Edit Profile (opens in new tab) Cairns, Andrew J. G. Compute Distance To: Compute Author ID: cairns.andrew-j-g Published as: Cairns, Andrew J. G.; Cairns, Andrew; Cairns, A. J. G. more...less External Links: MGP Documents Indexed: 40 Publications since 1989, including 1 Book 1 Contribution as Editor Co-Authors: 23 Co-Authors with 30 Joint Publications 383 Co-Co-Authors all top 5 Co-Authors 11 single-authored 18 Blake, David 16 Dowd, Kevin 5 Coughlan, Guy D. 5 Kleinow, Torsten 3 MacDonald, Bonnie-Jeanne 2 Epstein, David 2 Khalaf-Allah, Marwa 1 Balevich, Igor 1 Boardman, Tom 1 Chen, Liang 1 El Boukfaoui, Ghali 1 Enchev, Vasil 1 Huang, Hong-Chih 1 Kallestrup-Lamb, Malene 1 Karabey, Uǧur 1 Mavros, George 1 Ong, Alen 1 Parker, Gary B. 1 Redondo Lourés, Cristian 1 Rosenskjold, Carsten 1 Rowney, Jeffrey 1 Streftaris, George 1 Wen, Jie all top 5 Serials 13 Insurance Mathematics & Economics 10 North American Actuarial Journal 3 ASTIN Bulletin 2 Teoriya Veroyatnosteĭ i eë Primeneniya 2 IMA Journal of Mathematics Applied in Medicine and Biology 2 Scandinavian Actuarial Journal 2 European Actuarial Journal 1 Mathematical Biosciences 1 Journal of Economic Dynamics & Control 1 Mathematical Finance 1 Quantitative Finance all top 5 Fields 32 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 14 Statistics (62-XX) 7 Biology and other natural sciences (92-XX) 5 Probability theory and stochastic processes (60-XX) 1 General and overarching topics; collections (00-XX) 1 Operations research, mathematical programming (90-XX) 1 Systems theory; control (93-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 35 Publications have been cited 819 times in 543 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 Some notes on the dynamics and optimal control of stochastic pension fund models in continuous time. Zbl 1018.91028Cairns, Andrew 60 2000 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 Interest rate models: an introduction. Zbl 1140.91039Cairns, Andrew J. G. 45 2004 A discussion of parameter and model uncertainty in insurance. Zbl 0971.62063Cairns, Andrew J. G. 41 2000 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 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 and management of longevity risk: approximations to survivor functions and dynamic hedging. Zbl 1230.91068Cairns, Andrew J. G. 22 2011 Multi-population mortality models: fitting, forecasting and comparisons. Zbl 1401.62206Enchev, Vasil; Kleinow, Torsten; Cairns, Andrew J. G. 17 2017 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 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 Stochastic pension fund modelling. Zbl 0919.62118Cairns, Andrew J. G.; Parker, Gary 10 1997 Sharing longevity risk: why governments should issue longevity bonds. Zbl 1412.91033Blake, David; Boardman, Tom; Cairns, Andrew 9 2014 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 On the control of defined-benefit pension plans. Zbl 1157.91380Huang, Hong-Chih; Cairns, Andrew J. G. 7 2006 Epidemics in heterogeneous populations: Aspects of optimal vaccination policies. Zbl 0687.92010Cairns, Andrew J. G. 7 1989 Optimal dynamic asset allocation for defined contribution pension plans. Zbl 1141.91492Cairns, Andrew J. G.; Blake, David; Dowd, Kevin 5 2008 A familiy of term-structure models for long-term risk management and derivative pricing. Zbl 1134.60355Cairns, Andrew J. G. 5 2004 Basis risk in index-based longevity hedges: a guide for longevity hedgers. Zbl 1467.91137Cairns, Andrew J. G.; El Boukfaoui, Ghali 5 2021 Small population bias and sampling effects in stochastic mortality modelling. Zbl 1394.91201Chen, Liang; Cairns, Andrew J. G.; Kleinow, Torsten 5 2017 Model fitting and projection of the AIDS epidemic. Zbl 0729.92534Cairns, Andrew J. G. 4 1991 Primary components of epidemic models. Zbl 0838.92022Cairns, Andrew 2 1995 Stochastic mortality modeling: key drivers and dependent residuals. Zbl 1414.91219Mavros, George; Cairns, Andrew J. G.; Streftaris, George; Kleinow, Torsten 2 2017 Factor risk quantification in annuity models. Zbl 1304.91116Karabey, Uǧur; Kleinow, Torsten; Cairns, Andrew J. G. 2 2014 Epidemic estimation with removal time data. Zbl 0751.92013Cairns, A. J. G. 2 1992 Longevity risk and capital markets: the 2019–20 update. Zbl 07368206 2 2021 Trends in Canadian mortality by pension level: evidence from the CPP and QPP. Zbl 1466.91273Wen, Jie; Kleinow, Torsten; Cairns, Andrew J. G. 1 2020 Hedging annuity risks with the age-period-cohort two-population gravity model. Zbl 1461.91243Dowd, Kevin; Cairns, Andrew J. G.; Blake, David 1 2021 Epidemics in heterogeneous populations. II: Nonexponential incubation periods and variable infectiousness. Zbl 0726.92019Cairns, Andrew J. G. 1 1990 Basis risk in index-based longevity hedges: a guide for longevity hedgers. Zbl 1467.91137Cairns, Andrew J. G.; El Boukfaoui, Ghali 5 2021 Longevity risk and capital markets: the 2019–20 update. Zbl 07368206 2 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 Trends in Canadian mortality by pension level: evidence from the CPP and QPP. Zbl 1466.91273Wen, Jie; Kleinow, Torsten; Cairns, Andrew J. G. 1 2020 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 Multi-population mortality models: fitting, forecasting and comparisons. Zbl 1401.62206Enchev, Vasil; Kleinow, Torsten; Cairns, Andrew J. G. 17 2017 Small population bias and sampling effects in stochastic mortality modelling. Zbl 1394.91201Chen, Liang; Cairns, Andrew J. G.; Kleinow, Torsten 5 2017 Stochastic mortality modeling: key drivers and dependent residuals. Zbl 1414.91219Mavros, George; Cairns, Andrew J. G.; Streftaris, George; Kleinow, Torsten 2 2017 Longevity hedge effectiveness: a decomposition. Zbl 1294.91072Cairns, Andrew J. G.; Dowd, Kevin; Blake, David; Coughlan, Guy D. 36 2014 Sharing longevity risk: why governments should issue longevity bonds. Zbl 1412.91033Blake, David; Boardman, Tom; Cairns, Andrew 9 2014 Factor risk quantification in annuity models. Zbl 1304.91116Karabey, Uǧur; Kleinow, Torsten; Cairns, Andrew J. G. 2 2014 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 Modelling and management of longevity risk: approximations to survivor functions and dynamic hedging. Zbl 1230.91068Cairns, Andrew J. G. 22 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 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 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 On the control of defined-benefit pension plans. Zbl 1157.91380Huang, Hong-Chih; Cairns, Andrew J. G. 7 2006 Interest rate models: an introduction. Zbl 1140.91039Cairns, Andrew J. G. 45 2004 A familiy of term-structure models for long-term risk management and derivative pricing. Zbl 1134.60355Cairns, Andrew J. G. 5 2004 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 Some notes on the dynamics and optimal control of stochastic pension fund models in continuous time. Zbl 1018.91028Cairns, Andrew 60 2000 A discussion of parameter and model uncertainty in insurance. Zbl 0971.62063Cairns, Andrew J. G. 41 2000 Stochastic pension fund modelling. Zbl 0919.62118Cairns, Andrew J. G.; Parker, Gary 10 1997 Primary components of epidemic models. Zbl 0838.92022Cairns, Andrew 2 1995 Epidemic estimation with removal time data. Zbl 0751.92013Cairns, A. J. G. 2 1992 Model fitting and projection of the AIDS epidemic. Zbl 0729.92534Cairns, Andrew J. G. 4 1991 Epidemics in heterogeneous populations. II: Nonexponential incubation periods and variable infectiousness. Zbl 0726.92019Cairns, Andrew J. G. 1 1990 Epidemics in heterogeneous populations: Aspects of optimal vaccination policies. Zbl 0687.92010Cairns, Andrew J. G. 7 1989 all cited Publications top 5 cited Publications all top 5 Cited by 735 Authors 31 Blake, David 29 Cairns, Andrew J. G. 20 Li, Johnny Siu-Hang 16 Dowd, Kevin 16 Haberman, Steven 12 Liang, Zongxia 11 Vigna, Elena 10 Josa-Fombellida, Ricardo 10 Li, Jackie 9 Rincón-Zapatero, Juan Pablo 9 Sherris, Michael 8 Hunt, Andrew 8 Liu, Yanxin 7 Lin, Yijia 7 MacMinn, Richard D. 7 Mamon, Rogemar S. 7 Steffensen, Mogens 7 Tsai, Cary Chi-Liang 6 Christiansen, Marcus Christian 6 Dong, Yinghui 6 Forsyth, Peter A. 6 He, Lin 6 Li, Hong 6 Liu, Xiaoming 6 Milevsky, Moshe Arye 6 Young, Virginia R. 5 Chen, An 5 Cox, Samuel H. jun. 5 Devolder, Pierre 5 Gerrard, Russell 5 Guan, Guohui 5 Hainaut, Donatien 5 Huang, Hong-Chih 5 Jarner, Søren Fiig 5 Kleinow, Torsten 5 Li, Han 5 Luciano, Elisa 5 Menoncin, Francesco 5 Millossovich, Pietro 5 Tan, Ken Seng 5 Tzeng, Larry Yu-Ren 5 Wang, Chou-Wen 5 Yao, Haixiang 5 Zhou, Kenneth Q. 5 Zhou, Rui 4 Antonio, Katrien 4 Balasooriya, Uditha 4 Biagini, Francesca 4 Börger, Matthias 4 Bravo, Jorge Miguel 4 Coughlan, Guy D. 4 Delong, Łukasz 4 Hardy, Mary Rosalyn 4 Korn, Ralf 4 Li, Zhongfei 4 Lin, Tzuling 4 Loisel, Stéphane 4 MacDonald, Bonnie-Jeanne 4 Nielsen, Jens Perch 4 O’Hare, Colin 4 Peng, Liang 4 Rong, Ximin 4 Sun, Jingyun 4 Vellekoop, Michel H. 4 Wang, Jennifer L. 4 Wu, Huiling 4 Ziveyi, Jonathan 3 Bauer, Daniel J. 3 Biffis, Enrico 3 Brody, Dorje C. 3 Chen, Hua 3 Chen, Ping 3 De Waegenaere, Anja 3 Denuit, Michel M. 3 Di Giacinto, Marina 3 Federico, Salvatore 3 Gao, Huan 3 Gatzert, Nadine 3 Giacometti, Rosella 3 Guillen, Montserrat 3 Kault, David Abraham 3 Kogure, Atsuyuki 3 Konicz, Agnieszka Karolina 3 Levantesi, Susanna 3 Ling, Chen 3 Liu, Qing 3 Ludkovski, Michael 3 Maurer, Raimond H. 3 Møller, Thomas H. 3 Olivieri, Annamaria 3 Pantelous, Athanasios A. 3 Pitacco, Ermanno 3 Planchet, Frédéric 3 Regis, Luca 3 Ruß, Jochen 3 Shen, Yang 3 Shi, Yanlin 3 Shu, Yadong 3 Siu, Tak Kuen 3 Tang, Qihe ...and 635 more Authors all top 5 Cited in 80 Serials 201 Insurance Mathematics & Economics 60 North American Actuarial Journal 43 Scandinavian Actuarial Journal 43 ASTIN Bulletin 20 European Actuarial Journal 15 European Journal of Operational Research 11 Journal of Economic Dynamics & Control 10 Mathematical Biosciences 8 Communications in Statistics. Theory and Methods 8 Quantitative Finance 7 International Journal of Theoretical and Applied Finance 7 Journal of Industrial and Management Optimization 6 Journal of Computational and Applied Mathematics 5 Finance and Stochastics 4 Stochastic Analysis and Applications 4 Annals of Operations Research 4 Mathematical Finance 4 Methodology and Computing in Applied Probability 4 Decisions in Economics and Finance 4 Stochastics 3 European Journal of Control 3 Discrete Dynamics in Nature and Society 3 Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik) 2 Lithuanian Mathematical Journal 2 Mathematical Problems in Engineering 2 Soft Computing 2 Mathematical Methods of Operations Research 2 Journal of Applied Statistics 2 Probability in the Engineering and Informational Sciences 2 Stochastics and Dynamics 2 Journal of Dynamics and Games 1 Advances in Applied Probability 1 International Journal of Control 1 Journal of Engineering Mathematics 1 Journal of Mathematical Analysis and Applications 1 Journal of Mathematical Biology 1 Physica A 1 Applied Mathematics and Computation 1 Journal of Optimization Theory and Applications 1 Operations Research 1 Theoretical Population Biology 1 Statistics & Probability Letters 1 Statistics 1 Optimization 1 Computers & Operations Research 1 Mathematical and Computer Modelling 1 Journal of Applied Mathematics and Stochastic Analysis 1 Random Structures & Algorithms 1 Economics Letters 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 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 OR Spectrum 1 Asia-Pacific Financial Markets 1 Computational Management Science 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 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 all top 5 Cited in 19 Fields 504 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 168 Statistics (62-XX) 83 Systems theory; control (93-XX) 79 Probability theory and stochastic processes (60-XX) 29 Calculus of variations and optimal control; optimization (49-XX) 29 Operations research, mathematical programming (90-XX) 16 Biology and other natural sciences (92-XX) 14 Numerical analysis (65-XX) 8 Partial differential equations (35-XX) 5 General and overarching topics; collections (00-XX) 5 Computer science (68-XX) 2 Integral transforms, operational calculus (44-XX) 2 Integral equations (45-XX) 1 Combinatorics (05-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) 1 Ordinary differential equations (34-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Operator theory (47-XX) 1 Statistical mechanics, structure of matter (82-XX) Citations by Year