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Blake, David

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Author ID: blake.david Recent zbMATH articles by "Blake, David"
Published as: Blake, David
Documents Indexed: 40 Publications since 1998

Publications by Year

Citations contained in zbMATH Open

34 Publications have been cited 604 times in 378 Documents Cited by Year
Pricing death frameworks for the valuation and securitization of mortality risk. Zbl 1162.91403
Cairns, Andrew J. G.; Blake, David; Dowd, Kevin
104
2006
Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans. Zbl 1200.91297
Cairns, Andrew J. G.; Blake, David; Dowd, Kevin
73
2006
Modeling and management of mortality risk: a review. Zbl 1224.91048
Cairns, Andrew J. G.; Blake, David; Dowd, Kevin
58
2008
A gravity model of mortality rates for two related populations. Zbl 1228.91032
Dowd, Kevin; Cairns, Andrew J. G.; Blake, David; Coughlan, Guy D.; Khalaf-Allah, Marwa
54
2011
Evaluating the goodness of fit of stochastic mortality models. Zbl 1231.91179
Dowd, Kevin; Cairns, Andrew J. G.; Blake, David; Coughlan, Guy D.; Epstein, David; Khalaf-Allah, Marwa
38
2010
Longevity hedge effectiveness: a decomposition. Zbl 1294.91072
Cairns, Andrew J. G.; Dowd, Kevin; Blake, David; Coughlan, Guy D.
35
2014
Pensionmetrics 2: Stochastic pension plan design during the distribution phase. Zbl 1043.62086
Blake, David; Cairns, Andrew J. G.; Dowd, Kevin
35
2003
Target-driven investing: optimal investment strategies in defined contribution pension plans under loss aversion. Zbl 1345.91067
Blake, David; Wright, Douglas; Zhang, Yumeng
27
2013
Pensionmetrics: Stochastic pension plan design and value-at-risk during the accumulation phase. Zbl 0989.62057
Blake, David; Cairns, Andrew J. G.; Dowd, Kevin
22
2001
Modelling longevity bonds: analysing the Swiss Re Kortis bond. Zbl 1348.91150
Hunt, Andrew; Blake, David
20
2015
A general procedure for constructing mortality models. Zbl 1412.91045
Hunt, Andrew; Blake, David
17
2014
Longevity risk and the Grim Reaper’s toxic tail: The survivor fan charts. Zbl 1141.91485
Blake, David; Dowd, Kevin; Cairns, Andrew J. G.
16
2008
Age-dependent investing: optimal funding and investment strategies in defined contribution pension plans when members are rational life cycle financial planners. Zbl 1402.90200
Blake, David; Wright, Douglas; Zhang, Yumeng
12
2014
A computationally efficient algorithm for estimating the distribution of future annuity values under interest-rate and longevity risks. Zbl 1228.91031
Dowd, Kevin; Blake, David; Cairns, Andrew J. G.
11
2011
Mortality-dependent financial risk measures. Zbl 1168.91411
Dowd, Kevin; Cairns, Andrew J. G.; Blake, David
10
2006
Securitizing and tranching longevity exposures. Zbl 1231.91144
Biffis, Enrico; Blake, David
10
2010
Pension schemes as options on pension fund assets: implications for pension fund management. Zbl 0920.62130
Blake, David
8
1998
Sharing longevity risk: why governments should issue longevity bonds. Zbl 1412.91033
Blake, David; Boardman, Tom; Cairns, Andrew
7
2014
Modelling socio-economic differences in mortality using a new affluence index. Zbl 1427.91201
Cairns, Andrew J. G.; Kallestrup-Lamb, Malene; Rosenskjold, Carsten; Blake, David; Dowd, Kevin
6
2019
Identifiability, cointegration and the gravity model. Zbl 1400.91248
Hunt, Andrew; Blake, David
6
2018
Keeping some skin in the game: how to start a capital market in longevity risk transfers. Zbl 1412.91031
Biffis, Enrico; Blake, David
6
2014
Optimal dynamic asset allocation for defined contribution pension plans. Zbl 1141.91492
Cairns, Andrew J. G.; Blake, David; Dowd, Kevin
5
2008
After VAR: the theory, estimation, and insurance applications of quantile-based risk measures. Zbl 1375.91245
Dowd, Kevin; Blake, David
4
2008
The valuation of no-negative equity guarantees and equity release mortgages. Zbl 1422.91340
Dowd, Kevin; Buckner, Dean; Blake, David; Fry, John
3
2019
Longevity risk and capital markets: the 2012–2013 update. Zbl 1458.00030
Blake, David (ed.); MacMinn, Richard (ed.); Li, Johnny Siu-Hang (ed.); Hardy, Mary (ed.)
3
2014
Modelling mortality for pension schemes. Zbl 1390.91189
Hunt, Andrew; Blake, David
3
2017
Mutual fund performance: Evidence from the UK. Zbl 0937.91504
Blake, David; Timmermann, Allan
2
1998
Longevity risk and capital markets: the 2008-2009 update. Zbl 1231.91002
Blake, David; De Waegenaere, Anja; Macminn, Richard; Nijman, Theo
2
2010
On the structure and classification of mortality models. Zbl 1461.91244
Hunt, Andrew; Blake, David
2
2021
Improved inference in the evaluation of mutual fund performance using panel bootstrap methods. Zbl 1312.62137
Blake, David; Caulfield, Tristan; Ioannidis, Christos; Tonks, Ian
1
2014
Hedging annuity risks with the age-period-cohort two-population gravity model. Zbl 1461.91243
Dowd, Kevin; Cairns, Andrew J. G.; Blake, David
1
2021
A Bayesian approach to modeling and projecting cohort effects. Zbl 1461.91245
Hunt, Andrew; Blake, David
1
2021
Forward mortality rates in discrete time. I: Calibration and securities pricing. Zbl 1461.91246
Hunt, Andrew; Blake, David
1
2021
Forward mortality rates in discrete time. II: Longevity risk and hedging strategies. Zbl 1461.91247
Hunt, Andrew; Blake, David
1
2021
On the structure and classification of mortality models. Zbl 1461.91244
Hunt, Andrew; Blake, David
2
2021
Hedging annuity risks with the age-period-cohort two-population gravity model. Zbl 1461.91243
Dowd, Kevin; Cairns, Andrew J. G.; Blake, David
1
2021
A Bayesian approach to modeling and projecting cohort effects. Zbl 1461.91245
Hunt, Andrew; Blake, David
1
2021
Forward mortality rates in discrete time. I: Calibration and securities pricing. Zbl 1461.91246
Hunt, Andrew; Blake, David
1
2021
Forward mortality rates in discrete time. II: Longevity risk and hedging strategies. Zbl 1461.91247
Hunt, Andrew; Blake, David
1
2021
Modelling socio-economic differences in mortality using a new affluence index. Zbl 1427.91201
Cairns, Andrew J. G.; Kallestrup-Lamb, Malene; Rosenskjold, Carsten; Blake, David; Dowd, Kevin
6
2019
The valuation of no-negative equity guarantees and equity release mortgages. Zbl 1422.91340
Dowd, Kevin; Buckner, Dean; Blake, David; Fry, John
3
2019
Identifiability, cointegration and the gravity model. Zbl 1400.91248
Hunt, Andrew; Blake, David
6
2018
Modelling mortality for pension schemes. Zbl 1390.91189
Hunt, Andrew; Blake, David
3
2017
Modelling longevity bonds: analysing the Swiss Re Kortis bond. Zbl 1348.91150
Hunt, Andrew; Blake, David
20
2015
Longevity hedge effectiveness: a decomposition. Zbl 1294.91072
Cairns, Andrew J. G.; Dowd, Kevin; Blake, David; Coughlan, Guy D.
35
2014
A general procedure for constructing mortality models. Zbl 1412.91045
Hunt, Andrew; Blake, David
17
2014
Age-dependent investing: optimal funding and investment strategies in defined contribution pension plans when members are rational life cycle financial planners. Zbl 1402.90200
Blake, David; Wright, Douglas; Zhang, Yumeng
12
2014
Sharing longevity risk: why governments should issue longevity bonds. Zbl 1412.91033
Blake, David; Boardman, Tom; Cairns, Andrew
7
2014
Keeping some skin in the game: how to start a capital market in longevity risk transfers. Zbl 1412.91031
Biffis, Enrico; Blake, David
6
2014
Longevity risk and capital markets: the 2012–2013 update. Zbl 1458.00030
Blake, David; MacMinn, Richard; Li, Johnny Siu-Hang; Hardy, Mary
3
2014
Improved inference in the evaluation of mutual fund performance using panel bootstrap methods. Zbl 1312.62137
Blake, David; Caulfield, Tristan; Ioannidis, Christos; Tonks, Ian
1
2014
Target-driven investing: optimal investment strategies in defined contribution pension plans under loss aversion. Zbl 1345.91067
Blake, David; Wright, Douglas; Zhang, Yumeng
27
2013
A gravity model of mortality rates for two related populations. Zbl 1228.91032
Dowd, Kevin; Cairns, Andrew J. G.; Blake, David; Coughlan, Guy D.; Khalaf-Allah, Marwa
54
2011
A computationally efficient algorithm for estimating the distribution of future annuity values under interest-rate and longevity risks. Zbl 1228.91031
Dowd, Kevin; Blake, David; Cairns, Andrew J. G.
11
2011
Evaluating the goodness of fit of stochastic mortality models. Zbl 1231.91179
Dowd, Kevin; Cairns, Andrew J. G.; Blake, David; Coughlan, Guy D.; Epstein, David; Khalaf-Allah, Marwa
38
2010
Securitizing and tranching longevity exposures. Zbl 1231.91144
Biffis, Enrico; Blake, David
10
2010
Longevity risk and capital markets: the 2008-2009 update. Zbl 1231.91002
Blake, David; De Waegenaere, Anja; Macminn, Richard; Nijman, Theo
2
2010
Modeling and management of mortality risk: a review. Zbl 1224.91048
Cairns, Andrew J. G.; Blake, David; Dowd, Kevin
58
2008
Longevity risk and the Grim Reaper’s toxic tail: The survivor fan charts. Zbl 1141.91485
Blake, David; Dowd, Kevin; Cairns, Andrew J. G.
16
2008
Optimal dynamic asset allocation for defined contribution pension plans. Zbl 1141.91492
Cairns, Andrew J. G.; Blake, David; Dowd, Kevin
5
2008
After VAR: the theory, estimation, and insurance applications of quantile-based risk measures. Zbl 1375.91245
Dowd, Kevin; Blake, David
4
2008
Pricing death frameworks for the valuation and securitization of mortality risk. Zbl 1162.91403
Cairns, Andrew J. G.; Blake, David; Dowd, Kevin
104
2006
Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans. Zbl 1200.91297
Cairns, Andrew J. G.; Blake, David; Dowd, Kevin
73
2006
Mortality-dependent financial risk measures. Zbl 1168.91411
Dowd, Kevin; Cairns, Andrew J. G.; Blake, David
10
2006
Pensionmetrics 2: Stochastic pension plan design during the distribution phase. Zbl 1043.62086
Blake, David; Cairns, Andrew J. G.; Dowd, Kevin
35
2003
Pensionmetrics: Stochastic pension plan design and value-at-risk during the accumulation phase. Zbl 0989.62057
Blake, David; Cairns, Andrew J. G.; Dowd, Kevin
22
2001
Pension schemes as options on pension fund assets: implications for pension fund management. Zbl 0920.62130
Blake, David
8
1998
Mutual fund performance: Evidence from the UK. Zbl 0937.91504
Blake, David; Timmermann, Allan
2
1998
all top 5

Cited by 513 Authors

30 Blake, David
20 Cairns, Andrew J. G.
19 Li, Johnny Siu-Hang
13 Dowd, Kevin
10 Vigna, Elena
9 Haberman, Steven
8 Hunt, Andrew
8 Liang, Zongxia
8 Liu, Yanxin
8 Sherris, Michael
7 Li, Jackie Ji
6 Forsyth, Peter A.
6 Lin, Yijia
6 MacMinn, Richard D.
6 Mamon, Rogemar S.
6 Milevsky, Moshe Arye
6 Tsai, Cary Chi-Liang
6 Yao, Haixiang
6 Young, Virginia R.
5 Börger, Matthias
5 Christiansen, Marcus Christian
5 Dong, Yinghui
5 Liu, Xiaoming
5 Luciano, Elisa
5 Menoncin, Francesco
5 Millossovich, Pietro
5 Zhou, Rui
4 Antonio, Katrien
4 Biffis, Enrico
4 Cox, Samuel H. jun.
4 De Waegenaere, Anja
4 Denuit, Michel M.
4 Devolder, Pierre
4 Hardy, Mary R.
4 He, Lin
4 Konicz, Agnieszka Karolina
4 Li, Zhongfei
4 Lin, Tzuling
4 Loisel, Stéphane
4 Maurer, Raimond H.
4 O’Hare, Colin
4 Regis, Luca
4 Rong, Ximin
4 Steffensen, Mogens
4 Sun, Jingyun
4 Tan, Ken Seng
4 Tzeng, Larry Yu-Ren
4 Wang, Chou-Wen
4 Wang, Jennifer L.
4 Zeng, Yan
3 Balasooriya, Uditha
3 Bravo, Jorge Miguel
3 Chen, An
3 Chen, Hua
3 Chen, Ping
3 Chen, Zhiping
3 Delong, Łukasz
3 Di Giacinto, Marina
3 Federico, Salvatore
3 Gao, Huan
3 Gerrard, Russell
3 Giacometti, Rosella
3 Guan, Guohui
3 Jarner, Søren Fiig
3 Jevtić, Petar
3 Josa-Fombellida, Ricardo
3 Kleinow, Torsten
3 Kogure, Atsuyuki
3 Korn, Ralf
3 Li, Han
3 Ludkovski, Michael
3 MacDonald, Bonnie-Jeanne
3 Møller, Thomas H.
3 Nielsen, Jens Perch
3 Pisinger, David
3 Planchet, Frédéric
3 Rincón-Zapatero, Juan Pablo
3 Ruß, Jochen
3 Tsai, Jeffrey Tzuhao
3 Vellekoop, Michel H.
3 Wang, Jian
3 Wang, Liyuan
3 Wu, Huiling
3 Zhang, Ling
3 Zhao, Hui
3 Zhou, Kenneth Q.
2 Arnold, Séverine
2 Bacinello, Anna Rita
2 Barrieu, Pauline M.
2 Battocchio, Paolo
2 Bauer, Daniel J.
2 Biagini, Francesca
2 Boonen, Tim J.
2 Buckner, Dean
2 Chan, Wai-Sum
2 Chen, Zheng
2 Chiu, Mei Choi
2 Coughlan, Guy D.
2 Dadashi, Hassan
2 Dahl, Mikkel
...and 413 more Authors
all top 5

Cited in 50 Serials

165 Insurance Mathematics & Economics
47 North American Actuarial Journal
33 Scandinavian Actuarial Journal
20 ASTIN Bulletin
15 European Actuarial Journal
12 Journal of Economic Dynamics & Control
7 European Journal of Operational Research
6 Quantitative Finance
5 Journal of Computational and Applied Mathematics
5 Annals of Operations Research
5 Finance and Stochastics
4 Discrete Dynamics in Nature and Society
4 Decisions in Economics and Finance
4 Journal of Industrial and Management Optimization
3 Economics Letters
3 Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik)
2 Lithuanian Mathematical Journal
2 Stochastic Analysis and Applications
2 Communications in Statistics. Theory and Methods
2 Mathematical Methods of Operations Research
2 International Journal of Theoretical and Applied Finance
1 International Journal of Control
1 Applied Mathematics and Computation
1 Journal of Econometrics
1 Journal of Optimization Theory and Applications
1 Statistics
1 Optimization
1 Computers & Operations Research
1 Mathematical and Computer Modelling
1 Japan Journal of Industrial and Applied Mathematics
1 Computational Statistics and Data Analysis
1 Applied Mathematics. Series B (English Edition)
1 Computational and Applied Mathematics
1 Mathematical Problems in Engineering
1 CEJOR. Central European Journal of Operations Research
1 Probability in the Engineering and Informational Sciences
1 Applied Stochastic Models in Business and Industry
1 Matematicheskoe Modelirovanie
1 OR Spectrum
1 Computational Management Science
1 Stochastics
1 Mathematics and Financial Economics
1 AStA. Advances in Statistical Analysis
1 East Asian Mathematical Journal
1 SIAM Journal on Financial Mathematics
1 Dynamic Games and Applications
1 Dependence Modeling
1 The Scientific World Journal. Probability and Statistics
1 Journal of the Japan Statistical Society. Japanese Issue
1 Cogent Mathematics

Citations by Year