Edit Profile (opens in new tab) Blake, David Compute Distance To: Compute Author ID: blake.david Published as: Blake, David Documents Indexed: 37 Publications since 1998 5 Contributions as Editor Co-Authors: 32 Co-Authors with 40 Joint Publications 328 Co-Co-Authors all top 5 Co-Authors 2 single-authored 18 Cairns, Andrew J. G. 18 Dowd, Kevin 8 Hunt, Andrew 5 Coughlan, Guy D. 5 MacMinn, Richard D. 2 Biffis, Enrico 2 Epstein, David 2 Khalaf-Allah, Marwa 2 Tonks, Ian 2 Wright, Douglas 2 Zhang, Yumeng 1 Balevich, Igor 1 Bessler, Wolfgang 1 Boardman, Tom 1 Buckner, Dean 1 Caulfield, Tristan 1 De Waegenaere, Anja 1 El Karoui, Nicole 1 Fry, John L. 1 Hardy, Mary Rosalyn 1 Ioannidis, Christos 1 Kallestrup-Lamb, Malene 1 Li, Johnny Siu-Hang 1 Loisel, Stéphane 1 Lückoff, Peter 1 Nijman, Theo E. 1 Ong, Alen 1 Rosenskjold, Carsten 1 Rowney, Jeffrey 1 Timmermann, Allan G. 1 Tsai, Jason Chenghsien 1 Wang, Jennifer L. all top 5 Serials 14 North American Actuarial Journal 12 Insurance Mathematics & Economics 3 Journal of Economic Dynamics & Control 3 ASTIN Bulletin 1 Journal of Econometrics 1 Economics Letters 1 European Finance Review 1 Scandinavian Actuarial Journal 1 Quantitative Finance 1 IMA Journal of Management Mathematics 1 Review of Finance 1 European Actuarial Journal all top 5 Fields 37 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 12 Statistics (62-XX) 5 General and overarching topics; collections (00-XX) 1 Probability theory and stochastic processes (60-XX) 1 Operations research, mathematical programming (90-XX) 1 Biology and other natural sciences (92-XX) 1 Systems theory; control (93-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 38 Publications have been cited 741 times in 452 Documents Cited by ▼ Year ▼ Pricing death frameworks for the valuation and securitization of mortality risk. Zbl 1162.91403Cairns, Andrew J. G.; Blake, David; Dowd, Kevin 116 2006 Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans. Zbl 1200.91297Cairns, Andrew J. G.; Blake, David; Dowd, Kevin 79 2006 A gravity model of mortality rates for two related populations. Zbl 1228.91032Dowd, Kevin; Cairns, Andrew J. G.; Blake, David; Coughlan, Guy D.; Khalaf-Allah, Marwa 75 2011 Modeling and management of mortality risk: a review. Zbl 1224.91048Cairns, Andrew J. G.; Blake, David; Dowd, Kevin 69 2008 Evaluating the goodness of fit of stochastic mortality models. Zbl 1231.91179Dowd, Kevin; Cairns, Andrew J. G.; Blake, David; Coughlan, Guy D.; Epstein, David; Khalaf-Allah, Marwa 49 2010 Pensionmetrics 2: Stochastic pension plan design during the distribution phase. Zbl 1043.62086Blake, David; Cairns, Andrew J. G.; Dowd, Kevin 40 2003 Longevity hedge effectiveness: a decomposition. Zbl 1294.91072Cairns, Andrew J. G.; Dowd, Kevin; Blake, David; Coughlan, Guy D. 36 2014 Target-driven investing: optimal investment strategies in defined contribution pension plans under loss aversion. Zbl 1345.91067Blake, David; Wright, Douglas; Zhang, Yumeng 32 2013 Pensionmetrics: Stochastic pension plan design and value-at-risk during the accumulation phase. Zbl 0989.62057Blake, David; Cairns, Andrew J. G.; Dowd, Kevin 27 2001 A quantitative comparison of stochastic mortality models using data from England and Wales and the United States. Zbl 1484.91376Cairns, Andrew J. G.; Blake, David; Dowd, Kevin; Coughlan, Guy D.; Epstein, David; Ong, Alen; Balevich, Igor 26 2009 Modelling longevity bonds: analysing the Swiss Re Kortis bond. Zbl 1348.91150Hunt, Andrew; Blake, David 22 2015 A general procedure for constructing mortality models. Zbl 1412.91045Hunt, Andrew; Blake, David 22 2014 Longevity risk and the Grim Reaper’s toxic tail: The survivor fan charts. Zbl 1141.91485Blake, 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 1402.90200Blake, David; Wright, Douglas; Zhang, Yumeng 15 2014 A computationally efficient algorithm for estimating the distribution of future annuity values under interest-rate and longevity risks. Zbl 1228.91031Dowd, Kevin; Blake, David; Cairns, Andrew J. G. 12 2011 Mortality-dependent financial risk measures. Zbl 1168.91411Dowd, Kevin; Cairns, Andrew J. G.; Blake, David 12 2006 Securitizing and tranching longevity exposures. Zbl 1231.91144Biffis, Enrico; Blake, David 10 2010 Keeping some skin in the game: how to start a capital market in longevity risk transfers. Zbl 1412.91031Biffis, Enrico; Blake, David 9 2014 Sharing longevity risk: why governments should issue longevity bonds. Zbl 1412.91033Blake, David; Boardman, Tom; Cairns, Andrew 9 2014 Pension schemes as options on pension fund assets: implications for pension fund management. Zbl 0920.62130Blake, David 9 1998 Identifiability, cointegration and the gravity model. Zbl 1400.91248Hunt, Andrew; Blake, David 8 2018 Modelling socio-economic differences in mortality using a new affluence index. Zbl 1427.91201Cairns, Andrew J. G.; Kallestrup-Lamb, Malene; Rosenskjold, Carsten; Blake, David; Dowd, Kevin 7 2019 After VAR: the theory, estimation, and insurance applications of quantile-based risk measures. Zbl 1375.91245Dowd, Kevin; Blake, David 5 2008 Modelling mortality for pension schemes. Zbl 1390.91189Hunt, Andrew; Blake, David 5 2017 Optimal dynamic asset allocation for defined contribution pension plans. Zbl 1141.91492Cairns, Andrew J. G.; Blake, David; Dowd, Kevin 5 2008 On the structure and classification of mortality models. Zbl 1461.91244Hunt, Andrew; Blake, David 4 2021 The valuation of no-negative equity guarantees and equity release mortgages. Zbl 1422.91340Dowd, Kevin; Buckner, Dean; Blake, David; Fry, John 4 2019 Longevity risk and capital markets: the 2012–2013 update. Zbl 1458.00030 3 2014 Improved inference in the evaluation of mutual fund performance using panel bootstrap methods. Zbl 1312.62137Blake, David; Caulfield, Tristan; Ioannidis, Christos; Tonks, Ian 2 2014 Longevity risk and capital markets: the 2008-2009 update. Zbl 1231.91002Blake, David; De Waegenaere, Anja; Macminn, Richard; Nijman, Theo 2 2010 A Bayesian approach to modeling and projecting cohort effects. Zbl 1461.91245Hunt, Andrew; Blake, David 2 2021 Mutual fund performance: Evidence from the UK. Zbl 0937.91504Blake, David; Timmermann, Allan 2 1998 Longevity risk and capital markets: the 2019–20 update. Zbl 07368206 2 2021 Longevity risk and capital markets: the 2015–16 update. Zbl 1384.00062 1 2018 Longevity risk and capital markets: the 2017–2018 update. Zbl 07341011 1 2021 Hedging annuity risks with the age-period-cohort two-population gravity model. Zbl 1461.91243Dowd, Kevin; Cairns, Andrew J. G.; Blake, David 1 2021 Forward mortality rates in discrete time. I: Calibration and securities pricing. Zbl 1461.91246Hunt, Andrew; Blake, David 1 2021 Forward mortality rates in discrete time. II: Longevity risk and hedging strategies. Zbl 1461.91247Hunt, Andrew; Blake, David 1 2021 On the structure and classification of mortality models. Zbl 1461.91244Hunt, Andrew; Blake, David 4 2021 A Bayesian approach to modeling and projecting cohort effects. Zbl 1461.91245Hunt, Andrew; Blake, David 2 2021 Longevity risk and capital markets: the 2019–20 update. Zbl 07368206 2 2021 Longevity risk and capital markets: the 2017–2018 update. Zbl 07341011 1 2021 Hedging annuity risks with the age-period-cohort two-population gravity model. Zbl 1461.91243Dowd, Kevin; Cairns, Andrew J. G.; Blake, David 1 2021 Forward mortality rates in discrete time. I: Calibration and securities pricing. Zbl 1461.91246Hunt, Andrew; Blake, David 1 2021 Forward mortality rates in discrete time. II: Longevity risk and hedging strategies. Zbl 1461.91247Hunt, Andrew; Blake, David 1 2021 Modelling socio-economic differences in mortality using a new affluence index. Zbl 1427.91201Cairns, Andrew J. G.; Kallestrup-Lamb, Malene; Rosenskjold, Carsten; Blake, David; Dowd, Kevin 7 2019 The valuation of no-negative equity guarantees and equity release mortgages. Zbl 1422.91340Dowd, Kevin; Buckner, Dean; Blake, David; Fry, John 4 2019 Identifiability, cointegration and the gravity model. Zbl 1400.91248Hunt, Andrew; Blake, David 8 2018 Longevity risk and capital markets: the 2015–16 update. Zbl 1384.00062 1 2018 Modelling mortality for pension schemes. Zbl 1390.91189Hunt, Andrew; Blake, David 5 2017 Modelling longevity bonds: analysing the Swiss Re Kortis bond. Zbl 1348.91150Hunt, Andrew; Blake, David 22 2015 Longevity hedge effectiveness: a decomposition. Zbl 1294.91072Cairns, Andrew J. G.; Dowd, Kevin; Blake, David; Coughlan, Guy D. 36 2014 A general procedure for constructing mortality models. Zbl 1412.91045Hunt, Andrew; Blake, David 22 2014 Age-dependent investing: optimal funding and investment strategies in defined contribution pension plans when members are rational life cycle financial planners. Zbl 1402.90200Blake, David; Wright, Douglas; Zhang, Yumeng 15 2014 Keeping some skin in the game: how to start a capital market in longevity risk transfers. Zbl 1412.91031Biffis, Enrico; Blake, David 9 2014 Sharing longevity risk: why governments should issue longevity bonds. Zbl 1412.91033Blake, David; Boardman, Tom; Cairns, Andrew 9 2014 Longevity risk and capital markets: the 2012–2013 update. Zbl 1458.00030 3 2014 Improved inference in the evaluation of mutual fund performance using panel bootstrap methods. Zbl 1312.62137Blake, David; Caulfield, Tristan; Ioannidis, Christos; Tonks, Ian 2 2014 Target-driven investing: optimal investment strategies in defined contribution pension plans under loss aversion. Zbl 1345.91067Blake, David; Wright, Douglas; Zhang, Yumeng 32 2013 A gravity model of mortality rates for two related populations. Zbl 1228.91032Dowd, Kevin; Cairns, Andrew J. G.; Blake, David; Coughlan, Guy D.; Khalaf-Allah, Marwa 75 2011 A computationally efficient algorithm for estimating the distribution of future annuity values under interest-rate and longevity risks. Zbl 1228.91031Dowd, Kevin; Blake, David; Cairns, Andrew J. G. 12 2011 Evaluating the goodness of fit of stochastic mortality models. Zbl 1231.91179Dowd, Kevin; Cairns, Andrew J. G.; Blake, David; Coughlan, Guy D.; Epstein, David; Khalaf-Allah, Marwa 49 2010 Securitizing and tranching longevity exposures. Zbl 1231.91144Biffis, Enrico; Blake, David 10 2010 Longevity risk and capital markets: the 2008-2009 update. Zbl 1231.91002Blake, David; De Waegenaere, Anja; Macminn, Richard; Nijman, Theo 2 2010 A quantitative comparison of stochastic mortality models using data from England and Wales and the United States. Zbl 1484.91376Cairns, Andrew J. G.; Blake, David; Dowd, Kevin; Coughlan, Guy D.; Epstein, David; Ong, Alen; Balevich, Igor 26 2009 Modeling and management of mortality risk: a review. Zbl 1224.91048Cairns, Andrew J. G.; Blake, David; Dowd, Kevin 69 2008 Longevity risk and the Grim Reaper’s toxic tail: The survivor fan charts. Zbl 1141.91485Blake, David; Dowd, Kevin; Cairns, Andrew J. G. 16 2008 After VAR: the theory, estimation, and insurance applications of quantile-based risk measures. Zbl 1375.91245Dowd, Kevin; Blake, David 5 2008 Optimal dynamic asset allocation for defined contribution pension plans. Zbl 1141.91492Cairns, Andrew J. G.; Blake, David; Dowd, Kevin 5 2008 Pricing death frameworks for the valuation and securitization of mortality risk. Zbl 1162.91403Cairns, Andrew J. G.; Blake, David; Dowd, Kevin 116 2006 Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans. Zbl 1200.91297Cairns, Andrew J. G.; Blake, David; Dowd, Kevin 79 2006 Mortality-dependent financial risk measures. Zbl 1168.91411Dowd, Kevin; Cairns, Andrew J. G.; Blake, David 12 2006 Pensionmetrics 2: Stochastic pension plan design during the distribution phase. Zbl 1043.62086Blake, David; Cairns, Andrew J. G.; Dowd, Kevin 40 2003 Pensionmetrics: Stochastic pension plan design and value-at-risk during the accumulation phase. Zbl 0989.62057Blake, David; Cairns, Andrew J. G.; Dowd, Kevin 27 2001 Pension schemes as options on pension fund assets: implications for pension fund management. Zbl 0920.62130Blake, David 9 1998 Mutual fund performance: Evidence from the UK. Zbl 0937.91504Blake, David; Timmermann, Allan 2 1998 all cited Publications top 5 cited Publications all top 5 Cited by 621 Authors 32 Blake, David 23 Cairns, Andrew J. G. 20 Li, Johnny Siu-Hang 16 Dowd, Kevin 13 Haberman, Steven 11 Vigna, Elena 10 Liang, Zongxia 10 Sherris, Michael 9 Li, Jackie 8 Hunt, Andrew 8 Liu, Yanxin 7 Lin, Yijia 7 MacMinn, Richard D. 7 Tsai, Cary Chi-Liang 7 Yao, Haixiang 6 Dong, Yinghui 6 Forsyth, Peter A. 6 Li, Hong 6 Mamon, Rogemar S. 6 Milevsky, Moshe Arye 6 Young, Virginia R. 5 Biffis, Enrico 5 Börger, Matthias 5 Chen, An 5 Christiansen, Marcus Christian 5 Cox, Samuel H. jun. 5 Hardy, Mary Rosalyn 5 He, Lin 5 Li, Han 5 Li, Zhongfei 5 Liu, Xiaoming 5 Luciano, Elisa 5 Menoncin, Francesco 5 Millossovich, Pietro 5 Rong, Ximin 5 Tan, Ken Seng 5 Wang, Chou-Wen 5 Zeng, Yan 5 Zhou, Kenneth Q. 5 Zhou, Rui 4 Antonio, Katrien 4 Biagini, Francesca 4 Bravo, Jorge Miguel 4 Chen, Ping 4 Coughlan, Guy D. 4 De Waegenaere, Anja 4 Denuit, Michel M. 4 Devolder, Pierre 4 Gerrard, Russell 4 Guan, Guohui 4 Jarner, Søren Fiig 4 Konicz, Agnieszka Karolina 4 Korn, Ralf 4 Lin, Tzuling 4 Loisel, Stéphane 4 MacDonald, Bonnie-Jeanne 4 Maurer, Raimond H. 4 O’Hare, Colin 4 Regis, Luca 4 Steffensen, Mogens 4 Sun, Jingyun 4 Tzeng, Larry Yu-Ren 4 Wang, Jennifer L. 4 Wu, Huiling 4 Zhao, Hui 4 Ziveyi, Jonathan 3 Balasooriya, Uditha 3 Bauer, Daniel J. 3 Buckner, Dean 3 Chen, Hua 3 Chen, Zheng 3 Chen, Zhiping 3 Delong, Łukasz 3 Di Giacinto, Marina 3 Federico, Salvatore 3 Gao, Huan 3 Giacometti, Rosella 3 Huang, Hong-Chih 3 Jevtić, Petar 3 Josa-Fombellida, Ricardo 3 Kleinow, Torsten 3 Kogure, Atsuyuki 3 Levantesi, Susanna 3 Li, Xun 3 Ludkovski, Michael 3 Møller, Thomas H. 3 Nielsen, Jens Perch 3 Olivieri, Annamaria 3 Pisinger, David 3 Planchet, Frédéric 3 Rincón-Zapatero, Juan Pablo 3 Ruß, Jochen 3 Shi, Yanlin 3 Tsai, Jeffrey Tzuhao 3 Vellekoop, Michel H. 3 Villegas, Andrés M. 3 Wang, Jian 3 Wang, Liyuan 3 Wong, Hoi Ying 3 Zhang, Ling ...and 521 more Authors all top 5 Cited in 58 Serials 179 Insurance Mathematics & Economics 57 North American Actuarial Journal 41 Scandinavian Actuarial Journal 31 ASTIN Bulletin 21 European Actuarial Journal 12 Journal of Economic Dynamics & Control 9 European Journal of Operational Research 7 Annals of Operations Research 7 Communications in Statistics. Theory and Methods 7 Quantitative Finance 6 Journal of Industrial and Management Optimization 5 Journal of Computational and Applied Mathematics 5 Finance and Stochastics 4 Discrete Dynamics in Nature and Society 4 Decisions in Economics and Finance 3 Economics Letters 3 International Journal of Theoretical and Applied Finance 3 Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik) 2 Lithuanian Mathematical Journal 2 Applied Mathematics and Computation 2 Stochastic Analysis and Applications 2 Soft Computing 2 Mathematical Methods of Operations Research 2 Probability in the Engineering and Informational Sciences 1 Advances in Applied Probability 1 International Journal of Control 1 Journal of Econometrics 1 Journal of Optimization Theory and Applications 1 Operations Research 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 Journal of Applied Statistics 1 CEJOR. Central European Journal of Operations Research 1 Methodology and Computing in Applied Probability 1 Applied Stochastic Models in Business and Industry 1 Matematicheskoe Modelirovanie 1 OR Spectrum 1 Stochastics and Dynamics 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 1 Mathematical Statistics and Learning 1 Probability, Uncertainty and Quantitative Risk all top 5 Cited in 15 Fields 439 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 151 Statistics (62-XX) 57 Probability theory and stochastic processes (60-XX) 56 Systems theory; control (93-XX) 30 Operations research, mathematical programming (90-XX) 16 Calculus of variations and optimal control; optimization (49-XX) 9 Numerical analysis (65-XX) 5 General and overarching topics; collections (00-XX) 5 Computer science (68-XX) 4 Partial differential equations (35-XX) 3 Biology and other natural sciences (92-XX) 1 Ordinary differential equations (34-XX) 1 Integral transforms, operational calculus (44-XX) 1 Integral equations (45-XX) 1 Operator theory (47-XX) Citations by Year