Items where City Author is "Blake, D."

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Number of items: 44.

Article

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

Hunt, A. & 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. & Tonks, I. (2017). Fund Flows, Manager Changes, and Performance Persistence*. Review of Finance, doi: 10.1093/rof/rfx017

Blake, D., Caulfield, T., Ioannidis, C. & 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. & 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. & 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

Blake, D. (2017). Network Centrality and Delegated Investment Performance. Journal of Financial Economics,

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

Cairns, A.J.G., Blake, D., Dowd, K. & 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. & 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. & 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. & 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. & 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. & 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. & Wermers, R. (2015). Decentralization in Pension Fund Management. Journal of Investment Management, 13(3),

Biffis, E. & 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. & 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. & 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. & 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. & 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. & Turner, J.A. (2014). Longevity Insurance Annuities. Benefits Quarterly, 30(1), pp. 39-47.

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

Biffis, E. & 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. & 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. & 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. & 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. & 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. & 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. & 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. & Mannion, G. (2010). Pension Plan Decisions. Review of Behavioural Finance, 2(1), pp. 19-36. doi: 10.1108/19405979201000002

Monograph

Blake, D., Caulfield, T., Ioannidis, C. & 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. & 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. & 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. & 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. & 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. & 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. & Blake, D. (2013). Good Practice Principles in Modelling Defined Contribution Pension Plans (Report No. PI-1302). UK: Pensions Institute.

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

Blake, D. & 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. & 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 Fri Nov 24 06:12:27 2017 UTC.