David Blake

Available identifiers

List of research outcomes

Publication	Date of Publication	Type
A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States	2022-02-11	Paper
Hedging Annuity Risks with the Age-Period-Cohort Two-Population Gravity Model	2021-04-28	Paper
On the Structure and Classification of Mortality Models	2021-04-28	Paper
A Bayesian Approach to Modeling and Projecting Cohort Effects	2021-04-28	Paper
Forward Mortality Rates in Discrete Time I: Calibration and Securities Pricing	2021-04-28	Paper
Forward Mortality Rates in Discrete Time II: Longevity Risk and Hedging Strategies	2021-04-28	Paper
MODELLING SOCIO-ECONOMIC DIFFERENCES IN MORTALITY USING A NEW AFFLUENCE INDEX	2019-11-22	Paper
Fund Flows, Manager Changes, and Performance Persistence*	2019-10-25	Paper
The valuation of no-negative equity guarantees and equity release mortgages	2019-10-11	Paper
Keeping Some Skin in the Game: How to Start a Capital Market in Longevity Risk Transfers	2019-05-15	Paper
A General Procedure for Constructing Mortality Models	2019-05-15	Paper
Sharing Longevity Risk: Why Governments Should Issue Longevity Bonds	2019-05-15	Paper
Age-dependent investing: optimal funding and investment strategies in defined contribution pension plans when members are rational life cycle financial planners	2018-11-01	Paper
MODELLING MORTALITY FOR PENSION SCHEMES	2018-06-04	Paper
Identifiability, cointegration and the gravity model	2018-02-15	Paper
https://portal.mardi4nfdi.de/entity/Q4586566	2017-10-27	Paper
Target-driven investing: optimal investment strategies in defined contribution pension plans under loss aversion	2016-09-22	Paper
Modelling longevity bonds: analysing the Swiss Re Kortis bond	2015-08-20	Paper
Improved inference in the evaluation of mutual fund performance using panel bootstrap methods	2014-11-24	Paper
Longevity hedge effectiveness: a decomposition	2014-09-05	Paper
Longevity risk and capital markets: the 2008-2009 update	2012-02-10	Paper
Securitizing and tranching longevity exposures	2012-02-10	Paper
Evaluating the goodness of fit of stochastic mortality models	2012-02-10	Paper
A Computationally Efficient Algorithm for Estimating the Distribution of Future Annuity Values Under Interest-Rate and Longevity Risks	2011-12-21	Paper
A Gravity Model of Mortality Rates for Two Related Populations	2011-12-21	Paper
Modelling and management of mortality risk: a review	2011-02-22	Paper
Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk	2009-06-15	Paper
Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans	2008-11-25	Paper
https://portal.mardi4nfdi.de/entity/Q3515751	2008-07-29	Paper
Longevity risk and the Grim Reaper's toxic tail: The survivor fan charts	2008-06-25	Paper
Mortality-dependent financial risk measures	2006-08-14	Paper
Take (smoothed) risks when you are young, not when you are old: How to get the best from your pension plan	2004-08-16	Paper
Pensionmetrics 2: Stochastic pension plan design during the distribution phase.	2003-11-16	Paper
Pensionmetrics: Stochastic pension plan design and value-at-risk during the accumulation phase	2002-07-02	Paper
Mutual Fund Performance: Evidence from the UK	2000-06-01	Paper
Pension schemes as options on pension fund assets: implications for pension fund management	1999-03-28	Paper

Research outcomes over time

Doctoral students

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