Author Page for Andrew J. G. Cairns

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 1,453 (18,339)

Citation 89

Abstract:

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

Downloads 428 (95,082)

Citation 3

Abstract:

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 of London, Nottingham University Business School (NUBS), Pacific Global Advisors, J.P. Morgan Chase & Co. and J.P. Morgan

Downloads 398 (103,419)

Citation 56

Abstract:

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 of London and Nottingham University Business School (NUBS)

Downloads 347 (120,662)

Citation 15

Abstract:

5.

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 299 (141,831)

Citation 7

Abstract:

6.

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 274 (154,474)

Citation 7

Abstract:

7.

Sharing Longevity Risk: Why Governments Should Issue Longevity Bonds

Downloads 262 (161,707)

Citation 13

2

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 238 (177,091)

Citation 17

Abstract:

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 24 (682,635)

Citation 2

Abstract:

8.

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 260 (162,926)

Citation 4

Abstract:

9.

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 252 (168,124)

Abstract:

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 226 (186,448)

Abstract:

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 213 (197,206)

Citation 31

Abstract:

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 of London

Downloads 174 (235,983)

Citation 1

Abstract:

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

Downloads 147 (271,349)

Citation 2

Abstract:

14.

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 140 (281,863)

Citation 6

Abstract:

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 139 (283,468)

Citation 22

Abstract:

16.

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 130 (298,320)

Citation 1

Abstract:

17.

Longevity Hedge Effectiveness: A Decomposition

Downloads 104 (349,193)

Citation 6

2

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 89 (388,878)

Citation 3

Abstract:

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 15 (758,795)

Citation 4

Abstract:

18.

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 92 (377,751)

Citation 2

Abstract:

19.

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 82 (404,811)

Citation 13

Abstract:

20.

Phantoms Never Die: Living with Unreliable Population Data

Downloads 61 (474,118)

Citation 11

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 of London, Nottingham University Business School (NUBS) and Prudential Retirement

Downloads 33 (619,119)

Abstract:

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 20 (715,108)

Citation 11

Abstract:

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 8 (827,309)

Citation 1

Abstract:

21.

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

Downloads 54 (501,611)

Citation 10

3

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 (667,354)

Citation 10

Abstract:

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 15 (758,795)

Abstract:

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 13 (777,774)

Abstract:

22.

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 50 (518,599)

Abstract:

23.

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 42 (555,956)

Citation 1

Abstract:

24.

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 37 (581,691)

Abstract:

25.

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 (592,841)

Citation 7

Abstract:

26.

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 33 (604,194)

Citation 37

Abstract:

27.

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 30 (622,271)

Citation 9

Abstract:

28.

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

Number of pages: 30 Posted: 11 Jul 2004

Andrew J. G. Cairns

Heriot-Watt University - Department of Actuarial Science & Statistics

Downloads 30 (622,271)

Abstract:

29.

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

Downloads 6 (648,660)

1

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 (848,191)

Abstract:

30.

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 23 (670,011)

Abstract:

31.

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 22 (677,572)

Citation 9

Abstract:

32.

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 17 (716,215)

Citation 1

Abstract:

33.

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 4 (835,731)

Citation 7

Abstract:

34.

Survivor Derivatives: A Consistent Pricing Framework

Downloads 4 (835,731)

Citation 22

2

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

Downloads 4 (869,856)

Citation 4

Abstract:

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

Downloads 0

Citation 9

Abstract:

35.

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 3 (846,646)

Abstract:

36.

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 1 (873,108)

Abstract:

37.

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

Downloads 1 (873,108)

Citation 10

Abstract:

38.

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

Abstract:

39.

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

Abstract:

40.

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)

Abstract:

41.

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

Andrew J. G. Cairns

Heriot-Watt University - Department of Actuarial Science & Statistics

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Scholarly Papers (41)

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