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Cairns, Andrew J. G.

Author ID: cairns.andrew-j-g Recent zbMATH articles by "Cairns, Andrew J. G."
Published as: Cairns, Andrew J. G.; Cairns, Andrew; Cairns, A. J. G.
External Links: MGP

Publications by Year

Citations contained in zbMATH Open

37 Publications have been cited 1,036 times in 644 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
167
2009
Pricing death frameworks for the valuation and securitization of mortality risk. Zbl 1162.91403
Cairns, Andrew J. G.; Blake, David; Dowd, Kevin
122
2006
Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans. Zbl 1200.91297
Cairns, Andrew J. G.; Blake, David; Dowd, Kevin
89
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
82
2011
Modeling and management of mortality risk: a review. Zbl 1224.91048
Cairns, Andrew J. G.; Blake, David; Dowd, Kevin
73
2008
Some notes on the dynamics and optimal control of stochastic pension fund models in continuous time. Zbl 1018.91028
Cairns, Andrew
66
2000
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
51
2010
Interest rate models: an introduction. Zbl 1140.91039
Cairns, Andrew J. G.
48
2004
A discussion of parameter and model uncertainty in insurance. Zbl 0971.62063
Cairns, Andrew J. G.
45
2000
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
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 and management of longevity risk: approximations to survivor functions and dynamic hedging. Zbl 1230.91068
Cairns, Andrew J. G.
24
2011
Multi-population mortality models: fitting, forecasting and comparisons. Zbl 1401.62206
Enchev, Vasil; Kleinow, Torsten; Cairns, Andrew J. G.
22
2017
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
Sharing longevity risk: why governments should issue longevity bonds. Zbl 1412.91033
Blake, David; Boardman, Tom; Cairns, Andrew
14
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.
13
2011
Mortality-dependent financial risk measures. Zbl 1168.91411
Dowd, Kevin; Cairns, Andrew J. G.; Blake, David
12
2006
Stochastic pension fund modelling. Zbl 0919.62118
Cairns, Andrew J. G.; Parker, Gary
11
1997
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
11
2019
Basis risk in index-based longevity hedges: a guide for longevity hedgers. Zbl 1467.91137
Cairns, Andrew J. G.; El Boukfaoui, Ghali
9
2021
Epidemics in heterogeneous populations: Aspects of optimal vaccination policies. Zbl 0687.92010
Cairns, Andrew J. G.
8
1989
On the control of defined-benefit pension plans. Zbl 1157.91380
Huang, Hong-Chih; Cairns, Andrew J. G.
7
2006
A familiy of term-structure models for long-term risk management and derivative pricing. Zbl 1134.60355
Cairns, Andrew J. G.
5
2004
Small population bias and sampling effects in stochastic mortality modelling. Zbl 1394.91201
Chen, Liang; Cairns, Andrew J. G.; Kleinow, Torsten
5
2017
Optimal dynamic asset allocation for defined contribution pension plans. Zbl 1141.91492
Cairns, Andrew J. G.; Blake, David; Dowd, Kevin
5
2008
Stochastic mortality modeling: key drivers and dependent residuals. Zbl 1414.91219
Mavros, George; Cairns, Andrew J. G.; Streftaris, George; Kleinow, Torsten
4
2017
Model fitting and projection of the AIDS epidemic. Zbl 0729.92534
Cairns, Andrew J. G.
4
1991
Longevity risk and capital markets: the 2019–20 update. Zbl 07368206
3
2021
Primary components of epidemic models. Zbl 0838.92022
Cairns, Andrew
2
1995
Factor risk quantification in annuity models. Zbl 1304.91116
Karabey, Uǧur; Kleinow, Torsten; Cairns, Andrew J. G.
2
2014
Epidemic estimation with removal time data. Zbl 0751.92013
Cairns, A. J. G.
2
1992
Trends in Canadian mortality by pension level: evidence from the CPP and QPP. Zbl 1466.91273
Wen, Jie; Kleinow, Torsten; Cairns, Andrew J. G.
2
2020
Epidemics in heterogeneous populations. II: Nonexponential incubation periods and variable infectiousness. Zbl 0726.92019
Cairns, Andrew J. G.
1
1990
The impact of DC pension systems on population dynamics. Zbl 1480.91228
MacDonald, Bonnie-Jeanne; Cairns, Andrew J. G.
1
2007
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
Cause of death specific cohort effects in U.S. mortality. Zbl 1467.91149
Redondo Lourés, Cristian; Cairns, Andrew J. G.
1
2021
Basis risk in index-based longevity hedges: a guide for longevity hedgers. Zbl 1467.91137
Cairns, Andrew J. G.; El Boukfaoui, Ghali
9
2021
Longevity risk and capital markets: the 2019–20 update. Zbl 07368206
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
1
2021
Cause of death specific cohort effects in U.S. mortality. Zbl 1467.91149
Redondo Lourés, Cristian; Cairns, Andrew J. G.
1
2021
Trends in Canadian mortality by pension level: evidence from the CPP and QPP. Zbl 1466.91273
Wen, Jie; Kleinow, Torsten; Cairns, Andrew J. G.
2
2020
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
11
2019
Multi-population mortality models: fitting, forecasting and comparisons. Zbl 1401.62206
Enchev, Vasil; Kleinow, Torsten; Cairns, Andrew J. G.
22
2017
Small population bias and sampling effects in stochastic mortality modelling. Zbl 1394.91201
Chen, Liang; Cairns, Andrew J. G.; Kleinow, Torsten
5
2017
Stochastic mortality modeling: key drivers and dependent residuals. Zbl 1414.91219
Mavros, George; Cairns, Andrew J. G.; Streftaris, George; Kleinow, Torsten
4
2017
Longevity hedge effectiveness: a decomposition. Zbl 1294.91072
Cairns, Andrew J. G.; Dowd, Kevin; Blake, David; Coughlan, Guy D.
38
2014
Sharing longevity risk: why governments should issue longevity bonds. Zbl 1412.91033
Blake, David; Boardman, Tom; Cairns, Andrew
14
2014
Factor risk quantification in annuity models. Zbl 1304.91116
Karabey, Uǧur; Kleinow, Torsten; Cairns, Andrew J. G.
2
2014
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
82
2011
Modelling and management of longevity risk: approximations to survivor functions and dynamic hedging. Zbl 1230.91068
Cairns, Andrew J. G.
24
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.
13
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
51
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
167
2009
Modeling and management of mortality risk: a review. Zbl 1224.91048
Cairns, Andrew J. G.; Blake, David; Dowd, Kevin
73
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
The impact of DC pension systems on population dynamics. Zbl 1480.91228
MacDonald, Bonnie-Jeanne; Cairns, Andrew J. G.
1
2007
Pricing death frameworks for the valuation and securitization of mortality risk. Zbl 1162.91403
Cairns, Andrew J. G.; Blake, David; Dowd, Kevin
122
2006
Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans. Zbl 1200.91297
Cairns, Andrew J. G.; Blake, David; Dowd, Kevin
89
2006
Mortality-dependent financial risk measures. Zbl 1168.91411
Dowd, Kevin; Cairns, Andrew J. G.; Blake, David
12
2006
On the control of defined-benefit pension plans. Zbl 1157.91380
Huang, Hong-Chih; Cairns, Andrew J. G.
7
2006
Interest rate models: an introduction. Zbl 1140.91039
Cairns, Andrew J. G.
48
2004
A familiy of term-structure models for long-term risk management and derivative pricing. Zbl 1134.60355
Cairns, Andrew J. G.
5
2004
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
Some notes on the dynamics and optimal control of stochastic pension fund models in continuous time. Zbl 1018.91028
Cairns, Andrew
66
2000
A discussion of parameter and model uncertainty in insurance. Zbl 0971.62063
Cairns, Andrew J. G.
45
2000
Stochastic pension fund modelling. Zbl 0919.62118
Cairns, Andrew J. G.; Parker, Gary
11
1997
Primary components of epidemic models. Zbl 0838.92022
Cairns, Andrew
2
1995
Epidemic estimation with removal time data. Zbl 0751.92013
Cairns, A. J. G.
2
1992
Model fitting and projection of the AIDS epidemic. Zbl 0729.92534
Cairns, Andrew J. G.
4
1991
Epidemics in heterogeneous populations. II: Nonexponential incubation periods and variable infectiousness. Zbl 0726.92019
Cairns, Andrew J. G.
1
1990
Epidemics in heterogeneous populations: Aspects of optimal vaccination policies. Zbl 0687.92010
Cairns, Andrew J. G.
8
1989
all top 5

Cited by 833 Authors

31 Blake, David
31 Cairns, Andrew J. G.
24 Li, Johnny Siu-Hang
21 Haberman, Steven
17 Dowd, Kevin
13 Liang, Zongxia
12 Josa-Fombellida, Ricardo
12 Sherris, Michael
11 Li, Jackie
11 Tsai, Cary Chi-Liang
11 Vigna, Elena
9 Hunt, Andrew
9 Kleinow, Torsten
9 Liu, Yanxin
9 Mamon, Rogemar S.
9 Rincón-Zapatero, Juan Pablo
8 Hainaut, Donatien
8 Huang, Hong-Chih
8 Steffensen, Mogens
7 Devolder, Pierre
7 Li, Hong
7 Lin, Yijia
7 Liu, Xiaoming
7 MacMinn, Richard D.
7 Wang, Chou-Wen
6 Biagini, Francesca
6 Christiansen, Marcus Christian
6 Dong, Yinghui
6 Forsyth, Peter A.
6 Gerrard, Russell
6 He, Lin
6 Levantesi, Susanna
6 Lin, Tzuling
6 Milevsky, Moshe Arye
6 Yao, Haixiang
6 Young, Virginia R.
6 Zhou, Kenneth Q.
5 Bravo, Jorge Miguel
5 Cox, Samuel H. jun.
5 Denuit, Michel M.
5 Guan, Guohui
5 Jarner, Søren Fiig
5 Li, Han
5 Li, Zhongfei
5 Loisel, Stéphane
5 Luciano, Elisa
5 Menoncin, Francesco
5 Millossovich, Pietro
5 Nielsen, Jens Perch
5 Shi, Yanlin
5 Shu, Yadong
5 Sun, Jingyun
5 Tan, Ken Seng
5 Tzeng, Larry Yu-Ren
5 Villegas, Andrés M.
5 Yue, Jack C.
5 Zhou, Rui
5 Ziveyi, Jonathan
4 Antonio, Katrien
4 Balasooriya, Uditha
4 Börger, Matthias
4 Chan, Wai-Sum
4 Coughlan, Guy D.
4 De Waegenaere, Anja
4 Delong, Łukasz
4 El Karoui, Nicole
4 Gao, Huan
4 Hardy, Mary Rosalyn
4 Korn, Ralf
4 Ludkovski, Michael
4 MacDonald, Bonnie-Jeanne
4 O’Hare, Colin
4 Peng, Liang
4 Rong, Ximin
4 Salhi, Yahia
4 Tang, Qihe
4 Vellekoop, Michel H.
4 Wang, Hsin-Chung
4 Wang, Jennifer L.
4 Wüthrich, Mario Valentin
3 Bauer, Daniel J.
3 Bégin, Jean-François
3 Biffis, Enrico
3 Boumezoued, Alexandre
3 Brody, Dorje C.
3 Buckner, Dean
3 Chen, An
3 Chen, Hua
3 Chen, Ping
3 Chen, Zhiping
3 Di Giacinto, Marina
3 Ewald, Christian-Oliver
3 Federico, Salvatore
3 Gatzert, Nadine
3 Giacometti, Rosella
3 Guillen, Montserrat
3 Hatzopoulos, Peter
3 Huang, Fei
3 Jevtić, Petar
3 Kallestrup-Lamb, Malene
...and 733 more Authors
all top 5

Cited in 88 Serials

228 Insurance Mathematics & Economics
75 North American Actuarial Journal
60 ASTIN Bulletin
54 Scandinavian Actuarial Journal
23 European Actuarial Journal
18 European Journal of Operational Research
11 Journal of Economic Dynamics & Control
10 Mathematical Biosciences
9 Communications in Statistics. Theory and Methods
9 Quantitative Finance
9 Decisions in Economics and Finance
9 Journal of Industrial and Management Optimization
7 International Journal of Theoretical and Applied Finance
6 Journal of Computational and Applied Mathematics
5 Finance and Stochastics
5 Mathematical Finance
4 Stochastic Analysis and Applications
4 Annals of Operations Research
4 Methodology and Computing in Applied Probability
4 Stochastics
3 European Journal of Control
3 Discrete Dynamics in Nature and Society
3 Journal of Applied Statistics
3 Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik)
2 International Journal of Control
2 Journal of Mathematical Biology
2 Lithuanian Mathematical Journal
2 Optimization
2 Economics Letters
2 Mathematical Problems in Engineering
2 Soft Computing
2 Mathematical Methods of Operations Research
2 Probability in the Engineering and Informational Sciences
2 Stochastics and Dynamics
2 Computational Management Science
2 Journal of Dynamics and Games
1 Advances in Applied Probability
1 Journal of Engineering Mathematics
1 Journal of Mathematical Analysis and Applications
1 Physica A
1 Applied Mathematics and Computation
1 Biometrical Journal
1 Journal of Optimization Theory and Applications
1 Mathematics and Computers in Simulation
1 Operations Research
1 Theoretical Population Biology
1 Statistics & Probability Letters
1 Statistics
1 Chinese Journal of Applied Probability and Statistics
1 Computers & Operations Research
1 Journal of Theoretical Probability
1 Mathematical and Computer Modelling
1 Journal of Applied Mathematics and Stochastic Analysis
1 Random Structures & Algorithms
1 Japan Journal of Industrial and Applied Mathematics
1 Stochastic Processes and their Applications
1 Computational Statistics and Data Analysis
1 Applied Mathematics. Series B (English Edition)
1 Computational and Applied Mathematics
1 Applied Mathematical Finance
1 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
1 Australian & New Zealand Journal of Statistics
1 Chaos
1 CEJOR. Central European Journal of Operations Research
1 Applied Stochastic Models in Business and Industry
1 The ANZIAM Journal
1 Matematicheskoe Modelirovanie
1 Journal of Systems Science and Complexity
1 Statistical Modelling
1 OR Spectrum
1 Asia-Pacific Financial Markets
1 Mathematics and Financial Economics
1 Optimization Letters
1 AStA. Advances in Statistical Analysis
1 East Asian Mathematical Journal
1 SIAM Journal on Financial Mathematics
1 Risk and Decision Analysis
1 Operations Research and Decisions
1 Dynamic Games and Applications
1 Mathematical Control and Related Fields
1 Journal of Theoretical Biology
1 East Asian Journal on Applied Mathematics
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

Citations by Year