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Items where City Author is "Blake, D."

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Number of items: 51.

Article

Hunt, A. and Blake, D. (2018). On the Structure and Classification of Mortality Models. North American Actuarial Journal,

Dowd, K., Cairns, A. J. G. and Blake, D. (2018). Hedging Annuity Risks with the Age-Period-Cohort Two-Population Gravity Model. North American Actuarial Journal,

Blake, D. (2018). Longevity: A New Asset Class. Journal of Asset Management, doi: 10.1057/s41260-018-0084-9

Rossi, A. G., Blake, D., Timmermann, A., Tonks, I. and Wermers, R. (2018). Network Centrality and Delegated Investment Performance. Journal of Financial Economics, 128(1), pp. 183-206. doi: 10.1016/j.jfineco.2018.02.003

Blake, D., El Karoui, N., Loisel, S. and MacMinn, R. (2017). Longevity Risk and Capital Markets: The 2015-16 Update. Insurance: Mathematics and Economics, doi: 10.1016/j.insmatheco.2017.10.002

Hunt, A. and Blake, D. (2017). Identifiability, cointegration and the gravity model. Insurance: Mathematics and Economics, doi: 10.1016/j.insmatheco.2017.09.014

Bessler, W., Blake, D., Lückoff, P. and Tonks, I. (2017). Fund Flows, Manager Changes, and Performance Persistence*. Review of Finance, doi: 10.1093/rof/rfx017

Blake, D., Caulfield, T., Ioannidis, C. and Tonks, I. (2017). New Evidence on Mutual Fund Performance: A Comparison of Alternative Bootstrap Methods. Journal of Financial and Quantitative Analysis, pp. 1-21. doi: 10.1017/S0022109017000229

Blake, D. and Morales, M. (2017). Longevity Risk and Capital Markets: The 2014-15 Update. Journal Of Risk And Insurance, 84, pp. 279-297. doi: 10.1111/jori.12213

Sarno, L., Blake, D. and Zinna, G. (2017). The market for lemmings: The herding behavior of pension funds. Journal of Financial Markets, doi: 10.1016/j.finmar.2017.03.001

Hunt, A. and Blake, D. (2017). Modelling Mortality for Pension Schemes. ASTIN Bulletin, doi: 10.1017/asb.2016.40

Cairns, A.J.G., Blake, D., Dowd, K. and Kessler, A.R. (2016). Phantoms never die: Living with unreliable population data. Journal of the Royal Statistical Society. Series A: Statistics in Society, 179(4), pp. 975-1005. doi: 10.1111/rssa.12159

Dowd, K., Blake, D. and Cairns, A. J. G. (2016). The Myth of Methuselah and the Uncertainty of Death: The Mortality Fan Charts. Risks, 4(3), 21.. doi: 10.3390/risks4030021

Biffis, E., Blake, D., Pitotti, L. and Sun, A. (2016). The Cost of Counterparty Risk and Collateralization in Longevity Swaps. Journal Of Risk And Insurance, 83(2), pp. 387-419. doi: 10.1111/jori.12055

Inkmann, J., Blake, D. and Shi, Z. (2015). Managing Financially Distressed Pension Plans in the Interest of Beneficiaries. Journal of Risk and Insurance, doi: 10.1111/jori.12090

Tan, K.S., Blake, D. and MacMinn, R. (2015). Longevity Risk and Capital Markets: The 2013-14 Update. Insurance: Mathematics and Economics, 63, pp. 1-11. doi: 10.1016/j.insmatheco.2015.03.015

Hunt, A. and Blake, D. (2015). Modelling longevity bonds: Analysing the Swiss Re Kortis bond. Insurance: Mathematics and Economics, 63, pp. 12-29. doi: 10.1016/j.insmatheco.2015.03.017

Blake, D., Rossi, A., Timmermann, T., Tonks, I. and Wermers, R. (2015). Decentralization in Pension Fund Management. Journal of Investment Management, 13(3),

Biffis, E. and Blake, D. (2014). Keeping Some Skin in the Game: How to Start a Capital Market in Longevity Risk Transfers. North American Actuarial Journal, 18(1), pp. 14-21. doi: 10.1080/10920277.2013.872552

Blake, D., Boardman, T. and Cairns, A. J. G. (2014). Sharing Longevity Risk: Why Governments Should Issue Longevity Bonds. North American Actuarial Journal, 18(1), pp. 258-277. doi: 10.1080/10920277.2014.883229

Blake, D., Wright, D. and Zhang, Y. (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, 38(1), pp. 105-124. doi: 10.1016/j.jedc.2013.11.001

Hunt, A. and Blake, D. (2014). A General Procedure for Constructing Mortality Models. North American Actuarial Journal, 18(1), pp. 116-138. doi: 10.1080/10920277.2013.852963

Blake, D., Caulfield, T., Ioannidis, C. and Tonks, I. (2014). Improved inference in the evaluation of mutual fund performance using panel bootstrap methods. Journal of Econometrics, 183(2), pp. 202-210. doi: 10.1016/j.jeconom.2014.05.010

Blake, D. and Turner, J.A. (2014). Longevity Insurance Annuities. Benefits Quarterly, 30(1), pp. 39-47.

Cairns, A. J. G., Dowd, K., Blake, D. and Coughlan, G. D. (2014). Longevity hedge effectiveness: A decomposition. Quantitative Finance, 14(2), pp. 217-235. doi: 10.1080/14697688.2012.748986

Biffis, E. and Blake, D. (2013). Informed intermediation of longevity exposures. Journal of Risk and Insurance, 80(3), pp. 559-584. doi: 10.1111/j.1539-6975.2013.01524.x

Blake, D. and Boardman, T. (2013). Spend more today safely: Using behavioral economics to improve retirement expenditure decisions with SPEEDOMETER plans. Risk Management and Insurance Review, 17(1), pp. 83-112. doi: 10.1111/rmir.12007

Blake, D., Cairns, A.J.G., Coughlan, G. D., Dowd, K. and MacMinn, R. (2013). The New Life Market. Journal of Risk and Insurance, 80(3), pp. 501-558. doi: 10.1111/j.1539-6975.2012.01514.x

Blake, D., Rossi, A.G., Timmermann, A., Tonks, I. and Wermers, R. (2013). Decentralized Investment Management: Evidence from the Pension Fund Industry. Journal of Finance, 68(3), pp. 1133-1178. doi: 10.1111/jofi.12024

Blake, D., Wright, D. and Zhang, Y. (2013). Target-driven investing: Optimal investment strategies in defined contribution pension plans under loss aversion. Journal of Economic Dynamics and Control, 37(1), pp. 195-209. doi: 10.1016/j.jedc.2012.08.001

Blake, D., Courbage, C., MacMinn, R. and Sherris, M. (2011). Longevity Risk and Capital Markets: The 2010-2011 Update. The Geneva Papers On Risk And Insurance: Issues And Practice, 36(4), doi: 10.1057/gpp.2011.27

Dawson, P., Dowd, K., Cairns, A.J.G. and Blake, D. (2010). Survivor Derivatives: A Consistent Pricing Framework. Journal Of Risk And Insurance, 77(3), pp. 579-596. doi: 10.1111/j.1539-6975.2010.01356.x

Blake, D., Byrne, A. and Mannion, G. (2010). Pension Plan Decisions. Review of Behavioural Finance, 2(1), pp. 19-36. doi: 10.1108/19405979201000002

Hunt, A. and Blake, D. A Bayesian approach to modelling and projecting cohort effects. North American Actuarial Journal,

Monograph

Blake, D. (2018). How bright are the prospects for UK trade and prosperity post-Brexit?. London: City, University of London.

Blake, D. (2018). Target2: The silent bailout system that keeps the Euro afloat. London: City, University of London.

Blake, D., Caulfield, T., Ioannidis, C. and Tonks, I. (2017). New Evidence on Mutual Fund Performance: A Comparison of Alternative Bootstrap Methods (Report No. PI - 1404). London, UK: Pension Institute, ISSN 1367 - 580X.

Blake, D. and Hunt, A. (2016). Basis Risk and Pension Schemes: A Relative Modelling Approach (Report No. PI-1601). London, UK: Pensions Institute.

Seng Tang, K., Blake, D. and MacMinn, R. (2015). Longevity Risk and Capital Markets: The 2013-14 Update (Report No. PI-1502). London, UK: Pensions Institute.

Blake, D. (2014). The consequences of not having to buy an annuity (Report No. PI-1409). London, UK: Pensions Institute.

Blake, D. (2014). On the Disclosure of the Cost of Investment Management (Report No. PI-1407). London, UK: Pensions Institute.

Bessler, W., Blake, D., Lückoff, P. and Tonks, I. (2014). Why Does Mutual Fund Performance Not Persist? The impact and interaction of fund flows and manager changes (Report No. PI-1009). London, UK: Pensions Institute.

Biffis, E. and Blake, D. (2014). Keeping Some Skin in the Game: How to Start a Capital Market in Longevity Risk Transfers (Report No. PI - 1207). London, UK: Pensions Institute, ISSN 1367-580X.

Harrison, D, Blake, D. and Key, T. (2013). Returning to the Core - Rediscovering a Role for Real Estate in Defined Contribution Pension Schemes. London, UK: Investment Property Forum, ISSN 1367-580X.

Dowd, K. and Blake, D. (2013). Good Practice Principles in Modelling Defined Contribution Pension Plans (Report No. PI-1302). UK: Pensions Institute.

Blake, D., Wright, D. and Zhang, Y. (2008). Optimal funding and investment strategies in defined contribution pension plans under Epstein-Zin utility (Report No. Actuarial Research Paper No. 186). London, UK: Faculty of Actuarial Science & Insurance, City University London.

Report

Blake, D. (2018). Brexit and the City. London: City, University of London.

Blake, D. (2016). Independent Review of Retirement Income Report: We Need a National Narrative: Building a Consensus around Retirement Income. UK: Independent Review of Retirement Income.

Harrison, D. and Blake, D. (2014). The Future of Retirement Income. London: Cass Business School.

Blake, D. and Haig, A. (2014). How do savers think about and respond to risk? Evidence from a population survey and lessons for the investment industry. London: Cass Business School, ISSN 1367-580X.

Harrison, D., Blake, D. and Dowd, K. (2014). VfM: Assessing value for money in defined contribution default funds. London: Cass Business School, ISSN 1367-580X.

This list was generated on Tue Sep 18 04:28:07 2018 UTC.