Mortality: The Proportionality Hypothesis

Downloads 118 (501,496)

Covid-19 Mortality: The Proportionality Hypothesis

Number of pages: 39 Posted: 07 Nov 2023 Last Revised: 27 Feb 2024
Andrew J. G. Cairns, David P. Blake, Amy Kessler, Marsha Kessler and Rohit Mathur
Heriot-Watt University - Department of Actuarial Science & Statistics, City, University of London, Prismic Life, Commonwealth Care Alliance Inc and Prudential Financial
Downloads 87 (622,262)

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Covid-19 mortality; the Proportionality Hypothesis; infection fatality rate; all-cause mortality; biological frailty; relative frailty; age; deprivation

COVID-19 Mortality: the Proportionality Hypothesis

European Actuarial Journal, 0[10.1007/s13385-024-00400-9]
Number of pages: 46 Posted: 12 Dec 2024
Andrew J. G. Cairns, David P. Blake, Amy Kessler, Marsha Kessler and Rohit Mathur
Heriot-Watt University - Department of Actuarial Science & Statistics, City, University of London, Prismic Life, Commonwealth Care Alliance Inc and Prudential Financial
Downloads 31 (1,029,722)

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COVID-19 mortality, The Proportionality Hypothesis, Infection fatality rate, All-cause mortality, Biological frailty, Relative frailty, Age, Deprivation

22.

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 117 (501,496)
Citation 2

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23.

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 114 (511,485)
Citation 13

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24.

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 - The Business School
Downloads 105 (543,574)
Citation 12

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

25.

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, The University of Texas, Heriot-Watt University - Department of Actuarial Science & Statistics and Durham Business School
Downloads 89 (606,212)
Citation 1

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26.

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 87 (614,795)

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27.

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 83 (632,228)
Citation 1

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mortality, fan charts, longevity risk, parameter risk

28.

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

Downloads 38 (636,680)

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 38 (945,126)

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29.

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 70 (695,079)

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

30.

A General Framework for Analysing the Mortality Experience of a Large Portfolio of Lives: with An Application to the UK Universities Superannuation Scheme

European Actuarial Journal, 2022; https://doi.org/10.1007/s13385-022-00309-1
Number of pages: 35 Posted: 24 May 2022
Andrew J. G. Cairns, David P. Blake, Kevin Dowd, Guy D Coughlan, Owen Jones and Jeffrey Rowney
Heriot-Watt University - Department of Actuarial Science & Statistics, City, University of London, Durham Business School, Universities Superannuation Scheme, Universities Superannuation Scheme and Universities Superannuation Scheme
Downloads 36 (940,347)

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Longevity risk, Pensioners’ mortality, Index of multiple deprivation, Age standardised mortality rate, Occupation, Graphical diagnostics

31.

Modeling and Management of Longevity Risk

Published in Maurer, R., O. Mitchell, and P. Hammond (Eds.) (2014). Recreating Sustainable Retirement: Resilience, Solvency, and Tail Risk. Oxford, UK: Oxford University Press., Pension Research Council Working Paper, PRC WP2013-19
Posted: 09 Oct 2013 Last Revised: 03 Apr 2020
Andrew J. G. Cairns
Heriot-Watt University - Department of Actuarial Science & Statistics

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Longevity Risk, Stochastic Mortality Models, Robustness, Risk Management

32.

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 - The 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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33.

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

34.

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