David P. Blake

City, University of London

Professor of Economics, Director of Pensions Institute

106 Bunhill Row

London, EC1Y 8TZX

Great Britain

http://www.pensions-institute.org/

SCHOLARLY PAPERS

143

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14,053

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603

CROSSREF CITATIONS

546

Scholarly Papers (143)

1.

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

Number of pages: 77 Posted: 11 Feb 2009
Heriot-Watt University - Department of Actuarial Science & Statistics, City, University of London, Nottingham University Business School (NUBS), Pacific Global Advisors and J.P. Morgan Chase & Co.
Downloads 1,385 (16,326)
Citation 85

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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-Linked Securities and Derivatives

Number of pages: 20 Posted: 11 Feb 2009 Last Revised: 24 Jun 2020
Enrico Biffis and David P. Blake
Imperial College Business School and City, University of London
Downloads 1,114 (22,643)
Citation 23

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3.

The Market for Lemmings: The Herding Behavior of Pension Funds

Number of pages: 63 Posted: 21 Feb 2015 Last Revised: 06 Dec 2016
David P. Blake, Lucio Sarno and Gabriele Zinna
City, University of London, University of Cambridge - Judge Business School and Bank of Italy
Downloads 571 (56,682)
Citation 5

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Institutional investors; pension funds; herding; portfolio rebalancing.

4.

Longevity Risk and Capital Markets: The 2008-2009 Update

Number of pages: 7 Posted: 19 Mar 2009
City, University of London, Tilburg University - Department of Econometrics & OR, Netspar, and CentER, National Chengchi University and Tilburg University - Tilburg University School of Economics and Management
Downloads 494 (68,035)
Citation 8

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5.

Why Does Mutual Fund Performance Not Persist? The Impact and Interaction of Fund Flows and Manager Changes

Paris December 2010 Finance Meeting EUROFIDAI - AFFI
Number of pages: 44 Posted: 22 Oct 2010 Last Revised: 24 Jun 2020
Justus-Liebig-University Giessen, City, University of London, Justus-Liebig-University Giessen and University of Bristol
Downloads 463 (73,642)
Citation 9

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Mutual Funds, Performance Persistence, Fund Flows, Manager Turnover

6.

Default Funds in UK Defined Contribution Pension Plans

Financial Analysts Journal, July/August 2007
Number of pages: 37 Posted: 10 Sep 2007
University of Edinburgh - Business School, Nottingham University Business School (NUBS), City, University of London and Heriot-Watt University - Department of Actuarial Science & Statistics
Downloads 422 (82,268)
Citation 3

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defined contribution, default funds, asset allocation, lifecycle investing

The Cost of Counterparty Risk and Collateralization in Longevity Swaps

Number of pages: 44 Posted: 04 Apr 2011 Last Revised: 03 Feb 2014
Enrico Biffis, David P. Blake, Lorenzo Pitotti and Ariel Sun
Imperial College Business School, City, University of London, Credit Suisse Securities and Imperial College London, Business School
Downloads 396 (87,790)
Citation 14

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longevity swap, counterparty risk, default risk, collateral, marking-to-market

The Cost of Counterparty Risk and Collateralization in Longevity Swaps

Journal of Risk and Insurance, Vol. 83, Issue 2, pp. 387-419, 2016
Number of pages: 33 Posted: 23 May 2016
Enrico Biffis, Ariel Sun, David P. Blake and Lorenzo Pitotti
Imperial College Business School, Imperial College London, Business School, City, University of London and Credit Suisse Securities
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8.

Securitizing and Tranching Longevity Exposures

Number of pages: 40 Posted: 26 May 2009 Last Revised: 17 Aug 2009
Enrico Biffis and David P. Blake
Imperial College Business School and City, University of London
Downloads 396 (88,545)
Citation 9

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longevity risk, asymmetric information, security design, pooling, tranching

9.

Mortality Density Forecasts: An Analysis of Six Stochastic Mortality Models

Pensions Institute Discussion Paper No. PI-0801
Number of pages: 70 Posted: 10 Feb 2009 Last Revised: 10 Jul 2009
Heriot-Watt University - Department of Actuarial Science & Statistics, City, University of London, Nottingham University Business School (NUBS), Pacific Global Advisors, J.P. Morgan Chase & Co. and J.P. Morgan
Downloads 371 (95,500)
Citation 54

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

10.

Modelling and Management of Mortality Risk: A Review

Scandinavian Actuarial Journal, Vol. 2-3, pp. 79-113, 2008, Pensions Institute Discussion Paper No. PI-0814
Number of pages: 47 Posted: 10 Feb 2009 Last Revised: 16 Apr 2009
Andrew J. G. Cairns, David P. Blake and Kevin Dowd
Heriot-Watt University - Department of Actuarial Science & Statistics, City, University of London and Nottingham University Business School (NUBS)
Downloads 330 (108,985)
Citation 15

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

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

Number of pages: 44 Posted: 21 Oct 2015
City, University of London, University College London, University of Bath-Department of Economics and University of Bristol
Downloads 254 (142,891)
Citation 2

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

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

Pensions Institute, Discussion Paper PI-1404
Number of pages: 44 Posted: 22 Mar 2016
City, University of London, University College London, University of Bath-Department of Economics and University of Bristol
Downloads 50 (462,554)
Citation 42

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

An Unreal Number: How Company Pension Accounting Fosters an Illusion of Certainty

Number of pages: 86 Posted: 19 Feb 2009
David P. Blake
City, University of London
Downloads 295 (122,230)
Citation 7

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An Unreal Number: How Company Pension Accounting Fosters an Illusion of Certainty

Pensions Institute, 2008
Number of pages: 86 Posted: 19 Jun 2020
City, University of London, affiliation not provided to SSRN, City, University of London and City University London - Sir John Cass Business School
Downloads 7 (731,305)

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13.

And Death Shall Have No Dominion: Life Settlements and the Ethic of Profiting from Mortality

Number of pages: 29 Posted: 19 Feb 2009
David P. Blake and Debbie Harrison
City, University of London and City University London - Sir John Cass Business School
Downloads 283 (128,364)
Citation 13

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Dealing With the Reluctant Investor: Innovation and Governance in DC Pension Investment

Number of pages: 58 Posted: 11 Sep 2007
Alistair Byrne, Debbie Harrison and David P. Blake
University of Edinburgh - Business School, City University London - Sir John Cass Business School and City, University of London
Downloads 269 (134,642)
Citation 7

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pensions, defined contribution, lifecycle funds, governance

Dealing With the Reluctant Investor: Innovation and Governance in DC Pension Investment

Pensions Institute, 2007
Number of pages: 58 Posted: 19 Jun 2020
Alistair Byrne, Debbie Harrison and David P. Blake
University of Edinburgh - Business School, affiliation not provided to SSRN and City, University of London
Downloads 7 (731,305)

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15.

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 272 (133,828)
Citation 7

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16.

Target2: The Silent Bailout System that Keeps the Euro Afloat

Number of pages: 66 Posted: 31 May 2018
David P. Blake
City, University of London
Downloads 256 (142,364)
Citation 1

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

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 235 (154,270)
Citation 16

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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 - Sir John Cass Business School and Heriot-Watt University - Department of Actuarial Science & Statistics
Downloads 14 (675,191)
Citation 2

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Longevity risk, longevity bonds, public policy, political econom

18.

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

Pensions Institute Discussion Paper PI-0713
Number of pages: 29 Posted: 10 Feb 2009
Kent State University, Nottingham University Business School (NUBS), Heriot-Watt University - Department of Actuarial Science & Statistics and City, University of London
Downloads 242 (150,428)
Citation 3

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19.
Downloads 238 (152,873)
Citation 10

Longevity Risk and Capital Markets: The 2013-14 Update

Pensions Institute Discussion Paper PI-1502
Number of pages: 29 Posted: 24 Mar 2016
Ken Seng Tan, David P. Blake and Richard D. MacMinn
University of Waterloo, City, University of London and National Chengchi University
Downloads 140 (245,227)
Citation 7

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Longevity Risk and Capital Markets: The 2013-14 Update

Number of pages: 29 Posted: 11 Apr 2015
Ken Seng Tan, David P. Blake and Richard D. MacMinn
University of Waterloo, City, University of London and National Chengchi University
Downloads 98 (318,325)
Citation 4

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20.

Longevity Risk and Capital Markets: The 2007-2008 Update

Number of pages: 6 Posted: 11 Feb 2009
Richard D. MacMinn, Jennifer L. Wang and David P. Blake
National Chengchi University, National Chengchi University - Department of Risk Management and Insurance and City, University of London
Downloads 233 (156,055)

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21.

Network Centrality and Delegated Investment Performance

Netspar Discussion Paper No. 12/2015-065
Number of pages: 55 Posted: 07 Mar 2016 Last Revised: 02 Oct 2016
Georgetown University, City, University of London, UCSD, University of Bristol and University of Maryland - Robert H. Smith School of Business
Downloads 228 (159,369)
Citation 16

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Networks, Investment Management, Performance

22.

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

Financial Services Review, Vol. 15, No. 3, 2006
Number of pages: 30 Posted: 10 Sep 2007
University of Edinburgh - Business School, Nottingham University Business School (NUBS), City, University of London and Heriot-Watt University - Department of Actuarial Science & Statistics
Downloads 225 (161,414)

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retirement saving, defined contribution, stochastic simulation

23.

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

EFA 2005 Moscow Meetings Paper, Cass Business School Research Paper
Number of pages: 26 Posted: 28 Jan 2005
University of Edinburgh - Business School, Nottingham University Business School (NUBS), City, University of London and Heriot-Watt University - Department of Actuarial Science & Statistics
Downloads 217 (167,011)

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

24.

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

Number of pages: 43 Posted: 29 Apr 2009 Last Revised: 10 Jul 2009
Nottingham University Business School (NUBS), Heriot-Watt University - Department of Actuarial Science & Statistics, City, University of London, Pacific Global Advisors, J.P. Morgan Chase & Co. and J.P. Morgan
Downloads 203 (177,809)
Citation 31

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backtesting, forecasting performance, mortality models

25.

Financial Risks and the Pension Protection Fund: Can it Survive Them?

Number of pages: 32 Posted: 22 Jun 2007 Last Revised: 24 Jun 2020
John Cotter, David P. Blake and Kevin Dowd
University College Dublin, City, University of London and Nottingham University Business School (NUBS)
Downloads 194 (185,324)
Citation 3

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26.

Financial Sophistication and Pension Plan Decisions

Number of pages: 30 Posted: 11 Feb 2009
Alistair Byrne, David P. Blake and Graham Mannion
University of Edinburgh - Business School, City, University of London and PensionDCisions
Downloads 185 (193,475)
Citation 1

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Pensions, Defined Contribution, Contribution Rates, Investment Choice

Target-Driven Investing: Optimal Investment Strategies in Defined Contribution Pension Plans Under Loss Aversion

Pension Institute Discussion Paper No. PI-1112
Number of pages: 45 Posted: 01 Dec 2011
David P. Blake, Douglas Wright and Yumeng Zhang
City, University of London, City University London - Sir John Cass Business School and Solutions Group, Legal & General Investment Management
Downloads 128 (262,993)
Citation 3

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

Target-Driven Investing: Optimal Investment Strategies in Defined Contribution Pension Plans Under Loss Aversion

Pensions Institute, Discussion Paper PI-1112
Number of pages: 36 Posted: 08 Mar 2016
David P. Blake, Douglas Wright and Yumeng Zhang
City, University of London, City University London - Sir John Cass Business School and Solutions Group, Legal & General Investment Management
Downloads 51 (458,420)
Citation 7

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

28.

Completing the Survivor Derivatives Market: A General Pricing Framework

Pensions Institute Discussion Paper No. PI-0712
Number of pages: 34 Posted: 10 Feb 2009
Kent State University, Nottingham University Business School (NUBS), Heriot-Watt University - Department of Actuarial Science & Statistics and City, University of London
Downloads 172 (206,120)
Citation 1

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29.

The Impact of COVID-19 on Future Higher-Age Mortality

Number of pages: 34 Posted: 12 Jun 2020 Last Revised: 14 Feb 2021
Heriot-Watt University - Department of Actuarial Science & Statistics, City, University of London, Prudential Financial and M Kessler Group
Downloads 153 (227,449)
Citation 4

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

30.
Downloads 152 (228,658)
Citation 4

Informed Intermediation of Longevity Exposures

Number of pages: 24 Posted: 18 Nov 2012
Enrico Biffis and David P. Blake
Imperial College Business School and City, University of London
Downloads 152 (229,154)
Citation 3

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Informed Intermediation of Longevity Exposures

Journal of Risk and Insurance, Vol. 80, Issue 3, pp. 559-584, 2013
Number of pages: 26 Posted: 30 Aug 2013
Enrico Biffis and David P. Blake
Imperial College Business School and City, University of London
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Informed Intermediation of Longevity Exposures

CAREFIN Research Paper No. 17/09
Posted: 08 May 2010
David P. Blake and Enrico Biffis
City, University of London and Imperial College Business School

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31.

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 142 (241,697)
Citation 2

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

32.

Turning Pensions Plans into Pension Planes: What Investment Strategy Designers of Defined Contribution Pension Plans Can Learn from Commercial Aircraft Designers

Number of pages: 86 Posted: 29 Apr 2009
David P. Blake, Andrew J. G. Cairns and Kevin Dowd
City, University of London, Heriot-Watt University - Department of Actuarial Science & Statistics and Nottingham University Business School (NUBS)
Downloads 136 (250,258)
Citation 6

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33.

Quantifying Loss Aversion: Evidence from a UK Population Survey

Pensions Institute Discussion Paper, PI-1912, October 2019
Number of pages: 89 Posted: 16 Mar 2020
David P. Blake, E. S. Cannon and Douglas Wright
City, University of London, University of Bristol - Department of Economics and City University London - Sir John Cass Business School
Downloads 135 (251,707)

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behavioural finance, loss aversion, expected utility, survey data

34.

Evaluating the Goodness of Fit of Stochastic Mortality Models

Number of pages: 53 Posted: 04 May 2009
Nottingham University Business School (NUBS), Heriot-Watt University - Department of Actuarial Science & Statistics, City, University of London, Pacific Global Advisors, J.P. Morgan Chase & Co. and J.P. Morgan
Downloads 135 (251,707)
Citation 21

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goodness of fit, mortality models

35.

Spend More Today: Using Behavioural Economics to Improve Retirement Expenditure Decisions

Pensions Institute Discussions Paper No. PI-1014
Number of pages: 43 Posted: 01 Dec 2011
David P. Blake and Tom Boardman
City, University of London and affiliation not provided to SSRN
Downloads 129 (260,516)
Citation 1

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Behavioural economics, Retirement, Annuities

Age Dependent Investing: Optimal Funding and Investment Strategies in Defined Contribution Pension Plans when Members are Rational Life Cycle Financial Planners

Pensions Institute Discussion Paper No. PI-1111
Number of pages: 46 Posted: 01 Dec 2011
David P. Blake, Douglas Wright and Yumeng Zhang
City, University of London, City University London - Sir John Cass Business School and Solutions Group, Legal & General Investment Management
Downloads 89 (338,851)

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defined contribution pension plan, funding strategy, investment strategy, Epstein-Zin utility, stochastic lifestyling, phased annuitisation, dynamic programming

Age-Dependent Investing: Optimal Funding and Investment Strategies in Defined Contribution Pension Plans When Members are Rational Life Cycle Financial Planners

Pensions Institute, Discussion Paper PI-1111
Number of pages: 46 Posted: 08 Mar 2016
David P. Blake, Douglas Wright and Yumeng Zhang
City, University of London, City University London - Sir John Cass Business School and Solutions Group, Legal & General Investment Management
Downloads 39 (512,363)
Citation 11

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defined contribution pension plan, funding strategy, investment strategy, Epstein-Zin utility, stochastic lifestyling, phased annuitisation, dynamic programming

37.

The Term Structure of Funding Spreads

Number of pages: 40 Posted: 11 Feb 2009
Joachim Inkmann and David P. Blake
University of Melbourne - Department of Finance and City, University of London
Downloads 122 (271,735)
Citation 2

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term structure, funding risk, funding spread, asset-liability management

38.

Longevity Risk and Capital Markets: The 2015-16 Update

Pensions Institute, Working Paper No. 1704
Number of pages: 44 Posted: 26 Oct 2017
City, University of London, Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees, National Chengchi University and University of Claude Bernard Lyon 1 - Institute of Finance and Insurance Science (ISFA)
Downloads 115 (283,504)
Citation 6

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Apocalyptic Demography? Putting Longevity Risk in Perspective

Number of pages: 55 Posted: 19 Feb 2009
David P. Blake
City, University of London
Downloads 107 (299,963)
Citation 4

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Apocalyptic Demography? Putting Longevity Risk in Perspective

The Pensions Regulator, December 2007
Number of pages: 55 Posted: 18 Jun 2020
David P. Blake and John Pickles
City, University of London and City, University of London
Downloads 8 (723,206)

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40.

Brexit and the City

Number of pages: 189 Posted: 31 May 2018
David P. Blake
City, University of London
Downloads 114 (285,239)

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

41.

Longevity: A New Asset Class

Number of pages: 38 Posted: 14 Nov 2018
David P. Blake
City, University of London
Downloads 110 (294,343)
Citation 1

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longevity risk, longevity-linked assets, uncorrelated returns

42.

Longevity Risks and Capital Markets: The 2010-2011 Update

Pension Institute Discussion Paper No. PI-1113
Number of pages: 14 Posted: 01 Dec 2011 Last Revised: 24 Jun 2020
City, University of London, Haute Ecole de Gestion de Genève - University of Applied Sciences Western Switzerland (HES-SO), National Chengchi University and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 99 (314,039)
Citation 1

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43.

Measurement Without Theory: On the Extraordinary Abuse of Economic Models in the EU Referendum Debate

Number of pages: 64 Posted: 08 Aug 2016
David P. Blake
City, University of London
Downloads 93 (326,962)
Citation 2

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44.
Downloads 92 (329,175)
Citation 6

Longevity Hedge Effectiveness: A Decomposition

Pensions Institute Discussion Paper No. PI-1106
Number of pages: 36 Posted: 01 Dec 2011
Heriot-Watt University - Department of Actuarial Science & Statistics, City University London - Sir John Cass Business School, City, University of London and Pacific Global Advisors
Downloads 86 (346,391)
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
Heriot-Watt University - Department of Actuarial Science & Statistics, City, University of London, Durham Business School and Pacific Global Advisors
Downloads 6 (739,574)
Citation 3

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

45.

Taking the Long View

Number of pages: 4 Posted: 06 May 2009 Last Revised: 10 Jul 2009
City, University of London, affiliation not provided to SSRN, Heriot-Watt University - Department of Actuarial Science & Statistics and Nottingham University Business School (NUBS)
Downloads 89 (336,035)
Citation 2

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How Bright Are the Prospects for UK Trade and Prosperity Post-Brexit?

Number of pages: 93 Posted: 15 Apr 2020 Last Revised: 17 Apr 2020
David P. Blake
City, University of London
Downloads 46 (479,559)

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

How Bright are the Prospects for UK Trade and Prosperity Post-Brexit?

Number of pages: 55 Posted: 31 May 2018
David P. Blake
City, University of London
Downloads 35 (532,781)

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

47.

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 80 (358,365)
Citation 13

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48.

We Need a National Narrative: Building a Consensus Around Retirement Income

Independent Review of Retirement Income, 2016
Number of pages: 606 Posted: 24 Mar 2016
David P. Blake
City, University of London
Downloads 76 (369,076)

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49.

Nudges and Networks: How to Use Behavioral Economics to Improve the Life Cycle Savings-Consumption Balance

Pensions Institute, DISCUSSION PAPER PI-2009, June 2020
Number of pages: 14 Posted: 02 Jul 2020
David P. Blake
City, University of London
Downloads 65 (401,852)

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nudges, networks, bwhavioural finance, retirement spending

50.

Annuities & Accessibilility: How the Industry Can Empower Consumers to Make Rational Choices

Number of pages: 45 Posted: 19 Feb 2009
Debbie Harrison, Alistair Byrne and David P. Blake
City University London - Sir John Cass Business School, University of Edinburgh - Business School and City, University of London
Downloads 65 (401,852)
Citation 10

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51.

Pyrrhic Victory? The Unintended Consequences of the Pensions Act 2004

Number of pages: 55 Posted: 19 Feb 2009
City University London - Sir John Cass Business School, University of Edinburgh - Business School, Pendragon PLC and City, University of London
Downloads 63 (408,378)
Citation 4

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Mental Time Travel and the Valuation of Financial Investments

Pensions Institute Discussion Paper PI-1403
Number of pages: 20 Posted: 25 Oct 2017
David P. Blake and John Pickles
City, University of London and City, University of London
Downloads 49 (466,590)

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

Mental Time Travel and the Valuation of Financial Investments

Journal of Behavioral Finance, 2021
Number of pages: 22 Posted: 12 Mar 2021
David P. Blake and John Pickles
City, University of London and City, University of London
Downloads 13 (683,224)

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

53.

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

Number of pages: 20 Posted: 16 Mar 2020
David P. Blake
City, University of London
Downloads 60 (418,381)
Citation 1

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

Striking Similarities: The Origins of the European Economic Community

Number of pages: 18 Posted: 07 Jul 2020
David P. Blake
City, University of London
Downloads 50 (462,554)

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European Economic Community, European Economic Community

Striking Similarities: The Origins of the European Economic Community

Advances in Politics and Economics, Vol. 4, No. 1, 2021
Number of pages: 19 Posted: 16 Feb 2021
David P. Blake
City, University of London
Downloads 9 (715,281)

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Origins of the European Economic Community, University of Berlin 1942, European Union

55.

What Should Be Done About the Underfunding of Defined Benefit Pension Schemes? A Case Study of Ireland

Number of pages: 42 Posted: 04 Mar 2014
John Cotter, David P. Blake and Kevin Dowd
University College Dublin, City, University of London and Nottingham University Business School (NUBS)
Downloads 56 (432,339)
Citation 1

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Defined Benefit Pension Schemes, Funding, Government Insurance Schemes

Phantoms Never Die: Living with Unreliable Population Data

Journal of the Royal Statistical Society, 2016
Number of pages: 31 Posted: 22 Mar 2016
Heriot-Watt University - Department of Actuarial Science & Statistics, City, University of London, Nottingham University Business School (NUBS) and Prudential Retirement
Downloads 28 (573,486)

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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
Heriot-Watt University - Department of Actuarial Science & Statistics, City, University of London, City University London - Sir John Cass Business School and Prudential Retirement
Downloads 18 (644,315)
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
Heriot-Watt University - Department of Actuarial Science & Statistics, City, University of London, Durham Business School and Prudential Financial
Downloads 6 (739,574)

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

NDC v. FDC: Pros, Cons and Replication

Number of pages: 12 Posted: 07 Dec 2011
David P. Blake
City, University of London
Downloads 46 (479,559)

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non-financial defined contribution, financial defined contribution

NDC v FDC: Pros, Cons and Replication

Number of pages: 12 Posted: 22 Jun 2020
David P. Blake
City, University of London
Downloads 4 (756,422)

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58.

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 47 (466,587)

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mortality, fan charts, longevity risk, parameter risk

59.

The UK Is the Eurozone’s Dumping Ground

Number of pages: 23 Posted: 14 Apr 2020 Last Revised: 14 Feb 2021
David P. Blake
City, University of London
Downloads 46 (470,767)

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euro, purchasing power parity, dumping

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

Number of pages: 86 Posted: 14 Nov 2018
City, University of London, Heriot-Watt University - Department of Actuarial Science & Statistics, City University London - Sir John Cass Business School and Prudential Retirement
Downloads 25 (593,620)
Citation 9

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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: 16 Mar 2020
City, University of London, Heriot-Watt University - Department of Actuarial Science & Statistics, Durham Business School and Prudential Financial
Downloads 8 (723,206)

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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

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

Number of pages: 86 Posted: 12 Mar 2021
City, University of London, Heriot-Watt University - Department of Actuarial Science & Statistics, Durham Business School and Prudential Financial
Downloads 6 (739,574)

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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

61.

Delivering DC? Barriers to Participation in the Company-Sponsored Pensions Market

Number of pages: 69 Posted: 18 Feb 2009
Debbie Harrison, Alistair Byrne and David P. Blake
City University London - Sir John Cass Business School, University of Edinburgh - Business School and City, University of London
Downloads 35 (520,492)
Citation 3

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62.

Longevity Bonds: Financial Engineering, Valuation, and Hedging

Journal of Risk & Insurance, Vol. 73, No. 4, pp. 647-672, December 2006
Number of pages: 26 Posted: 29 Nov 2006
City, University of London, Nottingham University Business School (NUBS), Heriot-Watt University - Department of Actuarial Science & Statistics and National Chengchi University
Downloads 34 (525,584)
Citation 6
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63.

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 31 (541,207)
Citation 35
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64.

Grouping Individual Investment Preferences in Retirement Savings: A Cluster Analysis of a USS Members Risk Attitude Survey

Pensions Institute Discussion Paper, PI-2003, February 2020
Number of pages: 48 Posted: 16 Mar 2020
City, University of London, affiliation not provided to SSRN, University of Bristol, University of Edinburgh Business School, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 30 (546,629)

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

65.

Improved Inference in the Evaluation of Mutual Fund Performance Using Panel Bootstrap Methods

Pensions Institute, Discussion Paper PI-1405
Number of pages: 28 Posted: 22 Mar 2016
City, University of London, University College London, University of Bath-Department of Economics and University of Bristol
Downloads 30 (546,629)
Citation 4

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

66.

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 29 (552,199)

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67.

Independent Review of Retirement Income: Consultation

Independent Review of Retirement Income, 2016
Number of pages: 105 Posted: 24 Mar 2016 Last Revised: 24 Jun 2020
E. S. Cannon and David P. Blake
University of Bristol - Department of Economics and City, University of London
Downloads 26 (570,053)
Citation 4

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Decentralized Investment Management: Evidence from the Pension Fund Industry

CEPR Discussion Paper No. DP7679
Number of pages: 57 Posted: 10 Feb 2010
David P. Blake, Allan Timmermann, Ian Tonks and Russ Wermers
City, University of London, UCSD, University of Bristol and University of Maryland - Robert H. Smith School of Business
Downloads 15 (667,305)
Citation 3
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asset management, decentralized management, pension funds, principal agent problems

Decentralized Investment Management: Evidence from the Pension Fund Industry

Number of pages: 56 Posted: 22 Jun 2020
City, University of London, Georgetown University, UCSD, University of Bristol and University of Maryland - Robert H. Smith School of Business
Downloads 11 (699,276)
Citation 5

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69.

Survivor Swaps

Journal of Risk and Insurance, Vol. 73, No. 1, pp. 1-17, March 2006
Number of pages: 17 Posted: 08 May 2006
Nottingham University Business School (NUBS), City, University of London, Heriot-Watt University - Department of Actuarial Science & Statistics and Kent State University
Downloads 26 (570,053)
Citation 8
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70.

A General Procedure for Constructing Mortality Models

Pensions Institute, Discussion Paper PI-1301
Number of pages: 53 Posted: 22 Mar 2016
Andrew Hunt and David P. Blake
City University London - Sir John Cass Business School and City, University of London
Downloads 25 (576,381)
Citation 9

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

71.

Pyrrhic Victory? The Unintended Consequence of the Pensions Act 2004

Economic Affairs, Vol. 26, No. 2, pp. 9-16, June 2006
Number of pages: 8 Posted: 30 May 2006
University of Edinburgh - Business School, City University London - Sir John Cass Business School, City, University of London and Pendragon PLC
Downloads 25 (576,381)
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72.

Fund Flows, Manager Change and Performance Persistence

Number of pages: 65 Posted: 22 Jun 2020
Justus-Liebig-University Giessen, City, University of London, Justus-Liebig-University Giessen and University of Bristol
Downloads 23 (589,236)

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Mutual funds, performance persistence, fund flows, manager changes

73.

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

Number of pages: 41 Posted: 22 May 2019 Last Revised: 01 Jun 2020
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 23 (589,236)
Citation 1

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

74.

The Valuation of No-Negative Equity Guarantees and Equity Release Mortgages

Pensions Institute Discussion Paper, PI-1911, September 2019
Number of pages: 11 Posted: 16 Mar 2020
Kevin Dowd, David P. Blake, Dean Buckner and John Fry
Durham Business School, City, University of London, affiliation not provided to SSRN and Manchester Metropolitan University
Downloads 22 (602,414)
Citation 1

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

75.

International Asset Allocation with Time-Varying Investment Opportunities

Number of pages: 39 Posted: 04 Sep 2002
Allan Timmermann and David P. Blake
UCSD and City, University of London
Downloads 21 (602,414)
Citation 4
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International asset allocation, market timing, UK pension funds, investment performance

76.

Spend More Today Safely: Using Behavioural Economics to Improve Retirement Expenditure Decisions

Number of pages: 34 Posted: 22 Jun 2020
David P. Blake and Tom Boardman
City, University of London and City University London - Sir John Cass Business School
Downloads 20 (609,082)

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77.

Modelling Longevity Bonds: Analysing the Swiss Re Kortis Bond

Pensions Institute, DISCUSSION PAPER PI-1504, 2015
Number of pages: 58 Posted: 23 Jun 2020
Andrew Hunt and David P. Blake
City University London - Sir John Cass Business School and City, University of London
Downloads 19 (615,768)
Citation 4

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Mortality Modelling, Age/Period/Cohort Models, General Procedure, Co-integration, Cohort Effects, Kortis Bond

78.

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 17 (658,005)

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Longevity risk, life market, capital markets

79.

CBDX: A Workhorse Mortality Model from the Cairns-Blake-Dowd Family

Pensions Institute Discussion Paper, PI-2002, January 2020
Number of pages: 21 Posted: 16 Mar 2020
Kevin Dowd, Andrew Cairns and David P. Blake
City University London - Sir John Cass Business School, affiliation not provided to SSRN and City, University of London
Downloads 17 (629,401)
Citation 2

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

80.

After VAR: The Theory, Estimation, and Insurance Applications of Quantile-Based Risk Measures

Journal of Risk & Insurance, Vol. 73, No. 2, pp. 193-229, June 2006
Number of pages: 37 Posted: 30 May 2006
Kevin Dowd and David P. Blake
Nottingham University Business School (NUBS) and City, University of London
Downloads 17 (629,401)
Citation 1
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81.

Managing Euro Risk

Number of pages: 140 Posted: 29 Jun 2020
Barney Reynolds, David P. Blake and Bob Lyddon
affiliation not provided to SSRN, City, University of London and affiliation not provided to SSRN
Downloads 16 (636,336)

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82.

Identifiability in Age/Period/Cohort Mortality Models

Pensions Institute Discussion Paper, PI-1509, September 2015
Number of pages: 65 Posted: 16 Mar 2020
Andrew Hunt and David P. Blake
City University London - Sir John Cass Business School and City, University of London
Downloads 16 (636,336)
Citation 7

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

83.

The Real Lessons of the Global Banking Crisis

Number of pages: 10 Posted: 23 Jun 2020
David P. Blake
City, University of London
Downloads 15 (643,435)

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Global Banking Crisis

84.

Pension Plan Decisions

Number of pages: 33 Posted: 22 Jun 2020
Alistair Byrne, David P. Blake and Graham Mannion
University of Edinburgh - Business School, City, University of London and PensionDCisions
Downloads 15 (643,435)

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Pensions; Defined Contribution; Contribution Rates; Investment Choice; Behavioural Biases

85.

UK Pension Fund Management: How is Asset Allocation Influenced by the Valuation of Liabilities?

Number of pages: 49 Posted: 19 Jun 2020
David P. Blake
City, University of London
Downloads 15 (643,435)

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86.

Improving Security and Flexibility in Retirement

Number of pages: 101 Posted: 18 Jun 2020
David P. Blake and Robert Hudson
City, University of London and Hull University Business School (HUBS)
Downloads 14 (650,636)
Citation 1

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87.

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 13 (658,005)

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

88.

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
Pacific Global Advisors, City, University of London, National Chengchi University, Heriot-Watt University - Department of Actuarial Science & Statistics and Durham Business School
Downloads 11 (672,646)
Citation 1

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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 3 (765,600)

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90.

On the Structure and Classification of Mortality Models

Pensions Institute Discussion Paper, PI-1506, August 2015
Number of pages: 43 Posted: 16 Mar 2020
Andrew Hunt and David P. Blake
City University London - Sir John Cass Business School and City, University of London
Downloads 11 (672,646)
Citation 6

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

91.

On the Disclosure of the Costs of Investment Management

Number of pages: 13 Posted: 23 Jun 2020
David P. Blake
City, University of London
Downloads 10 (679,941)

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92.

The consequences of not having to buy an annuity

Number of pages: 15 Posted: 22 Jun 2020
David P. Blake
City, University of London
Downloads 10 (679,941)

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93.

Chapter 2: ‘How to Ensure That Savers Can Get the Best Products in Retirement’

“We Need a National Narrative: Building a Consensus around Retirement Income”, Report of the Independent Review of Retirement Income, 2016
Number of pages: 139 Posted: 10 Jul 2020
David P. Blake
City, University of London
Downloads 9 (687,358)

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94.

The Simple Economics of Funded and Unfunded Pension Systems

Number of pages: 10 Posted: 10 Jul 2020
David P. Blake and J. Michael Orszag
City, University of London and affiliation not provided to SSRN
Downloads 9 (687,358)

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95.

A Healthier Way to De-Risk: The Introduction of Medical Underwriting to the Defined Benefit De-Risking Market

Number of pages: 59 Posted: 18 Jun 2020
Debbie Harrison and David P. Blake
affiliation not provided to SSRN and City, University of London
Downloads 9 (687,358)
Citation 2

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96.

On the Projection of Mortality Rates to Extreme Old Age

Pensions Institute Discussion Paper, PI-1909, December 2019
Number of pages: 10 Posted: 16 Mar 2020
Kevin Dowd and David P. Blake
Durham Business School and City, University of London
Downloads 9 (687,358)
Citation 1

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

Good Practice Principles in Modelling Defined Contribution Pension Plans

Number of pages: 25 Posted: 22 Jun 2020
Kevin Dowd and David P. Blake
Durham Business School and City, University of London
Downloads 9 (715,281)

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Good Practice Principles in Modelling Defined Contribution Pension Plans

Posted: 22 Mar 2016
David P. Blake and Kevin Dowd
City, University of London and Nottingham University Business School (NUBS)

Abstract:

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98.

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
Pacific Global Advisors, J.P. Morgan, affiliation not provided to SSRN, affiliation not provided to SSRN, Heriot-Watt University - Department of Actuarial Science & Statistics, City, University of London and City University London - Sir John Cass Business School
Downloads 8 (694,674)
Citation 9

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

99.

Chapter 1: 'Introduction'

“We Need a National Narrative: Building a Consensus around Retirement Income”, Report of the Independent Review of Retirement Income, 2016
Number of pages: 33 Posted: 10 Jul 2020
David P. Blake
City, University of London
Downloads 8 (694,674)

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100.

Chapter 3: ‘Supporting Savers to Make the Right Choice at Retirement for Them and Their Family and How to Build on the Lessons of Auto-Enrolment’

“We Need a National Narrative: Building a Consensus around Retirement Income”, Report of the Independent Review of Retirement Income, 2016
Number of pages: 239 Posted: 10 Jul 2020
David P. Blake
City, University of London
Downloads 8 (694,674)

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101.

International Investment Performance: Evidence from Institutional Investors’ Foreign Equity Holdings

Number of pages: 44 Posted: 10 Jul 2020
Allan Timmermann and David P. Blake
UCSD and City, University of London
Downloads 8 (694,674)
Citation 1

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102.

Annuities and Accessibility – How the Industry Can Empower Consumers to Make Rational Choices

Harrison, Byrne, and Blake 2006, Pensions Institute
Number of pages: 45 Posted: 18 Jun 2020
Debbie Harrison, Alistair Byrne and David P. Blake
affiliation not provided to SSRN, University of Edinburgh - Business School and City, University of London
Downloads 8 (694,674)

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103.

Chapter 6: ‘The Role of Collective Pension Schemes and How These Could Be Introduced in the UK’

“We Need a National Narrative: Building a Consensus around Retirement Income”, Report of the Independent Review of Retirement Income, 2016
Number of pages: 49 Posted: 10 Jul 2020
David P. Blake
City, University of London
Downloads 7 (702,091)

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104.

Lost Pensions, Lost Pensioners: Is a National Registry of Pension Plans the Answer?

Number of pages: 27 Posted: 19 Jun 2020
David P. Blake and John A. Turner
City, University of London and Pension Policy Center
Downloads 7 (702,091)
Citation 1

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105.

Returning to the Core: Rediscovering a Role for Real Estate in Defined Contribution Pension Schemes

Pensions Institute, 2013
Number of pages: 104 Posted: 19 Jun 2020
Debbie Harrison, David P. Blake and Tony Key
affiliation not provided to SSRN, City, University of London and City University London - Faculty of Finance
Downloads 7 (702,091)

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106.

Delivering DC? Barriers to Participation in the Company-Sponsored Pensions Market

Pensions Institute, 2004
Number of pages: 69 Posted: 18 Jun 2020
Debbie Harrison, Alistair Byrne and David P. Blake
affiliation not provided to SSRN, University of Edinburgh - Business School and City, University of London
Downloads 7 (702,091)

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107.

Caveat Venditor: The brave new world of auto-enrolment should be governed by the principle of seller not buyer beware

Pensions Institute, 2012
Number of pages: 40 Posted: 18 Jun 2020
Debbie Harrison, David P. Blake and Kevin Dowd
affiliation not provided to SSRN, City, University of London and Durham Business School
Downloads 7 (702,091)

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108.

Forward Mortality Rates in Discrete Time II: Longevity Risk and Hedging Strategies

Pensions Institute Discussion Paper, PI-1602, January 2016
Number of pages: 48 Posted: 16 Mar 2020
Andrew Hunt and David P. Blake
City University London - Sir John Cass Business School and City, University of London
Downloads 7 (702,091)
Citation 5

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

109.

Financial System Requirements for Successful Pension Reform

Number of pages: 42 Posted: 10 Jul 2020
David P. Blake
City, University of London
Downloads 6 (709,727)

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funded pension scheme, defined benefit, defined contribution, fund management, performance measurement, annuities

110.

Basis Risk and Pensions Schemes: A Relative Modelling Approach.

Number of pages: 65 Posted: 24 Jun 2020
Andrew Hunt and David P. Blake
City University London - Sir John Cass Business School and City, University of London
Downloads 6 (709,727)
Citation 1

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Mortality modelling, age/period/cohort models, relative models, longevity basis risk

111.

How Do Savers Think About and Respond to Risk? Evidence From a Population Survey and Lessons for the Investment Industry

Pensions Institute, 2014
Number of pages: 40 Posted: 19 Jun 2020
David P. Blake and Alistair Haig
City, University of London and University of Edinburgh Business School
Downloads 6 (709,727)

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112.

Ending Compulsory Annuitisation: Quantifying the Consequences

Pensions Institute, 2010
Number of pages: 61 Posted: 19 Jun 2020
David P. Blake, E. S. Cannon and Ian Tonks
City, University of London, University of Bristol - Department of Economics and University of Bristol
Downloads 6 (709,727)

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114.

Forward Mortality Rates in Discrete Time I: Calibration and Securities Pricing

Pensions Institute Discussion Paper, PI-1511, September 2015
Number of pages: 57 Posted: 16 Mar 2020
Andrew Hunt and David P. Blake
City University London - Sir John Cass Business School and City, University of London
Downloads 6 (709,727)
Citation 3

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

115.

Chapter 4: ‘Helping Savers to Manage Longevity Risk’

“We Need a National Narrative: Building a Consensus around Retirement Income”, Report of the Independent Review of Retirement Income , 2016
Number of pages: 33 Posted: 10 Jul 2020
David P. Blake
City, University of London
Downloads 5 (717,268)

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116.

The Meaning of Life: An Uncertain Future for the Traditional Life Company Business Model in the UK’s Private Sector Pensions Market

Pensions Institute Report, 2015
Number of pages: 95 Posted: 18 Jun 2020
Debbie Harrison and David P. Blake
affiliation not provided to SSRN and City, University of London
Downloads 5 (717,268)

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117.

Identifiability in Age/Period Mortality Models

Pensions Institute Discussion Paper, PI-1508, July 2015
Number of pages: 68 Posted: 16 Mar 2020
Andrew Hunt and David P. Blake
City University London - Sir John Cass Business School and City, University of London
Downloads 5 (717,268)
Citation 4

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mortality modelling, age/period models, identification, projection

118.

Chapter 7: 'Conclusion: Developing a National Narrative'

“We Need a National Narrative: Building a Consensus around Retirement Income”, Report of the Independent Review of Retirement Income, 2016
Number of pages: 58 Posted: 10 Jul 2020
David P. Blake
City, University of London
Downloads 4 (725,089)

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119.

Keeping Some Skin in the Game: How to Start a Capital Market in Longevity Risk Transfers

Pensions Institute Discussion Paper PI-1207
Number of pages: 20 Posted: 23 Jun 2020
Enrico Biffis and David P. Blake
Imperial College Business School and City, University of London
Downloads 4 (725,089)
Citation 4

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120.

Ending Compulsory Annuitisation: What Are the Consequences?

Pensions Institute, 2010
Number of pages: 29 Posted: 19 Jun 2020
David P. Blake, E. S. Cannon and Ian Tonks
City, University of London, University of Bristol - Department of Economics and University of Bristol
Downloads 4 (725,089)

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121.

Bringing Black Box Thinking to the Pensions Industry

Pensions Institute, February 2018
Number of pages: 28 Posted: 18 Jun 2020
David P. Blake and Matthew Roy
City, University of London and affiliation not provided to SSRN
Downloads 4 (725,089)

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122.

Portability and Preservation of Pension Rights in the United Kingdom

Number of pages: 121 Posted: 18 Jun 2020
David P. Blake and J. Michael Orszag
City, University of London and affiliation not provided to SSRN
Downloads 4 (725,089)
Citation 1

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123.

An Evaluation of Investment Governance in London Local Government Pension Schemes: A Discussion Paper for Stakeholders to the London Funds

Cass Business School Discussion Paper, 2012
Number of pages: 42 Posted: 18 Jun 2020
Debbie Harrison and David P. Blake
affiliation not provided to SSRN and City, University of London
Downloads 4 (725,089)

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124.
Downloads 4 (725,089)

Abstract:

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125.

What is a Promise from the Government Worth? Quantifying Political Risk in State and Personal Pension Schemes in the United Kingdom

Economica, Vol. 75, Issue 298, pp. 342-361, May 2008
Number of pages: 20 Posted: 07 Apr 2008
David P. Blake
City, University of London
Downloads 4 (725,089)
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126.

The Good, the Bad and the Healthy: The Medical Underwriting Revolution in the Defined Benefit De-Risking Market

Number of pages: 86 Posted: 10 Jul 2020
Andrew Hunt and David P. Blake
City University London - Sir John Cass Business School and City, University of London
Downloads 3 (733,376)
Citation 2

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127.

VfM: Assessing Value for Money in Defined Contribution Default Funds

Pensions Institute, 2014
Number of pages: 76 Posted: 19 Jun 2020
Debbie Harrison, David P. Blake and Kevin Dowd
affiliation not provided to SSRN, City, University of London and Durham Business School
Downloads 3 (733,376)

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128.

Pyrrhic Victory? The Unintended Consequences of the UK Pensions Act 2004

Pensions Institute, 2005
Number of pages: 55 Posted: 19 Jun 2020
affiliation not provided to SSRN, University of Edinburgh - Business School, affiliation not provided to SSRN and City, University of London
Downloads 3 (733,376)

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129.

Greatest Good 2: Response to the Department for Work & Pensions Green Paper 'Security and Sustainability in Defined Benefit Pension Schemes'

Number of pages: 64 Posted: 18 Jun 2020
David P. Blake and Matthew Roy
City, University of London and affiliation not provided to SSRN
Downloads 3 (733,376)

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130.
Downloads 3 (733,376)

Abstract:

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131.

The Greatest Good for the Greatest Number: An Examination of Early Intervention Strategies for Trustees and Sponsoring Employers of Stressed Defined Benefit Schemes

Number of pages: 34 Posted: 18 Jun 2020
Debbie Harrison and David P. Blake
affiliation not provided to SSRN and City, University of London
Downloads 3 (733,376)

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132.

A Bayesian Approach to Modelling and Projecting Cohort Effects

Pensions Institute Discussion Paper, PI-1510, September 2015
Number of pages: 43 Posted: 16 Mar 2020
Andrew Hunt and David P. Blake
City University London - Sir John Cass Business School and City, University of London
Downloads 3 (733,376)
Citation 5

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

133.
Downloads 3 (733,376)
Citation 22

Survivor Derivatives: A Consistent Pricing Framework

Journal of Risk and Insurance, Vol. 77, Issue 3, pp. 579-596, September 2010
Number of pages: 18 Posted: 04 Aug 2010
Kent State University, City University London - Sir John Cass Business School, Heriot-Watt University - Department of Actuarial Science & Statistics and City, University of London
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Citation 4
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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
Kent State University, City University London - Sir John Cass Business School, Heriot-Watt University - Department of Actuarial Science & Statistics and City, University of London
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Citation 8
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134.

Chapter 5: ‘The Role of the National Employment Savings Trust in Helping Savers to Access Good Quality Retirement Products’

"We Need a National Narrative: Building a Consensus around Retirement Income", Report of the Independent Review of Retirement Income, 2016
Number of pages: 23 Posted: 10 Jul 2020
David P. Blake
City, University of London
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135.

Identifiability, Cointegration and the Gravity Model

Pensions Institute Discussion Paper, PI-1505, July 2017
Number of pages: 28 Posted: 16 Mar 2020
Andrew Hunt and David P. Blake
City University London - Sir John Cass Business School and City, University of London
Downloads 2 (743,400)
Citation 3

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

136.

Managing Financially Distressed Pension Plans in the Interest of Beneficiaries

Journal of Risk and Insurance, Vol. 84, Issue 2, pp. 539-565, 2017
Number of pages: 27 Posted: 15 May 2017
Joachim Inkmann, David P. Blake and Zhen Shi
University of Melbourne - Department of Finance, City, University of London and University of Melbourne
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137.

The New Life Market

Journal of Risk and Insurance, Vol. 80, Issue 3, pp. 501-558, 2013
Number of pages: 58 Posted: 30 Aug 2013
City, University 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
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Citation 9
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138.

Spend More Today Safely: Using Behavioral Economics to Improve Retirement Expenditure Decisions with SPEEDOMETER Plans

Risk Management and Insurance Review, Vol. 17, Issue 1, pp. 83-112, 2014
Number of pages: 30 Posted: 04 Mar 2014
David P. Blake and Tom Boardman
City, University of London and City University London - Sir John Cass Business School
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Citation 1
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139.

A Gravity Model of Mortality Rates for Two Related Populations

North American Actuarial Journal, Vol. 15, No. 2, 2011
Posted: 24 Jan 2012
City University London - Sir John Cass Business School, Heriot-Watt University - Department of Actuarial Science & Statistics, City, University of London, Pacific Global Advisors and J.P. Morgan

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140.

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

141.

Default Funds in U.K. Defined-Contribution Plans

Financial Analysts Journal, Vol. 63, No. 4, pp. 40-51, July/August 2007
Posted: 25 Jul 2007
University of Edinburgh - Business School, Nottingham University Business School (NUBS), City, University of London and Heriot-Watt University - Department of Actuarial Science & Statistics

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Private Wealth Management, Asset Allocation, Portfolio Management, Other

142.

Asset Allocation Dynamics and Pension Fund Performance

The Journal of Business, Vol. 72, No. 4, October 1999, Cass Business School Research Paper
Posted: 11 Feb 2000
Allan Timmermann, Bruce N. Lehmann and David P. Blake
UCSD, University of California, San Diego and City, University of London

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143.

The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis

UCSD Economics Discussion Paper 98-11, Cass Business School Research Paper
Posted: 20 Aug 1998
Asger Lunde, David P. Blake and Allan Timmermann
Aarhus University - School of Business and Social Sciences, City, University of London and UCSD

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