IDEAS home Printed from https://ideas.repec.org/e/pbl129.html
   My authors  Follow this author

David Blake

Personal Details

First Name:David
Middle Name:
Last Name:Blake
Suffix:
RePEc Short-ID:pbl129
[This author has chosen not to make the email address public]
http://www.pensions-institute.org/

Affiliation

Faculty of Finance
Bayes Business School
City University

London, United Kingdom
https://www.bayes.city.ac.uk/faculties-and-research/finance
RePEc:edi:ffcituk (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters Books

Working papers

  1. David Blake & Nicole El Karoui & Stéphane Loisel & Richard Macminn, 2018. "Longevity risk and capital markets: The 2015–16 update," Post-Print hal-01995778, HAL.
  2. Andrew J.G. Cairns & Malene Kallestrup-Lamb & Carsten P.T. Rosenskjold & David Blake & Kevin Dowd, 2016. "Modelling Socio-Economic Differences in the Mortality of Danish Males Using a New Affluence Index," CREATES Research Papers 2016-14, Department of Economics and Business Economics, Aarhus University.
  3. Rossi, Alberto G. & Blake, David & Timmermann, Allan & Tonks, Ian & Wermers, Russ, 2015. "Network centrality and pension fund performance," CFR Working Papers 15-16, University of Cologne, Centre for Financial Research (CFR).
  4. John Cotter & David Blake & Kevin Dowd, 2012. "What Should Be Done About The Underfunding of Defined Benefit Pension Schemes?," Working Papers 201202, Geary Institute, University College Dublin.
  5. Blake, David & Biffs, Enrico, 2012. "Keeping Some Skin in the Game: How to Start a Capital Market in Longevity Risk Transfers," MPRA Paper 44680, University Library of Munich, Germany.
  6. David Blake & John Cotter & Kevin Dowd, 2011. "Financial Risks and the Pension Protection Fund: Can it Survive Them?," Papers 1103.5978, arXiv.org.
  7. Coughlan, Guy & Khalaf-Allah, Marwa & Ye, Yijing & Kumar, Sumit & Cairns, Andrew & Blake, David & Dowd, Kevin, 2011. "Longevity hedging 101: A framework for longevity basis risk analysis and hedge effectiveness," MPRA Paper 35743, University Library of Munich, Germany.
  8. Dowd, Kevin & Cairns, Andrew & Blake, David & Coughlan, Guy & Khalaf-Allah, Marwa, 2011. "A gravity model of mortality rates for two related populations," MPRA Paper 35738, University Library of Munich, Germany.
  9. Blake, David & Wright, Douglas & Zhang, Yumeng, 2011. "Age dependent investing: Optimal funding and investment strategies in defined contribution pension plans when members are rational life cycle financial planners," MPRA Paper 34277, University Library of Munich, Germany.
  10. Cairns, Andrew & Dowd, Kevin & Blake, David & Coughlan, Guy, 2011. "Longevity hedge effectiveness: a decomposition," MPRA Paper 34236, University Library of Munich, Germany.
  11. Blake, David & Wright, Douglas & Zhang, Yumeng, 2011. "Target-driven investing: Optimal investment strategies in defined contribution pension plans under loss aversion," MPRA Paper 34278, University Library of Munich, Germany.
  12. Blake, David & Brockett, Patrick & Cox, Samuel & MacMinn, Richard, 2011. "Longevity risk and capital markets: The 2009-2010 update," MPRA Paper 28868, University Library of Munich, Germany.
  13. Biffis, Enrico & Blake, David & Pitotti, Lorenzo & Sun, Ariel, 2011. "The cost of counterparty risk and collateralization in longevity swaps," MPRA Paper 35740, University Library of Munich, Germany.
  14. Blake, David & Courbage, Christophe & MacMinn, Richard & Sherris, Michael, 2011. "Longevity risks and capital markets: The 2010-2011 update," MPRA Paper 34279, University Library of Munich, Germany.
  15. Blake, David & Boardman, Tom, 2010. "Spend more today: Using behavioural economics to improve retirement expenditure decisions," MPRA Paper 34234, University Library of Munich, Germany.
  16. Anthony Webb & Shenyi Jiang & Wei Sun, 2010. "Did the Housing Boom Increase Household Spending," Issues in Brief ib2010-10, Center for Retirement Research, revised Jul 2010.
  17. Bessler, Wolfgang & Blake, David & Lückoff, Peter & Tonks, Ian, 2010. "Why does mutual fund performance not persist? The impact and interaction of fund flows and manager changes," MPRA Paper 34185, University Library of Munich, Germany.
  18. Blake, David & Boardman, Tom & Cairns, Andrew, 2010. "Sharing longevity risk: Why governments should issue longevity bonds," MPRA Paper 34184, University Library of Munich, Germany.
  19. Blake, David & Tonks, Ian & Timmermann, Allan & Wermers, Russ, 2010. "Decentralized Investment Management: Evidence from the Pension Fund Industry," CEPR Discussion Papers 7679, C.E.P.R. Discussion Papers.
  20. Blake, David, 2009. "NDC v FDC: Pros, cons and replication," MPRA Paper 33752, University Library of Munich, Germany.
  21. Blake, David & Cairns, Andrew & Dowd, Kevin, 2008. "Turning pension plans into pension planes: What investment strategy designers of defined contribution pension plans can learn from commercial aircraft designers," MPRA Paper 33749, University Library of Munich, Germany.
  22. Inkmann, Joachim & Blake, David, 2004. "Liability valuation and optimal asset allocation," LSE Research Online Documents on Economics 24754, London School of Economics and Political Science, LSE Library.
  23. Byrne, Alistair & Harrison, Debbie & Blake, David, 2004. "Barriers to pension scheme participation in small and medium sized enterprises," LSE Research Online Documents on Economics 24820, London School of Economics and Political Science, LSE Library.
  24. Cairns, Andrew J. G. & Blake, David & Dowd, Kevin, 2004. "Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans," LSE Research Online Documents on Economics 24831, London School of Economics and Political Science, LSE Library.
  25. Blake, David, 2003. "UK pension fund management after Myners: the hunt for correlation begins," LSE Research Online Documents on Economics 24833, London School of Economics and Political Science, LSE Library.
  26. Dowd, Kevin & Blake, David & Cairns, Andrew, 2003. "Long-term value at risk," LSE Research Online Documents on Economics 24867, London School of Economics and Political Science, LSE Library.
  27. Blake, David, 2003. "The United Kingdom pension system: key issues," LSE Research Online Documents on Economics 24851, London School of Economics and Political Science, LSE Library.
  28. Blake, David, 2003. "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," LSE Research Online Documents on Economics 24856, London School of Economics and Political Science, LSE Library.
  29. Blake, David & Cairns, Andrew J. G. & Dowd, Kevin, 2003. "Pensionmetrics 2: stochastic pension plan design during the distribution phase," LSE Research Online Documents on Economics 24830, London School of Economics and Political Science, LSE Library.
  30. Blake, David, 2003. "Modelling the composition of personal sector wealth in the United Kingdom," LSE Research Online Documents on Economics 24866, London School of Economics and Political Science, LSE Library.
  31. Blake, David, 2003. "Financial system requirements for successful pension reform," LSE Research Online Documents on Economics 24862, London School of Economics and Political Science, LSE Library.
  32. Blake, David, 2003. "Take (smoothed) risks when you are young, not when you are old: how to get the best from your stakeholder pension plan," LSE Research Online Documents on Economics 24834, London School of Economics and Political Science, LSE Library.
  33. Blake, David, 2003. "Is immigration the answer to the UK’s pension crisis?," LSE Research Online Documents on Economics 24864, London School of Economics and Political Science, LSE Library.
  34. Blake, David, 2002. "The impact of wealth on consumption and retirement behaviour in the UK," LSE Research Online Documents on Economics 24949, London School of Economics and Political Science, LSE Library.
  35. Blake, David & Timmermann, Allan, 2002. "International Asset Allocation with Time-Varying Investment Opportunities," CEPR Discussion Papers 3464, C.E.P.R. Discussion Papers.
  36. Blake, David & Lehmann, Bruce N. & Timmermann, Allan, 2002. "Performance clustering and incentives in the UK pension fund industry," LSE Research Online Documents on Economics 24945, London School of Economics and Political Science, LSE Library.
  37. Blake, David & Timmermann, Allan, 2002. "Returns from active management in international equity markets: evidence from a panel of UK pension funds," LSE Research Online Documents on Economics 24946, London School of Economics and Political Science, LSE Library.
  38. Lunde, Asger & Timmermann, Allan & Blake, David, 1998. "The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis," University of California at San Diego, Economics Working Paper Series qt1pd3z1hm, Department of Economics, UC San Diego.
  39. Blake, David & Lehmann, Bruce N & Timmermann, Allan G, 1997. "Performance Measurement using Multiple Asset Class Portfolio Data," CEPR Discussion Papers 1618, C.E.P.R. Discussion Papers.

Articles

  1. David Blake & Johnny Li, 2024. "Longevity risk and capital markets: the 2022–2023 update," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 49(2), pages 229-233, April.
  2. David BLAKE & Andrew, J. G. GAIRNS & Malene KALLESTRUP-LAMB & Jesper RANGVID, 2023. "Longevity risk and capital markets: the 2021–22 update," JODE - Journal of Demographic Economics, Cambridge University Press, vol. 89(3), pages 299-312, September.
  3. David Blake, 2023. "Target2: The Silent Bailout System That Keeps the Euro Afloat," JRFM, MDPI, vol. 16(12), pages 1-126, December.
  4. Kevin Dowd & David Blake, 2022. "Good Practice Principles in Modelling Defined Contribution Pension Plans," JRFM, MDPI, vol. 15(3), pages 1-21, February.
  5. Blake, David & Duffield, Mel & Tonks, Ian & Haig, Alistair & Blower, Dean & MacPhee, Laura, 2022. "Smart defaults: Determining the number of default funds in a pension scheme," The British Accounting Review, Elsevier, vol. 54(4).
  6. David Blake, 2022. "The Great Game Will Never End: Why the Global Financial Crisis Is Bound to Be Repeated," JRFM, MDPI, vol. 15(6), pages 1-61, May.
  7. David Blake, 2022. "Nudges and Networks: How to Use Behavioural Economics to Improve the Life Cycle Savings-Consumption Balance," JRFM, MDPI, vol. 15(5), pages 1-17, May.
  8. Kevin Dowd & David Blake, 2022. "Projecting Mortality Rates to Extreme Old Age with the CBDX Model," Forecasting, MDPI, vol. 4(1), pages 1-11, February.
  9. Andrew Hunt & David Blake, 2021. "A Bayesian Approach to Modeling and Projecting Cohort Effects," North American Actuarial Journal, Taylor & Francis Journals, vol. 25(S1), pages 235-254, February.
  10. David Blake & Edmund Cannon & Douglas Wright, 2021. "Quantifying loss aversion: Evidence from a UK population survey," Journal of Risk and Uncertainty, Springer, vol. 63(1), pages 27-57, August.
  11. David Blake & John Pickles, 2021. "Mental time travel and the valuation of financial investments," Review of Behavioral Finance, Emerald Group Publishing Limited, vol. 14(3), pages 327-344, February.
  12. Andrew Hunt & David Blake, 2021. "Forward Mortality Rates in Discrete Time I: Calibration and Securities Pricing," North American Actuarial Journal, Taylor & Francis Journals, vol. 25(S1), pages 482-507, February.
  13. Blake, David & Cairns, Andrew J.G., 2021. "Longevity risk and capital markets: The 2019-20 update," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 395-439.
  14. Kevin Dowd & Andrew J. G. Cairns & David Blake, 2021. "Hedging Annuity Risks with the Age-Period-Cohort Two-Population Gravity Model," North American Actuarial Journal, Taylor & Francis Journals, vol. 25(S1), pages 170-181, February.
  15. Andrew Hunt & David Blake, 2021. "On the Structure and Classification of Mortality Models," North American Actuarial Journal, Taylor & Francis Journals, vol. 25(S1), pages 215-234, February.
  16. Andrew Hunt & David Blake, 2021. "Forward Mortality Rates in Discrete Time II: Longevity Risk and Hedging Strategies," North American Actuarial Journal, Taylor & Francis Journals, vol. 25(S1), pages 508-533, February.
  17. David Blake & John Pickles, 2021. "Mental Time Travel and Retirement Savings," JRFM, MDPI, vol. 14(12), pages 1-13, December.
  18. Dowd, Kevin & Cairns, Andrew J. G. & Blake, David, 2020. "CBDX: a workhorse mortality model from the Cairns–Blake–Dowd family," Annals of Actuarial Science, Cambridge University Press, vol. 14(2), pages 445-460, September.
  19. David Blake & Richard MacMinn, 2020. "Longevity Risk and Capital Markets: The 2016–2017 Update," North American Actuarial Journal, Taylor & Francis Journals, vol. 25(S1), pages 1-6, December.
  20. Hunt, Andrew & Blake, David, 2020. "Identifiability in age/period mortality models," Annals of Actuarial Science, Cambridge University Press, vol. 14(2), pages 461-499, September.
  21. David Blake & Richard MacMinn & Jason Chenghsien Tsai & Jennifer Wang, 2020. "Longevity Risk and Capital Markets: The 2017–2018 Update," North American Actuarial Journal, Taylor & Francis Journals, vol. 25(S1), pages 280-308, December.
  22. Hunt, Andrew & Blake, David, 2020. "Identifiability in age/period/cohort mortality models," Annals of Actuarial Science, Cambridge University Press, vol. 14(2), pages 500-536, September.
  23. Cairns, Andrew J.G. & Kallestrup-Lamb, Malene & Rosenskjold, Carsten & Blake, David & Dowd, Kevin, 2019. "Modelling Socio-Economic Differences In Mortality Using A New Affluence Index," ASTIN Bulletin, Cambridge University Press, vol. 49(3), pages 555-590, September.
  24. Dowd, Kevin & Buckner, Dean & Blake, David & Fry, John, 2019. "The valuation of no-negative equity guarantees and equity release mortgages," Economics Letters, Elsevier, vol. 184(C).
  25. Hunt, Andrew & Blake, David, 2018. "Identifiability, cointegration and the gravity model," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 360-368.
  26. Blake, David & El Karoui, Nicole & Loisel, Stéphane & MacMinn, Richard, 2018. "Longevity risk and capital markets: The 2015–16 update," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 157-173.
  27. Wolfgang Bessler & David Blake & Peter Lückoff & Ian Tonks, 2018. "Fund Flows, Manager Changes, and Performance Persistence [Does motivation matter when assessing trade performance? An analysis of mutual funds]," Review of Finance, European Finance Association, vol. 22(5), pages 1911-1947.
  28. Rossi, Alberto G. & Blake, David & Timmermann, Allan & Tonks, Ian & Wermers, Russ, 2018. "Network centrality and delegated investment performance," Journal of Financial Economics, Elsevier, vol. 128(1), pages 183-206.
  29. David Blake, 2018. "Longevity: a new asset class," Journal of Asset Management, Palgrave Macmillan, vol. 19(5), pages 278-300, September.
  30. Blake, David & Sarno, Lucio & Zinna, Gabriele, 2017. "The market for lemmings: The herding behavior of pension funds," Journal of Financial Markets, Elsevier, vol. 36(C), pages 17-39.
  31. David Blake & Marco Morales, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 273-277, April.
  32. Blake, David & Caulfield, Tristan & Ioannidis, Christos & Tonks, Ian, 2017. "New Evidence on Mutual Fund Performance: A Comparison of Alternative Bootstrap Methods," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 52(3), pages 1279-1299, June.
  33. Hunt, Andrew & Blake, David, 2017. "Modelling Mortality For Pension Schemes," ASTIN Bulletin, Cambridge University Press, vol. 47(2), pages 601-629, May.
  34. Joachim Inkmann & David Blake & Zhen Shi, 2017. "Managing Financially Distressed Pension Plans In The Interest Of Beneficiaries," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(2), pages 539-565, June.
  35. Andrew J. G. Cairns & David Blake & Kevin Dowd & Amy R. Kessler, 2016. "Phantoms never die: living with unreliable population data," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 179(4), pages 975-1005, October.
  36. Kevin Dowd & David Blake & Andrew J. G. Cairns, 2016. "The Myth of Methuselah and the Uncertainty of Death: The Mortality Fan Charts," Risks, MDPI, vol. 4(3), pages 1-7, July.
  37. David Blake & Andrew Cairns & Guy Coughlan & Kevin Dowd & Richard Macminn, 2016. "Le nouveau marché du risque de longévité," Revue d'économie financière, Association d'économie financière, vol. 0(2), pages 129-164.
  38. Enrico Biffis & David Blake & Lorenzo Pitotti & Ariel Sun, 2016. "The Cost of Counterparty Risk and Collateralization in Longevity Swaps," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 83(2), pages 387-419, June.
  39. Hunt, Andrew & Blake, David, 2015. "Modelling longevity bonds: Analysing the Swiss Re Kortis bond," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 12-29.
  40. David Blake & Tom Boardman, 2014. "Spend More Today Safely: Using Behavioral Economics to Improve Retirement Expenditure Decisions With SPEEDOMETER Plans," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 17(1), pages 83-112, March.
  41. Enrico Biffis & David Blake, 2014. "Keeping Some Skin in the Game: How to Start a Capital Market in Longevity Risk Transfers," North American Actuarial Journal, Taylor & Francis Journals, vol. 18(1), pages 14-21.
  42. Blake, David & Wright, Douglas & Zhang, Yumeng, 2014. "Age-dependent investing: Optimal funding and investment strategies in defined contribution pension plans when members are rational life cycle financial planners," Journal of Economic Dynamics and Control, Elsevier, vol. 38(C), pages 105-124.
  43. Blake, David & Caulfield, Tristan & Ioannidis, Christos & Tonks, Ian, 2014. "Improved inference in the evaluation of mutual fund performance using panel bootstrap methods," Journal of Econometrics, Elsevier, vol. 183(2), pages 202-210.
  44. Andrew Hunt & David Blake, 2014. "A General Procedure for Constructing Mortality Models," North American Actuarial Journal, Taylor & Francis Journals, vol. 18(1), pages 116-138.
  45. David Blake & Tom Boardman & Andrew Cairns, 2014. "Sharing Longevity Risk: Why Governments Should Issue Longevity Bonds," North American Actuarial Journal, Taylor & Francis Journals, vol. 18(1), pages 258-277.
  46. Andrew J.G. Cairns & Kevin Dowd & David Blake & Guy D. Coughlan, 2014. "Longevity hedge effectiveness: a decomposition," Quantitative Finance, Taylor & Francis Journals, vol. 14(2), pages 217-235, February.
  47. Blake, David & Wright, Douglas & Zhang, Yumeng, 2013. "Target-driven investing: Optimal investment strategies in defined contribution pension plans under loss aversion," Journal of Economic Dynamics and Control, Elsevier, vol. 37(1), pages 195-209.
  48. David Blake & Alberto G. Rossi & Allan Timmermann & Ian Tonks & Russ Wermers, 2013. "Decentralized Investment Management: Evidence from the Pension Fund Industry," Journal of Finance, American Finance Association, vol. 68(3), pages 1133-1178, June.
  49. David Blake & Andrew Cairns & Guy Coughlan & Kevin Dowd & Richard MacMinn, 2013. "The New Life Market," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(3), pages 501-558, September.
  50. Enrico Biffis & David Blake, 2013. "Informed Intermediation of Longevity Exposures," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(3), pages 559-584, September.
  51. David Blake & Richard MacMinn & Raimond Maurer, 2013. "Longevity Risk and Capital Markets: The 2011–2012 Update," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(3), pages 495-500, September.
  52. Cairns, Andrew J.G. & Blake, David & Dowd, Kevin & Coughlan, Guy D. & Khalaf-Allah, Marwa, 2011. "Bayesian Stochastic Mortality Modelling for Two Populations," ASTIN Bulletin, Cambridge University Press, vol. 41(1), pages 29-59, May.
  53. Guy Coughlan & Marwa Khalaf-Allah & Yijing Ye & Sumit Kumar & Andrew Cairns & David Blake & Kevin Dowd, 2011. "Longevity Hedging 101," North American Actuarial Journal, Taylor & Francis Journals, vol. 15(2), pages 150-176.
  54. Kevin Dowd & David Blake & Andrew Cairns, 2011. "A Computationally Efficient Algorithm for Estimating the Distribution of Future Annuity Values Under Interest-Rate and Longevity Risks," North American Actuarial Journal, Taylor & Francis Journals, vol. 15(2), pages 237-247.
  55. David Blake & Christophe Courbage & Richard MacMinn & Michael Sherris, 2011. "Longevity Risk and Capital Markets: The 2010–2011 Update," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 36(4), pages 489-500, October.
  56. Kevin Dowd & Andrew Cairns & David Blake & Guy Coughlan & Marwa Khalaf-Allah, 2011. "A Gravity Model of Mortality Rates for Two Related Populations," North American Actuarial Journal, Taylor & Francis Journals, vol. 15(2), pages 334-356.
  57. Cairns, Andrew J.G. & Blake, David & Dowd, Kevin & Coughlan, Guy D. & Epstein, David & Khalaf-Allah, Marwa, 2011. "Mortality density forecasts: An analysis of six stochastic mortality models," Insurance: Mathematics and Economics, Elsevier, vol. 48(3), pages 355-367, May.
  58. Paul Dawson & Kevin Dowd & Andrew J. G. Cairns & David Blake, 2010. "Survivor Derivatives: A Consistent Pricing Framework," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 77(3), pages 579-596, September.
  59. Blake, David & De Waegenaere, Anja & MacMinn, Richard & Nijman, Theo, 2010. "Longevity risk and capital markets: The 2008-2009 update," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 135-138, February.
  60. Kevin Dowd & David Blake & Andrew Cairns, 2010. "Facing up to uncertain life expectancy: The longevity fan charts," Demography, Springer;Population Association of America (PAA), vol. 47(1), pages 67-78, February.
  61. Biffis, Enrico & Blake, David, 2010. "Securitizing and tranching longevity exposures," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 186-197, February.
  62. Dowd, Kevin & Cairns, Andrew J.G. & Blake, David & Coughlan, Guy D. & Epstein, David & Khalaf-Allah, Marwa, 2010. "Evaluating the goodness of fit of stochastic mortality models," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 255-265, December.
  63. Kevin Dowd & Andrew Cairns & David Blake & Guy Coughlan & David Epstein & Marwa Khalaf-Allah, 2010. "Backtesting Stochastic Mortality Models," North American Actuarial Journal, Taylor & Francis Journals, vol. 14(3), pages 281-298.
  64. Alistair Byrne & David Blake & Graham Mannion, 2010. "Pension Plan Decisions," Review of Behavioral Finance, Emerald Group Publishing Limited, vol. 2(1), pages 19-36, April.
  65. Andrew Cairns & David Blake & Kevin Dowd & Guy Coughlan & David Epstein & Alen Ong & Igor Balevich, 2009. "A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States," North American Actuarial Journal, Taylor & Francis Journals, vol. 13(1), pages 1-35.
  66. David Blake & Andrew Cairns & Kevin Dowd, 2009. "Designing a Defined-Contribution Plan: What to Learn from Aircraft Designers," Financial Analysts Journal, Taylor & Francis Journals, vol. 65(1), pages 37-42, January.
  67. Paul Dawson & Kevin Dowd & Andrew J. G. Cairns & David Blake, 2009. "Options on normal underlyings with an application to the pricing of survivor swaptions," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 29(8), pages 757-774, August.
  68. Andrew Cairns & David Blake & Kevin Dowd, 2008. "Modelling and management of mortality risk: a review," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2008(2-3), pages 79-113.
  69. Alistair Byrne & Debbie Harrison & David Blake, 2008. "Defined contribution pensions: dealing with the reluctant investor," Journal of Financial Regulation and Compliance, Emerald Group Publishing Limited, vol. 16(3), pages 206-219, July.
  70. MacMinn Richard & Wang Jennifer & Blake David, 2008. "Longevity Risk and Capital Markets: The 2007-2008 Update," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 3(1), pages 1-6, September.
  71. David Blake, 2008. "What is a Promise from the Government Worth? Quantifying Political Risk in State and Personal Pension Schemes in the United Kingdom," Economica, London School of Economics and Political Science, vol. 75(298), pages 342-361, May.
  72. Blake David & Cairns Andrew & Dowd Kevin, 2008. "The Birth of the Life Market," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 3(1), pages 1-32, September.
  73. Blake, David & Dowd, Kevin & Cairns, Andrew J.G., 2008. "Longevity risk and the Grim Reaper's toxic tail: The survivor fan charts," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 1062-1066, June.
  74. David Blake & Andrew Cairns & Kevin Dowd, 2007. "The Impact of Occupation and Gender on Pensions from Defined Contribution Plans," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 32(4), pages 458-482, October.
  75. Alistair Byrne & David Blake & Andrew Cairns & Kevin Dowd, 2007. "Default Funds in U.K. Defined-Contribution Plans (corrected)," Financial Analysts Journal, Taylor & Francis Journals, vol. 63(4), pages 40-51, July.
  76. Kevin Dowd & David Blake, 2006. "After VaR: The Theory, Estimation, and Insurance Applications of Quantile‐Based Risk Measures," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 73(2), pages 193-229, June.
  77. Andrew J. G. Cairns & David Blake & Kevin Dowd, 2006. "A Two‐Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 73(4), pages 687-718, December.
  78. Dowd, Kevin & Cairns, Andrew J.G. & Blake, David, 2006. "Mortality-dependent financial risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 38(3), pages 427-440, June.
  79. Blake, D. & Cairns, A. J. G. & Dowd, K., 2006. "Living with Mortality: Longevity Bonds and Other Mortality-Linked Securities," British Actuarial Journal, Cambridge University Press, vol. 12(1), pages 153-197, March.
  80. Kevin Dowd & David Blake & Andrew J. G. Cairns & Paul Dawson, 2006. "Survivor Swaps," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 73(1), pages 1-17, March.
  81. David Blake & Les Mayhew, 2006. "On The Sustainability of the UK State Pension System in the Light of Population Ageing and Declining Fertility," Economic Journal, Royal Economic Society, vol. 116(512), pages 286-305, June.
  82. David Blake & Andrew Cairns & Kevin Dowd & Richard MacMinn, 2006. "Longevity Bonds: Financial Engineering, Valuation, and Hedging," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 73(4), pages 647-672, December.
  83. Cairns, Andrew J.G. & Blake, David & Dowd, Kevin, 2006. "Stochastic lifestyling: Optimal dynamic asset allocation for defined contribution pension plans," Journal of Economic Dynamics and Control, Elsevier, vol. 30(5), pages 843-877, May.
  84. Alistair Byrne & Debbie Harrison & Bill Rhodes & David Blake, 2006. "Pyrrhic Victory? The Unintended Consequence Of The Pensions Act 2004," Economic Affairs, Wiley Blackwell, vol. 26(2), pages 9-16, June.
  85. Cairns, Andrew J.G. & Blake, David & Dowd, Kevin, 2006. "Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk," ASTIN Bulletin, Cambridge University Press, vol. 36(1), pages 79-120, May.
  86. Richard MacMinn & Patrick Brockett & David Blake, 2006. "Longevity Risk and Capital Markets," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 73(4), pages 551-557, December.
  87. David Blake & M. Zaki Khorasanee, 2005. "“Pensions and Capital Structure: Why Hold Equities in the Pension Fund?”, John Ralfe, Cliff Speed, and Jon Palin, July 2004," North American Actuarial Journal, Taylor & Francis Journals, vol. 9(4), pages 125-130.
  88. Allan Timmermann & David Blake, 2005. "International Asset Allocation with Time-Varying Investment Opportunities," The Journal of Business, University of Chicago Press, vol. 78(1), pages 71-98, January.
  89. David Blake & Allan Timmermann, 2005. "Returns from active management in international equity markets: Evidence from a panel of UK pension funds," Journal of Asset Management, Palgrave Macmillan, vol. 6(1), pages 5-20, June.
  90. Kevin Dowd & David Blake & Andrew Cairns, 2004. "Long‐Term Value at Risk," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 5(2), pages 52-57, February.
  91. David Blake, 2003. "Reply to “Survivor Bonds: A Comment on Blake and Burrows”," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 70(2), pages 349-351, June.
  92. David Blake, 2003. "UK pension fund management after Myners: The hunt for correlation begins," Journal of Asset Management, Palgrave Macmillan, vol. 4(1), pages 32-72, June.
  93. Blake, David & Cairns, Andrew J. G. & Dowd, Kevin, 2003. "Pensionmetrics 2: stochastic pension plan design during the distribution phase," Insurance: Mathematics and Economics, Elsevier, vol. 33(1), pages 29-47, August.
  94. D Blake & B N Lehmann & A Timmermann, 2002. "Performance clustering and incentives in the UK pension fund industry," Journal of Asset Management, Palgrave Macmillan, vol. 3(2), pages 173-194, September.
  95. Blake, David & Cairns, Andrew J. G. & Dowd, Kevin, 2001. "Pensionmetrics: stochastic pension plan design and value-at-risk during the accumulation phase," Insurance: Mathematics and Economics, Elsevier, vol. 29(2), pages 187-215, October.
  96. Blake, David, 2000. "Does It Matter What Type of Pension Scheme You Have?," Economic Journal, Royal Economic Society, vol. 110(461), pages 46-81, February.
  97. David Blake & John Board, 2000. "Measuring Value Added in the Pensions Industry," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 25(4), pages 539-567, October.
  98. Lunde, Asger & Timmermann, Allan & Blake, David, 1999. "The hazards of mutual fund underperformance: A Cox regression analysis," Journal of Empirical Finance, Elsevier, vol. 6(2), pages 121-152, April.
  99. David Blake, 1999. "Annuity Markets: Problems and Solutions," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 24(3), pages 358-375, July.
  100. David Blake, 1999. "Portfolio Choice Models of Pension Funds and Life Assurance Companies: Similarities and Differences," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 24(3), pages 327-357, July.
  101. Blake, David & Lehmann, Bruce N & Timmermann, Allan, 1999. "Asset Allocation Dynamics and Pension Fund Performance," The Journal of Business, University of Chicago Press, vol. 72(4), pages 429-461, October.
  102. David Blake & Allan Timmermann, 1998. "Mutual Fund Performance: Evidence from the UK," Review of Finance, European Finance Association, vol. 2(1), pages 57-77.
  103. Blake, David, 1998. "Pension schemes as options on pension fund assets: implications for pension fund management," Insurance: Mathematics and Economics, Elsevier, vol. 23(3), pages 263-286, December.
  104. David Blake & Angelika Nied, 1997. "The demand for alcohol in the United Kingdom," Applied Economics, Taylor & Francis Journals, vol. 29(12), pages 1655-1672.
  105. Blake, David, 1996. "Financial Intermediation and Financial Innovation in a Characteristics Framework," Scottish Journal of Political Economy, Scottish Economic Society, vol. 43(1), pages 16-31, February.
  106. Blake, David, 1996. "Efficiency, Risk Aversion and Portfolio Insurance: An Analysis of Financial Asset Portfolios Held by Investors in the United Kingdom," Economic Journal, Royal Economic Society, vol. 106(438), pages 1175-1192, September.
  107. Kate Phylaktis & David Blake, 1993. "The fisher hypothesis: Evidence from three high inflation economies," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 129(3), pages 591-599, September.
  108. Blake, David & Boyle, Sean, 1992. "The Demand for Cider in the United Kingdom," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(1), pages 73-86, February.
  109. Blake, David & Pradhan, Mahmood, 1991. "Debt-equity swaps as bond conversions: implications for pricing," Journal of Banking & Finance, Elsevier, vol. 15(1), pages 29-41, February.
  110. David Blake, 1991. "The Estimation of Rational Expectations Models: A Survey," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 18(3), pages 1-1, March.
  111. Blake, David, 1990. "Portfolio Behaviour and Asset Pricing in a Characteristics Framework," Scottish Journal of Political Economy, Scottish Economic Society, vol. 37(4), pages 343-359, November.
  112. Blake, David, 1989. "Testing models generating time varying asset return expectations and risks : The case of UK private sector pension funds," Economic Modelling, Elsevier, vol. 6(2), pages 220-240, April.
  113. Blake, David & Beenstock, Michael, 1988. "The stochastic analysis of competitive unemployment insurance premiums," European Economic Review, Elsevier, vol. 32(1), pages 7-25, January.
  114. Blake, David & Beenstock, Michael & Brasse, Valerie, 1986. "The Performance of UK Exchange Rate Forecasters," Economic Journal, Royal Economic Society, vol. 96(384), pages 986-999, December.
  115. Blake, David, 1984. "Complete systems methods of estimating models with rational and adaptive expectations : A case study," European Economic Review, Elsevier, vol. 24(2), pages 137-150, March.
  116. Desai, Meghnad & Blake, David, 1982. "Monetarism and the US economy: A re-evaluation of Stein's model 1960-1973," Journal of Monetary Economics, Elsevier, vol. 10(1), pages 111-125, July.
  117. Desai, Meghnad & Blake, David, 1981. "Modelling the Ultimate Absurdity: A Comment on "A Quantitative Study of the Strategic Arms Race in the Missile Age."," The Review of Economics and Statistics, MIT Press, vol. 63(4), pages 629-632, November.
    RePEc:eme:rbf000:rbf-06-2020-0133 is not listed on IDEAS
    RePEc:eme:jrf000:eb022986 is not listed on IDEAS
    RePEc:taf:apfiec:v:14:y:2004:i:8:p:555-576 is not listed on IDEAS
    RePEc:taf:apfiec:v:9:y:1999:i:4:p:397-421 is not listed on IDEAS
    RePEc:taf:apfiec:v:14:y:2004:i:9:p:611-630 is not listed on IDEAS
    RePEc:eme:jfrc00:13581980810888822 is not listed on IDEAS
    RePEc:cup:bracjl:v:24:y:2018:i::p:-_1 is not listed on IDEAS
    RePEc:eme:jes000:eum0000000000152 is not listed on IDEAS

Chapters

  1. David Blake & Andrew Cairns & Kevin Dowd, 2011. "Optimal Investment Strategies in Defined Contribution Pension Plans," Palgrave Macmillan Books, in: Gautam Mitra & Katharina Schwaiger (ed.), Asset and Liability Management Handbook, chapter 10, pages 234-279, Palgrave Macmillan.
  2. David Blake, 2008. "It is all Back to Front: Critical Issues in the Design of Defined Contribution Pension Plans," Chapters, in: Dirk Broeders & Sylvester Eiffinger & Aerdt Houben (ed.), Frontiers in Pension Finance, chapter 6, Edward Elgar Publishing.
  3. David Blake, 2004. "Contracting Out of the State Pension System: The British Experience of Carrots and Sticks," Chapters, in: Martin Rein & Winfried Schmähl (ed.), Rethinking the Welfare State, chapter 1, Edward Elgar Publishing.
  4. David Blake, 2002. "The United Kingdom: Examining the Switch from Low Public Pensions to High-Cost Private Pensions," NBER Chapters, in: Social Security Pension Reform in Europe, pages 317-348, National Bureau of Economic Research, Inc.
  5. David Blake, 1992. "A Non-linear Model of Portfolio Behaviour With Time-varying Expectations and Risks," Palgrave Macmillan Books, in: T. E. Cooke & J. Matatko & D. C. Stafford (ed.), Risk, Portfolio Management and Capital Markets, chapter 4, pages 54-78, Palgrave Macmillan.

Books

  1. Blake, David, 2003. "Pension Schemes and Pension Funds in the United Kingdom," OUP Catalogue, Oxford University Press, edition 2, number 9780199243532.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Rankings

This author is among the top 5% authors according to these criteria:
  1. Average Rank Score
  2. Number of Works
  3. Number of Distinct Works
  4. Number of Distinct Works, Weighted by Simple Impact Factor
  5. Number of Distinct Works, Weighted by Number of Authors
  6. Number of Distinct Works, Weighted by Number of Authors and Simple Impact Factors
  7. Number of Citations
  8. Number of Citations, Discounted by Citation Age
  9. Number of Citations, Weighted by Simple Impact Factor
  10. Number of Citations, Weighted by Number of Authors
  11. Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
  12. h-index
  13. Number of Journal Pages
  14. Number of Journal Pages, Weighted by Simple Impact Factor
  15. Number of Journal Pages, Weighted by Recursive Impact Factor
  16. Number of Journal Pages, Weighted by Number of Authors
  17. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
  18. Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors
  19. Euclidian citation score
  20. Betweenness measure in co-authorship network
  21. Wu-Index

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 11 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-AGE: Economics of Ageing (5) 2011-11-14 2011-11-21 2012-01-18 2015-12-20 2016-05-14. Author is listed
  2. NEP-RMG: Risk Management (4) 2003-03-14 2011-02-26 2011-07-02 2011-11-21
  3. NEP-IAS: Insurance Economics (3) 2011-04-09 2011-07-02 2011-11-14
  4. NEP-CTA: Contract Theory and Applications (2) 2011-04-09 2011-07-02
  5. NEP-HEA: Health Economics (2) 2012-01-18 2016-05-14
  6. NEP-CFN: Corporate Finance (1) 2003-03-14
  7. NEP-DEM: Demographic Economics (1) 2012-01-18
  8. NEP-DGE: Dynamic General Equilibrium (1) 2011-11-14
  9. NEP-FMK: Financial Markets (1) 2003-03-14
  10. NEP-LAB: Labour Economics (1) 2016-05-14
  11. NEP-NET: Network Economics (1) 2015-12-20
  12. NEP-UPT: Utility Models and Prospect Theory (1) 2011-11-14

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, David Blake should log into the RePEc Author Service.

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.