Details about David Blake

Homepage:	http://www.pensions-institute.org/
Workplace:	Faculty of Finance, Bayes Business School, City St George's, (more information at EDIRC)

Access statistics for papers by David Blake.

Last updated 2025-03-14. Update your information in the RePEc Author Service.

Short-id: pbl129

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Working Papers

2018

1. Longevity risk and capital markets: The 2015–16 update
   Post-Print, HAL View citations (2)
   See also Journal Article Longevity risk and capital markets: The 2015–16 update, Insurance: Mathematics and Economics, Elsevier (2018) View citations (2) (2018)

2016

2. Modelling Socio-Economic Differences in the Mortality of Danish Males Using a New Affluence Index
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (3)

2015

3. Network centrality and pension fund performance
   CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) View citations (2)

2012

4. Keeping Some Skin in the Game: How to Start a Capital Market in Longevity Risk Transfers
   MPRA Paper, University Library of Munich, Germany View citations (1)
   See also Journal Article Keeping Some Skin in the Game: How to Start a Capital Market in Longevity Risk Transfers, North American Actuarial Journal, Taylor & Francis Journals (2014) View citations (14) (2014)
5. What Should Be Done About The Underfunding of Defined Benefit Pension Schemes?
   Working Papers, Geary Institute, University College Dublin View citations (2)

2011

6. A gravity model of mortality rates for two related populations
   MPRA Paper, University Library of Munich, Germany View citations (62)
   See also Journal Article A Gravity Model of Mortality Rates for Two Related Populations, North American Actuarial Journal, Taylor & Francis Journals (2011) View citations (50) (2011)
7. Age dependent investing: Optimal funding and investment strategies in defined contribution pension plans when members are rational life cycle financial planners
   MPRA Paper, University Library of Munich, Germany
   See also Journal Article 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 (2014) View citations (33) (2014)
8. Financial Risks and the Pension Protection Fund: Can it Survive Them?
   Papers, arXiv.org
   Also in Working Papers, Geary Institute, University College Dublin (2011) View citations (1)
   MPRA Paper, University Library of Munich, Germany (2006) View citations (1)
9. Longevity hedge effectiveness: a decomposition
   MPRA Paper, University Library of Munich, Germany View citations (2)
   See also Journal Article Longevity hedge effectiveness: a decomposition, Quantitative Finance, Taylor & Francis Journals (2014) View citations (30) (2014)
10. Longevity hedging 101: A framework for longevity basis risk analysis and hedge effectiveness
    MPRA Paper, University Library of Munich, Germany View citations (58)
11. Longevity risk and capital markets: The 2009-2010 update
    MPRA Paper, University Library of Munich, Germany View citations (2)
12. Longevity risks and capital markets: The 2010-2011 update
    MPRA Paper, University Library of Munich, Germany View citations (2)
    See also Journal Article Longevity Risk and Capital Markets: The 2010–2011 Update, The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan (2011) View citations (1) (2011)
13. Target-driven investing: Optimal investment strategies in defined contribution pension plans under loss aversion
    MPRA Paper, University Library of Munich, Germany View citations (2)
    See also Journal Article Target-driven investing: Optimal investment strategies in defined contribution pension plans under loss aversion, Journal of Economic Dynamics and Control, Elsevier (2013) View citations (29) (2013)
14. The cost of counterparty risk and collateralization in longevity swaps
    MPRA Paper, University Library of Munich, Germany View citations (18)
    See also Journal Article The Cost of Counterparty Risk and Collateralization in Longevity Swaps, Journal of Risk & Insurance, The American Risk and Insurance Association (2016) View citations (19) (2016)

2010

15. Decentralized Investment Management: Evidence from the Pension Fund Industry
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
    Also in MPRA Paper, University Library of Munich, Germany (2010)
    See also Journal Article Decentralized Investment Management: Evidence from the Pension Fund Industry, Journal of Finance, American Finance Association (2013) View citations (44) (2013)
16. Did the Housing Boom Increase Household Spending
    Issues in Brief, Center for Retirement Research View citations (2)
17. Sharing longevity risk: Why governments should issue longevity bonds
    MPRA Paper, University Library of Munich, Germany View citations (8)
    See also Journal Article Sharing Longevity Risk: Why Governments Should Issue Longevity Bonds, North American Actuarial Journal, Taylor & Francis Journals (2014) View citations (11) (2014)
18. Spend more today: Using behavioural economics to improve retirement expenditure decisions
    MPRA Paper, University Library of Munich, Germany View citations (1)
19. Why does mutual fund performance not persist? The impact and interaction of fund flows and manager changes
    MPRA Paper, University Library of Munich, Germany View citations (10)

2009

20. NDC v FDC: Pros, cons and replication
    MPRA Paper, University Library of Munich, Germany

2008

21. Turning pension plans into pension planes: What investment strategy designers of defined contribution pension plans can learn from commercial aircraft designers
    MPRA Paper, University Library of Munich, Germany View citations (7)

2004

22. Barriers to pension scheme participation in small and medium sized enterprises
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library
23. Liability valuation and optimal asset allocation
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (3)
24. Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (1)
    See also Journal Article Stochastic lifestyling: Optimal dynamic asset allocation for defined contribution pension plans, Journal of Economic Dynamics and Control, Elsevier (2006) View citations (100) (2006)

2003

25. Financial system requirements for successful pension reform
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (2)
26. Is immigration the answer to the UK’s pension crisis?
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library
27. Long-term value at risk
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (2)
    See also Journal Article Long‐Term Value at Risk, Journal of Risk Finance, Emerald Group Publishing Limited (2004) View citations (1) (2004)
28. Modelling the composition of personal sector wealth in the United Kingdom
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (1)
29. Pensionmetrics 2: stochastic pension plan design during the distribution phase
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (59)
    See also Journal Article Pensionmetrics 2: stochastic pension plan design during the distribution phase, Insurance: Mathematics and Economics, Elsevier (2003) View citations (73) (2003)
30. 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, London School of Economics and Political Science, LSE Library
31. The United Kingdom pension system: key issues
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (8)
    Also in Discussion Paper, Center for Intergenerational Studies, Institute of Economic Research, Hitotsubashi University (2001) View citations (2)
32. UK pension fund management after Myners: the hunt for correlation begins
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (3)
    See also Journal Article UK pension fund management after Myners: The hunt for correlation begins, Journal of Asset Management, Palgrave Macmillan (2003) View citations (3) (2003)
33. 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, London School of Economics and Political Science, LSE Library

2002

34. International Asset Allocation with Time-Varying Investment Opportunities
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (3)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2002) View citations (2)
    See also Journal Article International Asset Allocation with Time-Varying Investment Opportunities, The Journal of Business, University of Chicago Press (2005) View citations (18) (2005)
35. Performance clustering and incentives in the UK pension fund industry
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (38)
    See also Journal Article Performance clustering and incentives in the UK pension fund industry, Journal of Asset Management, Palgrave Macmillan (2002) View citations (28) (2002)
36. Returns from active management in international equity markets: evidence from a panel of UK pension funds
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (2)
    See also Journal Article Returns from active management in international equity markets: Evidence from a panel of UK pension funds, Journal of Asset Management, Palgrave Macmillan (2005) View citations (4) (2005)
37. The impact of wealth on consumption and retirement behaviour in the UK
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (1)
    See also Journal Article The impact of wealth on consumption and retirement behaviour in the UK, Applied Financial Economics, Taylor & Francis Journals (2004) View citations (20) (2004)

1998

38. The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (3)
    See also Journal Article The hazards of mutual fund underperformance: A Cox regression analysis, Journal of Empirical Finance, Elsevier (1999) View citations (37) (1999)

1997

39. Performance Measurement using Multiple Asset Class Portfolio Data
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (6)

Journal Articles

2024

1. Correction: Longevity risk and capital markets: the 2022–2023 update
   The Geneva Papers on Risk and Insurance - Issues and Practice, 2024, 49, (4), 868-868
2. Longevity risk and capital markets: the 2022–2023 update
   The Geneva Papers on Risk and Insurance - Issues and Practice, 2024, 49, (2), 229-233
   Also in North American Actuarial Journal, 2014, 18, (1), 1-13 (2014)

2023

3. Longevity risk and capital markets: the 2021–22 update
   JODE - Journal of Demographic Economics, 2023, 89, (3), 299-312 View citations (1)
   Also in Journal of Demographic Economics, 2023, 89, (3), 299-312 (2023) View citations (1)
4. Target2: The Silent Bailout System That Keeps the Euro Afloat
   JRFM, 2023, 16, (12), 1-126

2022

5. Good Practice Principles in Modelling Defined Contribution Pension Plans
   JRFM, 2022, 15, (3), 1-21 View citations (1)
6. Nudges and Networks: How to Use Behavioural Economics to Improve the Life Cycle Savings-Consumption Balance
   JRFM, 2022, 15, (5), 1-17 View citations (2)
7. Projecting Mortality Rates to Extreme Old Age with the CBDX Model
   Forecasting, 2022, 4, (1), 1-11
8. Smart defaults: Determining the number of default funds in a pension scheme
   The British Accounting Review, 2022, 54, (4) View citations (1)
9. The Great Game Will Never End: Why the Global Financial Crisis Is Bound to Be Repeated
   JRFM, 2022, 15, (6), 1-61 View citations (1)

2021

10. A Bayesian Approach to Modeling and Projecting Cohort Effects
    North American Actuarial Journal, 2021, 25, (S1), S235-S254 View citations (1)
11. Forward Mortality Rates in Discrete Time I: Calibration and Securities Pricing
    North American Actuarial Journal, 2021, 25, (S1), S482-S507 View citations (2)
12. Forward Mortality Rates in Discrete Time II: Longevity Risk and Hedging Strategies
    North American Actuarial Journal, 2021, 25, (S1), S508-S533 View citations (2)
13. Hedging Annuity Risks with the Age-Period-Cohort Two-Population Gravity Model
    North American Actuarial Journal, 2021, 25, (S1), S170-S181 View citations (2)
14. Longevity risk and capital markets: The 2019-20 update
    Insurance: Mathematics and Economics, 2021, 99, (C), 395-439 View citations (11)
15. Mental Time Travel and Retirement Savings
    JRFM, 2021, 14, (12), 1-13 View citations (1)
16. Mental time travel and the valuation of financial investments
    Review of Behavioral Finance, 2021, 14, (3), 327-344
17. On the Structure and Classification of Mortality Models
    North American Actuarial Journal, 2021, 25, (S1), S215-S234 View citations (7)
18. Quantifying loss aversion: Evidence from a UK population survey
    Journal of Risk and Uncertainty, 2021, 63, (1), 27-57 View citations (3)

2020

19. CBDX: a workhorse mortality model from the Cairns–Blake–Dowd family
    Annals of Actuarial Science, 2020, 14, (2), 445-460 View citations (6)
20. Identifiability in age/period mortality models
    Annals of Actuarial Science, 2020, 14, (2), 461-499 View citations (6)
21. Identifiability in age/period/cohort mortality models
    Annals of Actuarial Science, 2020, 14, (2), 500-536 View citations (7)
22. Longevity Risk and Capital Markets: The 2016–2017 Update
    North American Actuarial Journal, 2020, 25, (S1), S1-S6 View citations (4)
23. Longevity Risk and Capital Markets: The 2017–2018 Update
    North American Actuarial Journal, 2020, 25, (S1), S280-S308 View citations (4)

2019

24. MODELLING SOCIO-ECONOMIC DIFFERENCES IN MORTALITY USING A NEW AFFLUENCE INDEX
    ASTIN Bulletin, 2019, 49, (3), 555-590 View citations (10)
25. The valuation of no-negative equity guarantees and equity release mortgages
    Economics Letters, 2019, 184, (C) View citations (7)

2018

26. Fund Flows, Manager Changes, and Performance Persistence*
    (Does motivation matter when assessing trade performance? An analysis of mutual funds)
    Review of Finance, 2018, 22, (5), 1911-1947 View citations (3)
27. Identifiability, cointegration and the gravity model
    Insurance: Mathematics and Economics, 2018, 78, (C), 360-368 View citations (7)
28. Longevity risk and capital markets: The 2015–16 update
    Insurance: Mathematics and Economics, 2018, 78, (C), 157-173 View citations (2)
    See also Working Paper Longevity risk and capital markets: The 2015–16 update, Post-Print (2018) View citations (2) (2018)
29. Longevity: a new asset class
    Journal of Asset Management, 2018, 19, (5), 278-300 View citations (3)
30. Network centrality and delegated investment performance
    Journal of Financial Economics, 2018, 128, (1), 183-206 View citations (43)

2017

31. MANAGING FINANCIALLY DISTRESSED PENSION PLANS IN THE INTEREST OF BENEFICIARIES
    Journal of Risk & Insurance, 2017, 84, (2), 539-565 View citations (1)
32. MODELLING MORTALITY FOR PENSION SCHEMES
    ASTIN Bulletin, 2017, 47, (2), 601-629 View citations (3)
33. New Evidence on Mutual Fund Performance: A Comparison of Alternative Bootstrap Methods
    Journal of Financial and Quantitative Analysis, 2017, 52, (3), 1279-1299 View citations (13)
34. Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference
    Journal of Risk & Insurance, 2017, 84, (S1), 393-415
    Also in Journal of Risk & Insurance, 2017, 84, (S1), 273-277 (2017)
    Journal of Risk & Insurance, 2017, 84, (S1), 299-317 (2017)
    Journal of Risk & Insurance, 2017, 84, (S1), 345-365 (2017)
    Journal of Risk & Insurance, 2017, 84, (S1), 279-297 (2017)
    Journal of Risk & Insurance, 2017, 84, (S1), 417-437 (2017)
    Journal of Risk & Insurance, 2017, 84, (S1), 439-458 (2017)
    Journal of Risk & Insurance, 2017, 84, (S1), 515-532 (2017)
    Journal of Risk & Insurance, 2017, 84, (S1), 477-493 (2017)
    Journal of Risk & Insurance, 2017, 84, (S1), 367-392 (2017)
    Journal of Risk & Insurance, 2017, 84, (S1), 319-343 (2017)
    Journal of Risk & Insurance, 2017, 84, (S1), 495-514 (2017)
    Journal of Risk & Insurance, 2017, 84, (S1), 459-475 (2017)
35. The market for lemmings: The herding behavior of pension funds
    Journal of Financial Markets, 2017, 36, (C), 17-39 View citations (31)

2016

36. Le nouveau marché du risque de longévité
    Revue d'économie financière, 2016, n° 122, (2), 129-164
37. Phantoms never die: living with unreliable population data
    Journal of the Royal Statistical Society Series A, 2016, 179, (4), 975-1005 View citations (14)
38. The Cost of Counterparty Risk and Collateralization in Longevity Swaps
    Journal of Risk & Insurance, 2016, 83, (2), 387-419 View citations (19)
    See also Working Paper The cost of counterparty risk and collateralization in longevity swaps, MPRA Paper (2011) View citations (18) (2011)
39. The Myth of Methuselah and the Uncertainty of Death: The Mortality Fan Charts
    Risks, 2016, 4, (3), 1-7 View citations (5)

2015

40. Modelling longevity bonds: Analysing the Swiss Re Kortis bond
    Insurance: Mathematics and Economics, 2015, 63, (C), 12-29 View citations (22)

2014

41. A General Procedure for Constructing Mortality Models
    North American Actuarial Journal, 2014, 18, (1), 116-138 View citations (26)
42. 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, 2014, 38, (C), 105-124 View citations (33)
    See also Working Paper Age dependent investing: Optimal funding and investment strategies in defined contribution pension plans when members are rational life cycle financial planners, MPRA Paper (2011) (2011)
43. Improved inference in the evaluation of mutual fund performance using panel bootstrap methods
    Journal of Econometrics, 2014, 183, (2), 202-210 View citations (13)
44. Keeping Some Skin in the Game: How to Start a Capital Market in Longevity Risk Transfers
    North American Actuarial Journal, 2014, 18, (1), 14-21 View citations (14)
    See also Working Paper Keeping Some Skin in the Game: How to Start a Capital Market in Longevity Risk Transfers, MPRA Paper (2012) View citations (1) (2012)
45. Longevity hedge effectiveness: a decomposition
    Quantitative Finance, 2014, 14, (2), 217-235 View citations (30)
    See also Working Paper Longevity hedge effectiveness: a decomposition, MPRA Paper (2011) View citations (2) (2011)
46. Sharing Longevity Risk: Why Governments Should Issue Longevity Bonds
    North American Actuarial Journal, 2014, 18, (1), 258-277 View citations (11)
    See also Working Paper Sharing longevity risk: Why governments should issue longevity bonds, MPRA Paper (2010) View citations (8) (2010)
47. Spend More Today Safely: Using Behavioral Economics to Improve Retirement Expenditure Decisions With SPEEDOMETER Plans
    Risk Management and Insurance Review, 2014, 17, (1), 83-112 View citations (3)

2013

48. Decentralized Investment Management: Evidence from the Pension Fund Industry
    Journal of Finance, 2013, 68, (3), 1133-1178 View citations (44)
    See also Working Paper Decentralized Investment Management: Evidence from the Pension Fund Industry, CEPR Discussion Papers (2010) (2010)
49. Informed Intermediation of Longevity Exposures
    Journal of Risk & Insurance, 2013, 80, (3), 559-584 View citations (16)
50. Longevity Risk and Capital Markets: The 2011–2012 Update
    Journal of Risk & Insurance, 2013, 80, (3), 495-500 View citations (3)
51. Target-driven investing: Optimal investment strategies in defined contribution pension plans under loss aversion
    Journal of Economic Dynamics and Control, 2013, 37, (1), 195-209 View citations (29)
    See also Working Paper Target-driven investing: Optimal investment strategies in defined contribution pension plans under loss aversion, MPRA Paper (2011) View citations (2) (2011)
52. The New Life Market
    Journal of Risk & Insurance, 2013, 80, (3), 501-558 View citations (33)

2011

53. A Computationally Efficient Algorithm for Estimating the Distribution of Future Annuity Values Under Interest-Rate and Longevity Risks
    North American Actuarial Journal, 2011, 15, (2), 237-247 View citations (7)
54. A Gravity Model of Mortality Rates for Two Related Populations
    North American Actuarial Journal, 2011, 15, (2), 334-356 View citations (50)
    See also Working Paper A gravity model of mortality rates for two related populations, MPRA Paper (2011) View citations (62) (2011)
55. Bayesian Stochastic Mortality Modelling for Two Populations
    ASTIN Bulletin, 2011, 41, (1), 29-59 View citations (69)
56. Longevity Hedging 101
    North American Actuarial Journal, 2011, 15, (2), 150-176 View citations (47)
57. Longevity Risk and Capital Markets
    North American Actuarial Journal, 2011, 15, (2), 141-149 View citations (5)
    Also in Journal of Risk & Insurance, 2006, 73, (4), 551-557 (2006) View citations (8)
58. Longevity Risk and Capital Markets: The 2010–2011 Update
    The Geneva Papers on Risk and Insurance - Issues and Practice, 2011, 36, (4), 489-500 View citations (1)
    See also Working Paper Longevity risks and capital markets: The 2010-2011 update, MPRA Paper (2011) View citations (2) (2011)
59. Mortality density forecasts: An analysis of six stochastic mortality models
    Insurance: Mathematics and Economics, 2011, 48, (3), 355-367 View citations (97)

2010

60. Backtesting Stochastic Mortality Models
    North American Actuarial Journal, 2010, 14, (3), 281-298 View citations (29)
61. Evaluating the goodness of fit of stochastic mortality models
    Insurance: Mathematics and Economics, 2010, 47, (3), 255-265 View citations (43)
62. Facing up to uncertain life expectancy: The longevity fan charts
    Demography, 2010, 47, (1), 67-78 View citations (13)
63. Longevity risk and capital markets: The 2008-2009 update
    Insurance: Mathematics and Economics, 2010, 46, (1), 135-138 View citations (2)
64. Pension Plan Decisions
    Review of Behavioral Finance, 2010, 2, (1), 19-36 View citations (2)
65. Securitizing and tranching longevity exposures
    Insurance: Mathematics and Economics, 2010, 46, (1), 186-197 View citations (25)
66. Survivor Derivatives: A Consistent Pricing Framework
    Journal of Risk & Insurance, 2010, 77, (3), 579-596 View citations (23)

2009

67. A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States
    North American Actuarial Journal, 2009, 13, (1), 1-35 View citations (200)
68. Designing a Defined-Contribution Plan: What to Learn from Aircraft Designers
    Financial Analysts Journal, 2009, 65, (1), 37-42
69. Options on normal underlyings with an application to the pricing of survivor swaptions
    Journal of Futures Markets, 2009, 29, (8), 757-774 View citations (4)

2008

70. Defined contribution pensions: dealing with the reluctant investor
    Journal of Financial Regulation and Compliance, 2008, 16, (3), 206-219 View citations (1)
71. Longevity Risk and Capital Markets: The 2007-2008 Update
    Asia-Pacific Journal of Risk and Insurance, 2008, 3, (1), 6 View citations (1)
72. Longevity risk and the Grim Reaper's toxic tail: The survivor fan charts
    Insurance: Mathematics and Economics, 2008, 42, (3), 1062-1066 View citations (22)
73. Modelling and management of mortality risk: a review
    Scandinavian Actuarial Journal, 2008, 2008, (2-3), 79-113 View citations (11)
74. The Birth of the Life Market
    Asia-Pacific Journal of Risk and Insurance, 2008, 3, (1), 32 View citations (19)
75. What is a Promise from the Government Worth? Quantifying Political Risk in State and Personal Pension Schemes in the United Kingdom
    Economica, 2008, 75, (298), 342-361 View citations (2)

2007

76. Default Funds in U.K. Defined-Contribution Plans (corrected)
    Financial Analysts Journal, 2007, 63, (4), 40-51
77. The Impact of Occupation and Gender on Pensions from Defined Contribution Plans
    The Geneva Papers on Risk and Insurance - Issues and Practice, 2007, 32, (4), 458-482 View citations (10)

2006

78. A Two‐Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration
    Journal of Risk & Insurance, 2006, 73, (4), 687-718 View citations (282)
79. After VaR: The Theory, Estimation, and Insurance Applications of Quantile‐Based Risk Measures
    Journal of Risk & Insurance, 2006, 73, (2), 193-229 View citations (49)
80. Living with Mortality: Longevity Bonds and Other Mortality-Linked Securities
    British Actuarial Journal, 2006, 12, (1), 153-197 View citations (91)
81. Longevity Bonds: Financial Engineering, Valuation, and Hedging
    Journal of Risk & Insurance, 2006, 73, (4), 647-672 View citations (71)
82. Mortality-dependent financial risk measures
    Insurance: Mathematics and Economics, 2006, 38, (3), 427-440 View citations (14)
83. On The Sustainability of the UK State Pension System in the Light of Population Ageing and Declining Fertility
    Economic Journal, 2006, 116, (512), F286-F305 View citations (36)
84. PYRRHIC VICTORY? THE UNINTENDED CONSEQUENCE OF THE PENSIONS ACT 2004
    Economic Affairs, 2006, 26, (2), 9-16
85. Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk*
    ASTIN Bulletin, 2006, 36, (1), 79-120 View citations (107)
86. Stochastic lifestyling: Optimal dynamic asset allocation for defined contribution pension plans
    Journal of Economic Dynamics and Control, 2006, 30, (5), 843-877 View citations (100)
    See also Working Paper Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans, LSE Research Online Documents on Economics (2004) View citations (1) (2004)
87. Survivor Swaps
    Journal of Risk & Insurance, 2006, 73, (1), 1-17 View citations (38)

2005

88. International Asset Allocation with Time-Varying Investment Opportunities
    The Journal of Business, 2005, 78, (1), 71-98 View citations (18)
    See also Working Paper International Asset Allocation with Time-Varying Investment Opportunities, CEPR Discussion Papers (2002) View citations (3) (2002)
89. Returns from active management in international equity markets: Evidence from a panel of UK pension funds
    Journal of Asset Management, 2005, 6, (1), 5-20 View citations (4)
    See also Working Paper Returns from active management in international equity markets: evidence from a panel of UK pension funds, LSE Research Online Documents on Economics (2002) View citations (2) (2002)
90. “Pensions and Capital Structure: Why Hold Equities in the Pension Fund?”, John Ralfe, Cliff Speed, and Jon Palin, July 2004
    North American Actuarial Journal, 2005, 9, (4), 125-130

2004

91. Long‐Term Value at Risk
    Journal of Risk Finance, 2004, 5, (2), 52-57 View citations (1)
    See also Working Paper Long-term value at risk, LSE Research Online Documents on Economics (2003) View citations (2) (2003)
92. Modelling the composition of personal sector wealth in the UK
    Applied Financial Economics, 2004, 14, (9), 611-630 View citations (9)
93. The impact of wealth on consumption and retirement behaviour in the UK
    Applied Financial Economics, 2004, 14, (8), 555-576 View citations (20)
    See also Working Paper The impact of wealth on consumption and retirement behaviour in the UK, LSE Research Online Documents on Economics (2002) View citations (1) (2002)

2003

94. Pensionmetrics 2: stochastic pension plan design during the distribution phase
    Insurance: Mathematics and Economics, 2003, 33, (1), 29-47 View citations (73)
    See also Working Paper Pensionmetrics 2: stochastic pension plan design during the distribution phase, LSE Research Online Documents on Economics (2003) View citations (59) (2003)
95. Reply to “Survivor Bonds: A Comment on Blake and Burrows”
    Journal of Risk & Insurance, 2003, 70, (2), 349-351 View citations (3)
96. UK pension fund management after Myners: The hunt for correlation begins
    Journal of Asset Management, 2003, 4, (1), 32-72 View citations (3)
    See also Working Paper UK pension fund management after Myners: the hunt for correlation begins, LSE Research Online Documents on Economics (2003) View citations (3) (2003)

2002

97. Performance clustering and incentives in the UK pension fund industry
    Journal of Asset Management, 2002, 3, (2), 173-194 View citations (28)
    See also Working Paper Performance clustering and incentives in the UK pension fund industry, LSE Research Online Documents on Economics (2002) View citations (38) (2002)

2001

98. Pensionmetrics: stochastic pension plan design and value-at-risk during the accumulation phase
    Insurance: Mathematics and Economics, 2001, 29, (2), 187-215 View citations (54)

2000

99. Does It Matter What Type of Pension Scheme You Have?
    Economic Journal, 2000, 110, (461), F46-81 View citations (24)
100. Measuring Value Added in the Pensions Industry
     The Geneva Papers on Risk and Insurance - Issues and Practice, 2000, 25, (4), 539-567 View citations (6)

1999

101. Annual estimates of personal wealth holdings in the United Kingdom since 1948
     Applied Financial Economics, 1999, 9, (4), 397-421 View citations (21)
102. Annuity Markets: Problems and Solutions
     The Geneva Papers on Risk and Insurance - Issues and Practice, 1999, 24, (3), 358-375 View citations (30)
103. Asset Allocation Dynamics and Pension Fund Performance
     The Journal of Business, 1999, 72, (4), 429-61 View citations (104)
104. Portfolio Choice Models of Pension Funds and Life Assurance Companies: Similarities and Differences
     The Geneva Papers on Risk and Insurance - Issues and Practice, 1999, 24, (3), 327-357 View citations (5)
105. The hazards of mutual fund underperformance: A Cox regression analysis
     Journal of Empirical Finance, 1999, 6, (2), 121-152 View citations (37)
     See also Working Paper The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis, University of California at San Diego, Economics Working Paper Series (1998) View citations (3) (1998)

1998

106. Mutual Fund Performance: Evidence from the UK
     Review of Finance, 1998, 2, (1), 57-77 View citations (78)
107. Pension schemes as options on pension fund assets: implications for pension fund management
     Insurance: Mathematics and Economics, 1998, 23, (3), 263-286 View citations (36)

1997

108. The demand for alcohol in the United Kingdom
     Applied Economics, 1997, 29, (12), 1655-1672 View citations (26)

1996

109. Efficiency, Risk Aversion and Portfolio Insurance: An Analysis of Financial Asset Portfolios Held by Investors in the United Kingdom
     Economic Journal, 1996, 106, (438), 1175-92 View citations (77)
110. Financial Intermediation and Financial Innovation in a Characteristics Framework
     Scottish Journal of Political Economy, 1996, 43, (1), 16-31 View citations (4)

1993

111. The fisher hypothesis: Evidence from three high inflation economies
     Review of World Economics (Weltwirtschaftliches Archiv), 1993, 129, (3), 591-599 View citations (18)

1992

112. The Demand for Cider in the United Kingdom
     Oxford Bulletin of Economics and Statistics, 1992, 54, (1), 73-86 View citations (1)

1991

113. Debt-equity swaps as bond conversions: implications for pricing
     Journal of Banking & Finance, 1991, 15, (1), 29-41 View citations (2)
114. The Estimation of Rational Expectations Models: A Survey
     Journal of Economic Studies, 1991, 18, (3), -

1990

115. Portfolio Behaviour and Asset Pricing in a Characteristics Framework
     Scottish Journal of Political Economy, 1990, 37, (4), 343-59 View citations (1)

1989

116. Testing models generating time varying asset return expectations and risks: The case of UK private sector pension funds
     Economic Modelling, 1989, 6, (2), 220-240

1988

117. The stochastic analysis of competitive unemployment insurance premiums
     European Economic Review, 1988, 32, (1), 7-25 View citations (2)

1986

118. The Performance of UK Exchange Rate Forecasters
     Economic Journal, 1986, 96, (384), 986-99 View citations (29)

1984

119. Complete systems methods of estimating models with rational and adaptive expectations: A case study
     European Economic Review, 1984, 24, (2), 137-150 View citations (1)

1982

120. Monetarism and the US economy: A re-evaluation of Stein's model 1960-1973
     Journal of Monetary Economics, 1982, 10, (1), 111-125 View citations (1)

1981

121. 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, 1981, 63, (4), 629-32 View citations (4)

Books

2003

1. Pension Schemes and Pension Funds in the United Kingdom
   OUP Catalogue, Oxford University Press View citations (32)

Chapters

2011

1. Optimal Investment Strategies in Defined Contribution Pension Plans
   Palgrave Macmillan

2008

2. It is all Back to Front: Critical Issues in the Design of Defined Contribution Pension Plans
   Chapter 6 in Frontiers in Pension Finance, 2008

2004

3. Contracting Out of the State Pension System: The British Experience of Carrots and Sticks
   Chapter 1 in Rethinking the Welfare State, 2004 View citations (1)

2002

4. The United Kingdom: Examining the Switch from Low Public Pensions to High-Cost Private Pensions
   A chapter in Social Security Pension Reform in Europe, 2002, pp 317-348 View citations (4)

1992

5. A Non-linear Model of Portfolio Behaviour With Time-varying Expectations and Risks
   Palgrave Macmillan