Edit Profile (opens in new tab) Blake, David Co-Author Distance Author ID: blake.david Published as: Blake, David Documents Indexed: 37 Publications since 1998 5 Contributions as Editor Co-Authors: 31 Co-Authors with 40 Joint Publications 320 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 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 39 Publications have been cited 996 times in 578 Documents Cited by ▼ Year ▼ A quantitative comparison of stochastic mortality models using data from England and Wales and the United States. Zbl 1484.91376 Cairns, Andrew J. G.; Blake, David; Dowd, Kevin; Coughlan, Guy D.; Epstein, David; Ong, Alen; Balevich, Igor 179 2009 Pricing death frameworks for the valuation and securitization of mortality risk. Zbl 1162.91403 Cairns, Andrew J. G.; Blake, David; Dowd, Kevin 124 2006 Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans. Zbl 1200.91297 Cairns, Andrew J. G.; Blake, David; Dowd, Kevin 93 2006 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 84 2011 Modeling and management of mortality risk: a review. Zbl 1224.91048 Cairns, Andrew J. G.; Blake, David; Dowd, Kevin 74 2008 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 54 2010 Pensionmetrics 2: Stochastic pension plan design during the distribution phase. Zbl 1043.62086 Blake, David; Cairns, Andrew J. G.; Dowd, Kevin 41 2003 Longevity hedge effectiveness: a decomposition. Zbl 1294.91072 Cairns, Andrew J. G.; Dowd, Kevin; Blake, David; Coughlan, Guy D. 38 2014 Target-driven investing: optimal investment strategies in defined contribution pension plans under loss aversion. Zbl 1345.91067 Blake, David; Wright, Douglas; Zhang, Yumeng 36 2013 A general procedure for constructing mortality models. Zbl 1412.91045 Hunt, Andrew; Blake, David 30 2014 Pensionmetrics: Stochastic pension plan design and value-at-risk during the accumulation phase. Zbl 0989.62057 Blake, David; Cairns, Andrew J. G.; Dowd, Kevin 28 2001 Modelling longevity bonds: analysing the Swiss Re Kortis bond. Zbl 1348.91150 Hunt, Andrew; Blake, David 23 2015 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 19 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. 17 2008 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. 14 2011 Sharing longevity risk: why governments should issue longevity bonds. Zbl 1412.91033 Blake, David; Boardman, Tom; Cairns, Andrew 14 2014 Keeping some skin in the game: how to start a capital market in longevity risk transfers. Zbl 1412.91031 Biffis, Enrico; Blake, David 13 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 13 2019 Mortality-dependent financial risk measures. Zbl 1168.91411 Dowd, Kevin; Cairns, Andrew J. G.; Blake, David 12 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 9 1998 Identifiability, cointegration and the gravity model. Zbl 1400.91248 Hunt, Andrew; Blake, David 9 2018 On the structure and classification of mortality models. Zbl 1461.91244 Hunt, Andrew; Blake, David 9 2021 Longevity risk and capital markets: the 2012–2013 update. Zbl 1458.00030 7 2014 Modelling mortality for pension schemes. Zbl 1390.91189 Hunt, Andrew; Blake, David 6 2017 Optimal dynamic asset allocation for defined contribution pension plans. Zbl 1141.91492 Cairns, Andrew J. G.; Blake, David; Dowd, Kevin 5 2008 The valuation of no-negative equity guarantees and equity release mortgages. Zbl 1422.91340 Dowd, Kevin; Buckner, Dean; Blake, David; Fry, John 5 2019 After VAR: the theory, estimation, and insurance applications of quantile-based risk measures. Zbl 1375.91245 Dowd, Kevin; Blake, David 4 2008 Longevity risk and capital markets: the 2019–20 update. Zbl 07368206 4 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 3 2014 Longevity risk and capital markets: the 2008-2009 update. Zbl 1231.91002 Blake, David; De Waegenaere, Anja; Macminn, Richard; Nijman, Theo 3 2010 Mutual fund performance: Evidence from the UK. Zbl 0937.91504 Blake, David; Timmermann, Allan 3 1998 A Bayesian approach to modeling and projecting cohort effects. Zbl 1461.91245 Hunt, Andrew; Blake, David 3 2021 Longevity risk and capital markets: the 2015–16 update. Zbl 1384.00062 2 2018 Hedging annuity risks with the age-period-cohort two-population gravity model. Zbl 1461.91243 Dowd, Kevin; Cairns, Andrew J. G.; Blake, David 2 2021 Forward mortality rates in discrete time. I: Calibration and securities pricing. Zbl 1461.91246 Hunt, Andrew; Blake, David 2 2021 Forward mortality rates in discrete time. II: Longevity risk and hedging strategies. Zbl 1461.91247 Hunt, Andrew; Blake, David 2 2021 Fund flows, manager changes, and performance persistence. Zbl 1425.91386 Bessler, Wolfgang; Blake, David; Lückoff, Peter; Tonks, Ian 1 2018 Longevity risk and capital markets: the 2017–2018 update. Zbl 07341011 1 2021 On the structure and classification of mortality models. Zbl 1461.91244 Hunt, Andrew; Blake, David 9 2021 Longevity risk and capital markets: the 2019–20 update. Zbl 07368206 4 2021 A Bayesian approach to modeling and projecting cohort effects. Zbl 1461.91245 Hunt, Andrew; Blake, David 3 2021 Hedging annuity risks with the age-period-cohort two-population gravity model. Zbl 1461.91243 Dowd, Kevin; Cairns, Andrew J. G.; Blake, David 2 2021 Forward mortality rates in discrete time. I: Calibration and securities pricing. Zbl 1461.91246 Hunt, Andrew; Blake, David 2 2021 Forward mortality rates in discrete time. II: Longevity risk and hedging strategies. Zbl 1461.91247 Hunt, Andrew; Blake, David 2 2021 Longevity risk and capital markets: the 2017–2018 update. Zbl 07341011 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 13 2019 The valuation of no-negative equity guarantees and equity release mortgages. Zbl 1422.91340 Dowd, Kevin; Buckner, Dean; Blake, David; Fry, John 5 2019 Identifiability, cointegration and the gravity model. Zbl 1400.91248 Hunt, Andrew; Blake, David 9 2018 Longevity risk and capital markets: the 2015–16 update. Zbl 1384.00062 2 2018 Fund flows, manager changes, and performance persistence. Zbl 1425.91386 Bessler, Wolfgang; Blake, David; Lückoff, Peter; Tonks, Ian 1 2018 Modelling mortality for pension schemes. Zbl 1390.91189 Hunt, Andrew; Blake, David 6 2017 Modelling longevity bonds: analysing the Swiss Re Kortis bond. Zbl 1348.91150 Hunt, Andrew; Blake, David 23 2015 Longevity hedge effectiveness: a decomposition. Zbl 1294.91072 Cairns, Andrew J. G.; Dowd, Kevin; Blake, David; Coughlan, Guy D. 38 2014 A general procedure for constructing mortality models. Zbl 1412.91045 Hunt, Andrew; Blake, David 30 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 19 2014 Sharing longevity risk: why governments should issue longevity bonds. Zbl 1412.91033 Blake, David; Boardman, Tom; Cairns, Andrew 14 2014 Keeping some skin in the game: how to start a capital market in longevity risk transfers. Zbl 1412.91031 Biffis, Enrico; Blake, David 13 2014 Longevity risk and capital markets: the 2012–2013 update. Zbl 1458.00030 7 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 3 2014 Target-driven investing: optimal investment strategies in defined contribution pension plans under loss aversion. Zbl 1345.91067 Blake, David; Wright, Douglas; Zhang, Yumeng 36 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 84 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. 14 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 54 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 3 2010 A quantitative comparison of stochastic mortality models using data from England and Wales and the United States. Zbl 1484.91376 Cairns, Andrew J. G.; Blake, David; Dowd, Kevin; Coughlan, Guy D.; Epstein, David; Ong, Alen; Balevich, Igor 179 2009 Modeling and management of mortality risk: a review. Zbl 1224.91048 Cairns, Andrew J. G.; Blake, David; Dowd, Kevin 74 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. 17 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 124 2006 Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans. Zbl 1200.91297 Cairns, Andrew J. G.; Blake, David; Dowd, Kevin 93 2006 Mortality-dependent financial risk measures. Zbl 1168.91411 Dowd, Kevin; Cairns, Andrew J. G.; Blake, David 12 2006 Pensionmetrics 2: Stochastic pension plan design during the distribution phase. Zbl 1043.62086 Blake, David; Cairns, Andrew J. G.; Dowd, Kevin 41 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 28 2001 Pension schemes as options on pension fund assets: implications for pension fund management. Zbl 0920.62130 Blake, David 9 1998 Mutual fund performance: Evidence from the UK. Zbl 0937.91504 Blake, David; Timmermann, Allan 3 1998 all cited Publications top 5 cited Publications all top 5 Cited by 761 Authors 32 Blake, David 26 Cairns, Andrew J. G. 24 Li, Johnny Siu-Hang 20 Haberman, Steven 16 Dowd, Kevin 13 Sherris, Michael 13 Tsai, Cary Chi-Liang 12 Liang, Zongxia 11 Li, Jackie 11 Vigna, Elena 10 Hunt, Andrew 10 Yao, Haixiang 9 Liu, Yanxin 8 Denuit, Michel M. 8 Kleinow, Torsten 8 Li, Hong 8 Mamon, Rogemar S. 8 O’Hare, Colin 7 Forsyth, Peter A. 7 Li, Han 7 Lin, Tzuling 7 Lin, Yijia 7 MacMinn, Richard D. 7 Villegas, Andrés M. 7 Wang, Chou-Wen 6 Biagini, Francesca 6 Devolder, Pierre 6 Dong, Yinghui 6 Huang, Hong-Chih 6 Levantesi, Susanna 6 Li, Zhongfei 6 Liu, Xiaoming 6 Milevsky, Moshe Arye 6 Young, Virginia R. 6 Zhou, Kenneth Q. 5 Biffis, Enrico 5 Börger, Matthias 5 Bravo, Jorge Miguel 5 Chen, Ping 5 Christiansen, Marcus Christian 5 Cox, Samuel H. jun. 5 De Waegenaere, Anja 5 Gerrard, Russell 5 Guan, Guohui 5 Hainaut, Donatien 5 Hardy, Mary Rosalyn 5 He, Lin 5 Loisel, Stéphane 5 Luciano, Elisa 5 Ludkovski, Michael 5 Menoncin, Francesco 5 Millossovich, Pietro 5 Rong, Ximin 5 Shi, Yanlin 5 Sun, Jingyun 5 Tan, Ken Seng 5 Zeng, Yan 5 Zhou, Rui 5 Ziveyi, Jonathan 4 Antonio, Katrien 4 Balasooriya, Uditha 4 Chan, Wai-Sum 4 Chen, An 4 Chen, Zhiping 4 Coughlan, Guy D. 4 Dhaene, Jan 4 El Karoui, Nicole 4 Gao, Huan 4 Jarner, Søren Fiig 4 Jevtić, Petar 4 Josa-Fombellida, Ricardo 4 Konicz, Agnieszka Karolina 4 Korn, Ralf 4 MacDonald, Bonnie-Jeanne 4 Maurer, Raimond H. 4 Nielsen, Jens Perch 4 Regis, Luca 4 Risk, Jimmy 4 Salhi, Yahia 4 Sibillo, Marilena 4 Steffensen, Mogens 4 Tzeng, Larry Yu-Ren 4 Wang, Jennifer L. 4 Wang, Liyuan 4 Yue, Jack C. 4 Zhao, Hui 3 Arnold, Séverine 3 Bauer, Daniel J. 3 Boumezoued, Alexandre 3 Buckner, Dean 3 Chen, Hua 3 Chen, Zheng 3 Delong, Łukasz 3 Di Giacinto, Marina 3 Di Lorenzo, Emilia 3 Ewald, Christian-Oliver 3 Federico, Salvatore 3 Giacometti, Rosella 3 Guillen, Montserrat 3 Hanbali, Hamza ...and 661 more Authors all top 5 Cited in 69 Serials 212 Insurance Mathematics & Economics 74 North American Actuarial Journal 54 Scandinavian Actuarial Journal 50 ASTIN Bulletin 27 European Actuarial Journal 12 Journal of Economic Dynamics & Control 11 European Journal of Operational Research 9 Annals of Operations Research 9 Communications in Statistics. Theory and Methods 8 Decisions in Economics and Finance 7 Journal of Computational and Applied Mathematics 7 Quantitative Finance 7 Journal of Industrial and Management Optimization 6 Journal of Forecasting 5 Finance and Stochastics 4 Discrete Dynamics in Nature and Society 3 Economics Letters 3 International Journal of Theoretical and Applied Finance 3 Applied Stochastic Models in Business and Industry 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 Optimization 2 Computational and Applied Mathematics 2 Soft Computing 2 Mathematical Methods of Operations Research 2 Journal of Applied Statistics 2 Probability in the Engineering and Informational Sciences 2 Computational Management Science 2 SIAM Journal on Financial Mathematics 2 Probability, Uncertainty and Quantitative Risk 1 Advances in Applied Probability 1 International Journal of Control 1 Biometrical Journal 1 Journal of Econometrics 1 Journal of Optimization Theory and Applications 1 Mathematics and Computers in Simulation 1 Operations Research 1 Statistics 1 Chinese Journal of Applied Probability and Statistics 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 Economic Theory 1 Mathematical Problems in Engineering 1 Mathematical Finance 1 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations 1 CEJOR. Central European Journal of Operations Research 1 Methodology and Computing in Applied Probability 1 Matematicheskoe Modelirovanie 1 Journal of Systems Science and Complexity 1 Statistical Modelling 1 OR Spectrum 1 Stochastics and Dynamics 1 Asia-Pacific Financial Markets 1 Stochastics 1 Mathematics and Financial Economics 1 AStA. Advances in Statistical Analysis 1 East Asian Mathematical Journal 1 Operations Research and Decisions 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 all top 5 Cited in 17 Fields 553 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 203 Statistics (62-XX) 73 Probability theory and stochastic processes (60-XX) 64 Systems theory; control (93-XX) 34 Operations research, mathematical programming (90-XX) 20 Calculus of variations and optimal control; optimization (49-XX) 12 Numerical analysis (65-XX) 10 Computer science (68-XX) 5 General and overarching topics; collections (00-XX) 5 Biology and other natural sciences (92-XX) 4 Partial differential equations (35-XX) 2 Integral transforms, operational calculus (44-XX) 1 Special functions (33-XX) 1 Ordinary differential equations (34-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Integral equations (45-XX) 1 Operator theory (47-XX) Citations by Year