David Blake
Names
Identifer
Contact
Affiliations
-
City University
/ Bayes Business School
/ Faculty of Finance
Research profile
author of:
- Modelling Socio-Economic Differences in the Mortality of Danish Males Using a New Affluence Index (RePEc:aah:create:2016-14)
by Andrew J.G. Cairns & Malene Kallestrup-Lamb & Carsten P.T. Rosenskjold & David Blake & Kevin Dowd - Financial Risks and the Pension Protection Fund: Can it Survive Them? (RePEc:arx:papers:1103.5978)
by David Blake & John Cotter & Kevin Dowd - Pyrrhic Victory? The Unintended Consequence Of The Pensions Act 2004 (RePEc:bla:ecaffa:v:26:y:2006:i:2:p:9-16)
by Alistair Byrne & Debbie Harrison & Bill Rhodes & David Blake - What is a Promise from the Government Worth? Quantifying Political Risk in State and Personal Pension Schemes in the United Kingdom (RePEc:bla:econom:v:75:y:2008:i:298:p:342-361)
by David Blake - Decentralized Investment Management: Evidence from the Pension Fund Industry (RePEc:bla:jfinan:v:68:y:2013:i:3:p:1133-1178)
by David Blake & Alberto G. Rossi & Allan Timmermann & Ian Tonks & Russ Wermers - Phantoms never die: living with unreliable population data (RePEc:bla:jorssa:v:179:y:2016:i:4:p:975-1005)
by Andrew J. G. Cairns & David Blake & Kevin Dowd & Amy R. Kessler - Reply to “Survivor Bonds: A Comment on Blake and Burrows” (RePEc:bla:jrinsu:v:70:y:2003:i:2:p:349-351)
by David Blake - Survivor Swaps (RePEc:bla:jrinsu:v:73:y:2006:i:1:p:1-17)
by Kevin Dowd & David Blake & Andrew J. G. Cairns & Paul Dawson - After VaR: The Theory, Estimation, and Insurance Applications of Quantile‐Based Risk Measures (RePEc:bla:jrinsu:v:73:y:2006:i:2:p:193-229)
by Kevin Dowd & David Blake - Longevity Risk and Capital Markets (RePEc:bla:jrinsu:v:73:y:2006:i:4:p:551-557)
by Richard MacMinn & Patrick Brockett & David Blake - Longevity Bonds: Financial Engineering, Valuation, and Hedging (RePEc:bla:jrinsu:v:73:y:2006:i:4:p:647-672)
by David Blake & Andrew Cairns & Kevin Dowd & Richard MacMinn - A Two‐Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration (RePEc:bla:jrinsu:v:73:y:2006:i:4:p:687-718)
by Andrew J. G. Cairns & David Blake & Kevin Dowd - Survivor Derivatives: A Consistent Pricing Framework (RePEc:bla:jrinsu:v:77:y:2010:i:3:p:579-596)
by Paul Dawson & Kevin Dowd & Andrew J. G. Cairns & David Blake - Longevity Risk and Capital Markets: The 2011–2012 Update (RePEc:bla:jrinsu:v:80:y:2013:i:3:p:495-500)
by David Blake & Richard MacMinn & Raimond Maurer - The New Life Market (RePEc:bla:jrinsu:v:80:y:2013:i:3:p:501-558)
by David Blake & Andrew Cairns & Guy Coughlan & Kevin Dowd & Richard MacMinn - Informed Intermediation of Longevity Exposures (RePEc:bla:jrinsu:v:80:y:2013:i:3:p:559-584)
by Enrico Biffis & David Blake - The Cost of Counterparty Risk and Collateralization in Longevity Swaps (RePEc:bla:jrinsu:v:83:y:2016:i:2:p:387-419)
by Enrico Biffis & David Blake & Lorenzo Pitotti & Ariel Sun - Managing Financially Distressed Pension Plans In The Interest Of Beneficiaries (RePEc:bla:jrinsu:v:84:y:2017:i:2:p:539-565)
by Joachim Inkmann & David Blake & Zhen Shi - Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference (RePEc:bla:jrinsu:v:84:y:2017:i:s1:p:273-277)
by David Blake & Marco Morales - Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference (RePEc:bla:jrinsu:v:84:y:2017:i:s1:p:279-297)
by David Blake & Marco Morales & David Blake & Marco Morales - Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference (RePEc:bla:jrinsu:v:84:y:2017:i:s1:p:299-317)
by David Blake & Marco Morales & Richard MacMinn & Patrick Brockett - Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference (RePEc:bla:jrinsu:v:84:y:2017:i:s1:p:319-343)
by David Blake & Marco Morales & Jing Ai & Patrick L. Brockett & Linda L. Golden & Wei Zhu - Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference (RePEc:bla:jrinsu:v:84:y:2017:i:s1:p:345-365)
by David Blake & Marco Morales & Yijia Lin & Richard D. MacMinn & Ruilin Tian & Jifeng Yu - Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference (RePEc:bla:jrinsu:v:84:y:2017:i:s1:p:367-392)
by David Blake & Marco Morales & Yijia Lin & Tianxiang Shi & Ayşe Arik - Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference (RePEc:bla:jrinsu:v:84:y:2017:i:s1:p:393-415)
by David Blake & Marco Morales & Hua Chen & Richard D. MacMinn & Tao Sun - Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference (RePEc:bla:jrinsu:v:84:y:2017:i:s1:p:417-437)
by David Blake & Marco Morales & Kenneth Q. Zhou & Johnny Siu-Hang Li - Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference (RePEc:bla:jrinsu:v:84:y:2017:i:s1:p:439-458)
by David Blake & Marco Morales & Richard D. MacMinn & Nan Zhu - Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference (RePEc:bla:jrinsu:v:84:y:2017:i:s1:p:459-475)
by David Blake & Marco Morales & Hong Li & Anja Waegenaere & Bertrand Melenberg - Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference (RePEc:bla:jrinsu:v:84:y:2017:i:s1:p:477-493)
by David Blake & Marco Morales & Wenjun Zhu & Ken Seng Tan & Chou-Wen Wang - Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference (RePEc:bla:jrinsu:v:84:y:2017:i:s1:p:495-514)
by David Blake & Marco Morales & Andreas Milidonis & Maria Efthymiou - Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference (RePEc:bla:jrinsu:v:84:y:2017:i:s1:p:515-532)
by David Blake & Marco Morales & Enrico Biffis & Yijia Lin & Andreas Milidonis - The Demand for Cider in the United Kingdom (RePEc:bla:obuest:v:54:y:1992:i:1:p:73-86)
by Blake, David & Boyle, Sean - Spend More Today Safely: Using Behavioral Economics to Improve Retirement Expenditure Decisions With SPEEDOMETER Plans (RePEc:bla:rmgtin:v:17:y:2014:i:1:p:83-112)
by David Blake & Tom Boardman - Portfolio Behaviour and Asset Pricing in a Characteristics Framework (RePEc:bla:scotjp:v:37:y:1990:i:4:p:343-59)
by Blake, David - Financial Intermediation and Financial Innovation in a Characteristics Framework (RePEc:bla:scotjp:v:43:y:1996:i:1:p:16-31)
by Blake, David - Longevity Risk and Capital Markets: The 2007-2008 Update (RePEc:bpj:apjrin:v:3:y:2008:i:1:n:1)
by MacMinn Richard & Wang Jennifer & Blake David - The Birth of the Life Market (RePEc:bpj:apjrin:v:3:y:2008:i:1:n:2)
by Blake David & Cairns Andrew & Dowd Kevin - Le nouveau marché du risque de longévité (RePEc:cai:refaef:ecofi_122_0129)
by David Blake & Andrew Cairns & Guy Coughlan & Kevin Dowd & Richard Macminn - The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis (RePEc:cdl:ucsdec:qt1pd3z1hm)
by Lunde, Asger & Timmermann, Allan & Blake, David - Performance Measurement using Multiple Asset Class Portfolio Data (RePEc:cpr:ceprdp:1618)
by Blake, David & Lehmann, Bruce N & Timmermann, Allan G - International Asset Allocation with Time-Varying Investment Opportunities (RePEc:cpr:ceprdp:3464)
by Blake, David & Timmermann, Allan - Decentralized Investment Management: Evidence from the Pension Fund Industry (RePEc:cpr:ceprdp:7679)
by Blake, David & Tonks, Ian & Timmermann, Allan & Wermers, Russ - Did the Housing Boom Increase Household Spending (RePEc:crr:issbrf:ib2010-10)
by Anthony Webb & Shenyi Jiang & Wei Sun - Longevity risk and capital markets: the 2021–22 update (RePEc:ctl:louvde:v:89:y:2023:i:3:p:299-312)
by David BLAKE & Andrew, J. G. GAIRNS & Malene KALLESTRUP-LAMB & Jesper RANGVID - CBDX: a workhorse mortality model from the Cairns–Blake–Dowd family (RePEc:cup:anacsi:v:14:y:2020:i:2:p:445-460_10)
by Dowd, Kevin & Cairns, Andrew J. G. & Blake, David - Identifiability in age/period mortality models (RePEc:cup:anacsi:v:14:y:2020:i:2:p:461-499_11)
by Hunt, Andrew & Blake, David - Identifiability in age/period/cohort mortality models (RePEc:cup:anacsi:v:14:y:2020:i:2:p:500-536_12)
by Hunt, Andrew & Blake, David - Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk (RePEc:cup:astinb:v:36:y:2006:i:01:p:79-120_01)
by Cairns, Andrew J.G. & Blake, David & Dowd, Kevin - Bayesian Stochastic Mortality Modelling for Two Populations (RePEc:cup:astinb:v:41:y:2011:i:01:p:29-59_00)
by Cairns, Andrew J.G. & Blake, David & Dowd, Kevin & Coughlan, Guy D. & Khalaf-Allah, Marwa - Modelling Mortality For Pension Schemes (RePEc:cup:astinb:v:47:y:2017:i:02:p:601-629_00)
by Hunt, Andrew & Blake, David - Modelling Socio-Economic Differences In Mortality Using A New Affluence Index (RePEc:cup:astinb:v:49:y:2019:i:03:p:555-590_00)
by Cairns, Andrew J.G. & Kallestrup-Lamb, Malene & Rosenskjold, Carsten & Blake, David & Dowd, Kevin - Living with Mortality: Longevity Bonds and Other Mortality-Linked Securities (RePEc:cup:bracjl:v:12:y:2006:i:01:p:153-197_00)
by Blake, D. & Cairns, A. J. G. & Dowd, K. - Still living with mortality: the longevity risk transfer market after one decade (RePEc:cup:bracjl:v:24:y:2018:i::p:-_1)
by Blake, D. & Cairns, A. J. G. & Dowd, K. & Kessler, A. R. - Longevity risk and capital markets: the 2021–22 update (RePEc:cup:demeco:v:89:y:2023:i:3:p:299-312_1)
by Blake, David & Cairns, Andrew J. G. & Kallestrup-Lamb, Malene & Rangvid, Jesper - New Evidence on Mutual Fund Performance: AÂ Comparison of Alternative Bootstrap Methods (RePEc:cup:jfinqa:v:52:y:2017:i:03:p:1279-1299_00)
by Blake, David & Caulfield, Tristan & Ioannidis, Christos & Tonks, Ian - Efficiency, Risk Aversion and Portfolio Insurance: An Analysis of Financial Asset Portfolios Held by Investors in the United Kingdom (RePEc:ecj:econjl:v:106:y:1996:i:438:p:1175-92)
by Blake, David - Does It Matter What Type of Pension Scheme You Have? (RePEc:ecj:econjl:v:110:y:2000:i:461:p:f46-81)
by Blake, David - On The Sustainability of the UK State Pension System in the Light of Population Ageing and Declining Fertility (RePEc:ecj:econjl:v:116:y:2006:i:512:p:f286-f305)
by David Blake & Les Mayhew - The Performance of UK Exchange Rate Forecasters (RePEc:ecj:econjl:v:96:y:1986:i:384:p:986-99)
by Blake, David & Beenstock, Michael & Brasse, Valerie - Smart defaults: Determining the number of default funds in a pension scheme (RePEc:eee:bracre:v:54:y:2022:i:4:s0890838921000688)
by Blake, David & Duffield, Mel & Tonks, Ian & Haig, Alistair & Blower, Dean & MacPhee, Laura - Stochastic lifestyling: Optimal dynamic asset allocation for defined contribution pension plans (RePEc:eee:dyncon:v:30:y:2006:i:5:p:843-877)
by Cairns, Andrew J.G. & Blake, David & Dowd, Kevin - Target-driven investing: Optimal investment strategies in defined contribution pension plans under loss aversion (RePEc:eee:dyncon:v:37:y:2013:i:1:p:195-209)
by Blake, David & Wright, Douglas & Zhang, Yumeng - Age-dependent investing: Optimal funding and investment strategies in defined contribution pension plans when members are rational life cycle financial planners (RePEc:eee:dyncon:v:38:y:2014:i:c:p:105-124)
by Blake, David & Wright, Douglas & Zhang, Yumeng - Testing models generating time varying asset return expectations and risks : The case of UK private sector pension funds (RePEc:eee:ecmode:v:6:y:1989:i:2:p:220-240)
by Blake, David - The valuation of no-negative equity guarantees and equity release mortgages (RePEc:eee:ecolet:v:184:y:2019:i:c:s0165176519303349)
by Dowd, Kevin & Buckner, Dean & Blake, David & Fry, John - Improved inference in the evaluation of mutual fund performance using panel bootstrap methods (RePEc:eee:econom:v:183:y:2014:i:2:p:202-210)
by Blake, David & Caulfield, Tristan & Ioannidis, Christos & Tonks, Ian - Complete systems methods of estimating models with rational and adaptive expectations : A case study (RePEc:eee:eecrev:v:24:y:1984:i:2:p:137-150)
by Blake, David - The stochastic analysis of competitive unemployment insurance premiums (RePEc:eee:eecrev:v:32:y:1988:i:1:p:7-25)
by Blake, David & Beenstock, Michael - The hazards of mutual fund underperformance: A Cox regression analysis (RePEc:eee:empfin:v:6:y:1999:i:2:p:121-152)
by Lunde, Asger & Timmermann, Allan & Blake, David - The market for lemmings: The herding behavior of pension funds (RePEc:eee:finmar:v:36:y:2017:i:c:p:17-39)
by Blake, David & Sarno, Lucio & Zinna, Gabriele - Pension schemes as options on pension fund assets: implications for pension fund management (RePEc:eee:insuma:v:23:y:1998:i:3:p:263-286)
by Blake, David - Pensionmetrics: stochastic pension plan design and value-at-risk during the accumulation phase (RePEc:eee:insuma:v:29:y:2001:i:2:p:187-215)
by Blake, David & Cairns, Andrew J. G. & Dowd, Kevin - Pensionmetrics 2: stochastic pension plan design during the distribution phase (RePEc:eee:insuma:v:33:y:2003:i:1:p:29-47)
by Blake, David & Cairns, Andrew J. G. & Dowd, Kevin - Mortality-dependent financial risk measures (RePEc:eee:insuma:v:38:y:2006:i:3:p:427-440)
by Dowd, Kevin & Cairns, Andrew J.G. & Blake, David - Longevity risk and the Grim Reaper's toxic tail: The survivor fan charts (RePEc:eee:insuma:v:42:y:2008:i:3:p:1062-1066)
by Blake, David & Dowd, Kevin & Cairns, Andrew J.G. - Longevity risk and capital markets: The 2008-2009 update (RePEc:eee:insuma:v:46:y:2010:i:1:p:135-138)
by Blake, David & De Waegenaere, Anja & MacMinn, Richard & Nijman, Theo - Securitizing and tranching longevity exposures (RePEc:eee:insuma:v:46:y:2010:i:1:p:186-197)
by Biffis, Enrico & Blake, David - Evaluating the goodness of fit of stochastic mortality models (RePEc:eee:insuma:v:47:y:2010:i:3:p:255-265)
by Dowd, Kevin & Cairns, Andrew J.G. & Blake, David & Coughlan, Guy D. & Epstein, David & Khalaf-Allah, Marwa - Mortality density forecasts: An analysis of six stochastic mortality models (RePEc:eee:insuma:v:48:y:2011:i:3:p:355-367)
by Cairns, Andrew J.G. & Blake, David & Dowd, Kevin & Coughlan, Guy D. & Epstein, David & Khalaf-Allah, Marwa - Modelling longevity bonds: Analysing the Swiss Re Kortis bond (RePEc:eee:insuma:v:63:y:2015:i:c:p:12-29)
by Hunt, Andrew & Blake, David - Longevity risk and capital markets: The 2015–16 update (RePEc:eee:insuma:v:78:y:2018:i:c:p:157-173)
by Blake, David & El Karoui, Nicole & Loisel, Stéphane & MacMinn, Richard - Identifiability, cointegration and the gravity model (RePEc:eee:insuma:v:78:y:2018:i:c:p:360-368)
by Hunt, Andrew & Blake, David - Longevity risk and capital markets: The 2019-20 update (RePEc:eee:insuma:v:99:y:2021:i:c:p:395-439)
by Blake, David & Cairns, Andrew J.G. - Debt-equity swaps as bond conversions: implications for pricing (RePEc:eee:jbfina:v:15:y:1991:i:1:p:29-41)
by Blake, David & Pradhan, Mahmood - Network centrality and delegated investment performance (RePEc:eee:jfinec:v:128:y:2018:i:1:p:183-206)
by Rossi, Alberto G. & Blake, David & Timmermann, Allan & Tonks, Ian & Wermers, Russ - Monetarism and the US economy: A re-evaluation of Stein's model 1960-1973 (RePEc:eee:moneco:v:10:y:1982:i:1:p:111-125)
by Desai, Meghnad & Blake, David - Liability valuation and optimal asset allocation (RePEc:ehl:lserod:24754)
by Inkmann, Joachim & Blake, David - Barriers to pension scheme participation in small and medium sized enterprises (RePEc:ehl:lserod:24820)
by Byrne, Alistair & Harrison, Debbie & Blake, David - Pensionmetrics 2: stochastic pension plan design during the distribution phase (RePEc:ehl:lserod:24830)
by Blake, David & Cairns, Andrew J. G. & Dowd, Kevin - Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans (RePEc:ehl:lserod:24831)
by Cairns, Andrew J. G. & Blake, David & Dowd, Kevin - UK pension fund management after Myners: the hunt for correlation begins (RePEc:ehl:lserod:24833)
by Blake, David - Take (smoothed) risks when you are young, not when you are old: how to get the best from your stakeholder pension plan (RePEc:ehl:lserod:24834)
by Blake, David - The United Kingdom pension system: key issues (RePEc:ehl:lserod:24851)
by Blake, David - What is a promise from the government worth?:: measuring and assessing the implications of political risk in state and personal pension schemes in the United Kingdom (RePEc:ehl:lserod:24856)
by Blake, David - Financial system requirements for successful pension reform (RePEc:ehl:lserod:24862)
by Blake, David - Is immigration the answer to the UK’s pension crisis? (RePEc:ehl:lserod:24864)
by Blake, David - Modelling the composition of personal sector wealth in the United Kingdom (RePEc:ehl:lserod:24866)
by Blake, David - Long-term value at risk (RePEc:ehl:lserod:24867)
by Dowd, Kevin & Blake, David & Cairns, Andrew - International asset allocation with time-varying investment opportunities (RePEc:ehl:lserod:24944)
by Blake, David & Timmermann, Allan - Performance clustering and incentives in the UK pension fund industry (RePEc:ehl:lserod:24945)
by Blake, David & Lehmann, Bruce N. & Timmermann, Allan - Returns from active management in international equity markets: evidence from a panel of UK pension funds (RePEc:ehl:lserod:24946)
by Blake, David & Timmermann, Allan - The impact of wealth on consumption and retirement behaviour in the UK (RePEc:ehl:lserod:24949)
by Blake, David - It is all Back to Front: Critical Issues in the Design of Defined Contribution Pension Plans (RePEc:elg:eechap:12976_6)
by David Blake - Contracting Out of the State Pension System: The British Experience of Carrots and Sticks (RePEc:elg:eechap:2829_1)
by David Blake - Unknown item RePEc:eme:jes000:eum0000000000152 (article)
- The Estimation of Rational Expectations Models: A Survey (RePEc:eme:jespps:eum0000000000152)
by David Blake - Unknown item RePEc:eme:jfrc00:13581980810888822 (article)
- Defined contribution pensions: dealing with the reluctant investor (RePEc:eme:jfrcpp:v:16:y:2008:i:3:p:206-219)
by Alistair Byrne & Debbie Harrison & David Blake - Unknown item RePEc:eme:jrf000:eb022986 (article)
- Long‐Term Value at Risk (RePEc:eme:jrfpps:eb022986)
by Kevin Dowd & David Blake & Andrew Cairns - Unknown item RePEc:eme:rbf000:rbf-06-2020-0133 (article)
- Mental time travel and the valuation of financial investments (RePEc:eme:rbfpps:rbf-06-2020-0133)
by David Blake & John Pickles - Pension Plan Decisions (RePEc:eme:rbfpps:v:2:y:2010:i:1:p:19-36)
by Alistair Byrne & David Blake & Graham Mannion - Projecting Mortality Rates to Extreme Old Age with the CBDX Model (RePEc:gam:jforec:v:4:y:2022:i:1:p:12-218:d:741140)
by Kevin Dowd & David Blake - Mental Time Travel and Retirement Savings (RePEc:gam:jjrfmx:v:14:y:2021:i:12:p:581-:d:694133)
by David Blake & John Pickles - Good Practice Principles in Modelling Defined Contribution Pension Plans (RePEc:gam:jjrfmx:v:15:y:2022:i:3:p:108-:d:759279)
by Kevin Dowd & David Blake - Nudges and Networks: How to Use Behavioural Economics to Improve the Life Cycle Savings-Consumption Balance (RePEc:gam:jjrfmx:v:15:y:2022:i:5:p:217-:d:814683)
by David Blake - The Great Game Will Never End: Why the Global Financial Crisis Is Bound to Be Repeated (RePEc:gam:jjrfmx:v:15:y:2022:i:6:p:245-:d:828773)
by David Blake - Target2: The Silent Bailout System That Keeps the Euro Afloat (RePEc:gam:jjrfmx:v:16:y:2023:i:12:p:506-:d:1295649)
by David Blake - The Myth of Methuselah and the Uncertainty of Death: The Mortality Fan Charts (RePEc:gam:jrisks:v:4:y:2016:i:3:p:21-:d:73310)
by Kevin Dowd & David Blake & Andrew J. G. Cairns - Longevity risk and capital markets: The 2015–16 update (RePEc:hal:journl:hal-01995778)
by David Blake & Nicole El Karoui & Stéphane Loisel & Richard Macminn - The United Kingdom Pension System: Key Issues (RePEc:hit:piedp1:15)
by Blake, David - Quantifying loss aversion: Evidence from a UK population survey (RePEc:kap:jrisku:v:63:y:2021:i:1:d:10.1007_s11166-021-09356-7)
by David Blake & Edmund Cannon & Douglas Wright - The United Kingdom: Examining the Switch from Low Public Pensions to High-Cost Private Pensions (RePEc:nbr:nberch:10677)
by David Blake - Mutual Fund Performance: Evidence from the UK (RePEc:oup:revfin:v:2:y:1998:i:1:p:57-77.)
by David Blake & Allan Timmermann - Fund Flows, Manager Changes, and Performance Persistence
[Does motivation matter when assessing trade performance? An analysis of mutual funds] (RePEc:oup:revfin:v:22:y:2018:i:5:p:1911-1947.)
by Wolfgang Bessler & David Blake & Peter Lückoff & Ian Tonks - Pension Schemes and Pension Funds in the United Kingdom (RePEc:oxp:obooks:9780199243532)
by Blake, David - Longevity: a new asset class (RePEc:pal:assmgt:v:19:y:2018:i:5:d:10.1057_s41260-018-0084-9)
by David Blake - Performance clustering and incentives in the UK pension fund industry (RePEc:pal:assmgt:v:3:y:2002:i:2:d:10.1057_palgrave.jam.2240073)
by D Blake & B N Lehmann & A Timmermann - UK pension fund management after Myners: The hunt for correlation begins (RePEc:pal:assmgt:v:4:y:2003:i:1:d:10.1057_palgrave.jam.2240094)
by David Blake - Returns from active management in international equity markets: Evidence from a panel of UK pension funds (RePEc:pal:assmgt:v:6:y:2005:i:1:d:10.1057_palgrave.jam.2240162)
by David Blake & Allan Timmermann - Portfolio Choice Models of Pension Funds and Life Assurance Companies: Similarities and Differences (RePEc:pal:gpprii:v:24:y:1999:i:3:p:327-357)
by David Blake - Annuity Markets: Problems and Solutions (RePEc:pal:gpprii:v:24:y:1999:i:3:p:358-375)
by David Blake - Measuring Value Added in the Pensions Industry (RePEc:pal:gpprii:v:25:y:2000:i:4:p:539-567)
by David Blake & John Board - The Impact of Occupation and Gender on Pensions from Defined Contribution Plans (RePEc:pal:gpprii:v:32:y:2007:i:4:p:458-482)
by David Blake & Andrew Cairns & Kevin Dowd - Longevity Risk and Capital Markets: The 2010–2011 Update (RePEc:pal:gpprii:v:36:y:2011:i:4:p:489-500)
by David Blake & Christophe Courbage & Richard MacMinn & Michael Sherris - Optimal Investment Strategies in Defined Contribution Pension Plans (RePEc:pal:palchp:978-0-230-30723-0_10)
by David Blake & Andrew Cairns & Kevin Dowd - A Non-linear Model of Portfolio Behaviour With Time-varying Expectations and Risks (RePEc:pal:palchp:978-1-349-11666-9_5)
by David Blake - Longevity risk and capital markets: The 2009-2010 update (RePEc:pra:mprapa:28868)
by Blake, David & Brockett, Patrick & Cox, Samuel & MacMinn, Richard - Turning pension plans into pension planes: What investment strategy designers of defined contribution pension plans can learn from commercial aircraft designers (RePEc:pra:mprapa:33749)
by Blake, David & Cairns, Andrew & Dowd, Kevin - NDC v FDC: Pros, cons and replication (RePEc:pra:mprapa:33752)
by Blake, David - Sharing longevity risk: Why governments should issue longevity bonds (RePEc:pra:mprapa:34184)
by Blake, David & Boardman, Tom & Cairns, Andrew - Why does mutual fund performance not persist? The impact and interaction of fund flows and manager changes (RePEc:pra:mprapa:34185)
by Bessler, Wolfgang & Blake, David & Lückoff, Peter & Tonks, Ian - Spend more today: Using behavioural economics to improve retirement expenditure decisions (RePEc:pra:mprapa:34234)
by Blake, David & Boardman, Tom - Longevity hedge effectiveness: a decomposition (RePEc:pra:mprapa:34236)
by Cairns, Andrew & Dowd, Kevin & Blake, David & Coughlan, Guy - Age dependent investing: Optimal funding and investment strategies in defined contribution pension plans when members are rational life cycle financial planners (RePEc:pra:mprapa:34277)
by Blake, David & Wright, Douglas & Zhang, Yumeng - Target-driven investing: Optimal investment strategies in defined contribution pension plans under loss aversion (RePEc:pra:mprapa:34278)
by Blake, David & Wright, Douglas & Zhang, Yumeng - Longevity risks and capital markets: The 2010-2011 update (RePEc:pra:mprapa:34279)
by Blake, David & Courbage, Christophe & MacMinn, Richard & Sherris, Michael - Financial Risks and the Pension Protection Fund: Can it Survive Them? (RePEc:pra:mprapa:3498)
by Cotter, John & Blake, David & Dowd, Kevin - A gravity model of mortality rates for two related populations (RePEc:pra:mprapa:35738)
by Dowd, Kevin & Cairns, Andrew & Blake, David & Coughlan, Guy & Khalaf-Allah, Marwa - The cost of counterparty risk and collateralization in longevity swaps (RePEc:pra:mprapa:35740)
by Biffis, Enrico & Blake, David & Pitotti, Lorenzo & Sun, Ariel - Longevity hedging 101: A framework for longevity basis risk analysis and hedge effectiveness (RePEc:pra:mprapa:35743)
by Coughlan, Guy & Khalaf-Allah, Marwa & Ye, Yijing & Kumar, Sumit & Cairns, Andrew & Blake, David & Dowd, Kevin - Decentralized investment management: evidence from the pension fund industry (RePEc:pra:mprapa:35767)
by Blake, David & Timmermann, Allan & Tonks, Ian & Wermers, Russ - Keeping Some Skin in the Game: How to Start a Capital Market in Longevity Risk Transfers (RePEc:pra:mprapa:44680)
by Blake, David & Biffs, Enrico - Facing up to uncertain life expectancy: The longevity fan charts (RePEc:spr:demogr:v:47:y:2010:i:1:p:67-78)
by Kevin Dowd & David Blake & Andrew Cairns - The fisher hypothesis: Evidence from three high inflation economies (RePEc:spr:weltar:v:129:y:1993:i:3:p:591-599)
by Kate Phylaktis & David Blake - Unknown item RePEc:taf:apfiec:v:14:y:2004:i:8:p:555-576 (article)
- Unknown item RePEc:taf:apfiec:v:14:y:2004:i:9:p:611-630 (article)
- Unknown item RePEc:taf:apfiec:v:9:y:1999:i:4:p:397-421 (article)
- The demand for alcohol in the United Kingdom (RePEc:taf:applec:v:29:y:1997:i:12:p:1655-1672)
by David Blake & Angelika Nied - Longevity hedge effectiveness: a decomposition (RePEc:taf:quantf:v:14:y:2014:i:2:p:217-235)
by Andrew J.G. Cairns & Kevin Dowd & David Blake & Guy D. Coughlan - Modelling and management of mortality risk: a review (RePEc:taf:sactxx:v:2008:y:2008:i:2-3:p:79-113)
by Andrew Cairns & David Blake & Kevin Dowd - A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States (RePEc:taf:uaajxx:v:13:y:2009:i:1:p:1-35)
by Andrew Cairns & David Blake & Kevin Dowd & Guy Coughlan & David Epstein & Alen Ong & Igor Balevich - Backtesting Stochastic Mortality Models (RePEc:taf:uaajxx:v:14:y:2010:i:3:p:281-298)
by Kevin Dowd & Andrew Cairns & David Blake & Guy Coughlan & David Epstein & Marwa Khalaf-Allah - Longevity Risk and Capital Markets (RePEc:taf:uaajxx:v:15:y:2011:i:2:p:141-149)
by David Blake & Pat Brockett & Samuel Cox & Richard MacMinn - Longevity Hedging 101 (RePEc:taf:uaajxx:v:15:y:2011:i:2:p:150-176)
by Guy Coughlan & Marwa Khalaf-Allah & Yijing Ye & Sumit Kumar & Andrew Cairns & David Blake & Kevin Dowd - A Computationally Efficient Algorithm for Estimating the Distribution of Future Annuity Values Under Interest-Rate and Longevity Risks (RePEc:taf:uaajxx:v:15:y:2011:i:2:p:237-247)
by Kevin Dowd & David Blake & Andrew Cairns - A Gravity Model of Mortality Rates for Two Related Populations (RePEc:taf:uaajxx:v:15:y:2011:i:2:p:334-356)
by Kevin Dowd & Andrew Cairns & David Blake & Guy Coughlan & Marwa Khalaf-Allah - Longevity Risk and Capital Markets: The 2012–2013 Update (RePEc:taf:uaajxx:v:18:y:2014:i:1:p:1-13)
by David Blake & Richard MacMinn & Johnny Li & Mary Hardy - A General Procedure for Constructing Mortality Models (RePEc:taf:uaajxx:v:18:y:2014:i:1:p:116-138)
by Andrew Hunt & David Blake - Keeping Some Skin in the Game: How to Start a Capital Market in Longevity Risk Transfers (RePEc:taf:uaajxx:v:18:y:2014:i:1:p:14-21)
by Enrico Biffis & David Blake - Sharing Longevity Risk: Why Governments Should Issue Longevity Bonds (RePEc:taf:uaajxx:v:18:y:2014:i:1:p:258-277)
by David Blake & Tom Boardman & Andrew Cairns - Longevity Risk and Capital Markets: The 2016–2017 Update (RePEc:taf:uaajxx:v:25:y:2020:i:s1:p:s1-s6)
by David Blake & Richard MacMinn - Longevity Risk and Capital Markets: The 2017–2018 Update (RePEc:taf:uaajxx:v:25:y:2020:i:s1:p:s280-s308)
by David Blake & Richard MacMinn & Jason Chenghsien Tsai & Jennifer Wang - Hedging Annuity Risks with the Age-Period-Cohort Two-Population Gravity Model (RePEc:taf:uaajxx:v:25:y:2021:i:s1:p:s170-s181)
by Kevin Dowd & Andrew J. G. Cairns & David Blake - On the Structure and Classification of Mortality Models (RePEc:taf:uaajxx:v:25:y:2021:i:s1:p:s215-s234)
by Andrew Hunt & David Blake - A Bayesian Approach to Modeling and Projecting Cohort Effects (RePEc:taf:uaajxx:v:25:y:2021:i:s1:p:s235-s254)
by Andrew Hunt & David Blake - Forward Mortality Rates in Discrete Time I: Calibration and Securities Pricing (RePEc:taf:uaajxx:v:25:y:2021:i:s1:p:s482-s507)
by Andrew Hunt & David Blake - Forward Mortality Rates in Discrete Time II: Longevity Risk and Hedging Strategies (RePEc:taf:uaajxx:v:25:y:2021:i:s1:p:s508-s533)
by Andrew Hunt & David Blake - “Pensions and Capital Structure: Why Hold Equities in the Pension Fund?”, John Ralfe, Cliff Speed, and Jon Palin, July 2004 (RePEc:taf:uaajxx:v:9:y:2005:i:4:p:125-130)
by David Blake & M. Zaki Khorasanee - Modelling the Ultimate Absurdity: A Comment on "A Quantitative Study of the Strategic Arms Race in the Missile Age." (RePEc:tpr:restat:v:63:y:1981:i:4:p:629-32)
by Desai, Meghnad & Blake, David - Financial Risks and the Pension Protection Fund:Can It Survive Them? (RePEc:ucd:wpaper:2006/15)
by David Blake & John Cotter & Kevin Dowd - What Should Be Done About The Underfunding of Defined Benefit Pension Schemes? (RePEc:ucd:wpaper:201202)
by John Cotter & David Blake & Kevin Dowd - Asset Allocation Dynamics and Pension Fund Performance (RePEc:ucp:jnlbus:v:72:y:1999:i:4:p:429-61)
by Blake, David & Lehmann, Bruce N & Timmermann, Allan - International Asset Allocation with Time-Varying Investment Opportunities (RePEc:ucp:jnlbus:v:78:y:2005:i:1:p:71-98)
by Allan Timmermann & David Blake - Options on normal underlyings with an application to the pricing of survivor swaptions (RePEc:wly:jfutmk:v:29:y:2009:i:8:p:757-774)
by Paul Dawson & Kevin Dowd & Andrew J. G. Cairns & David Blake - Network centrality and pension fund performance (RePEc:zbw:cfrwps:1516)
by Rossi, Alberto G. & Blake, David & Timmermann, Allan & Tonks, Ian & Wermers, Russ