IDEAS home Printed from https://ideas.repec.org/e/c/pbl129.html
   My authors  Follow this author

David Blake

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Anthony Webb & Shenyi Jiang & Wei Sun, 2010. "Did the Housing Boom Increase Household Spending," Issues in Brief ib2010-10, Center for Retirement Research, revised Jul 2010.

    Mentioned in:

    1. What if a cohort lives too long?
      by Economic Logician in Economic Logic on 2010-07-08 19:36:00

Working papers

  1. David Blake & Nicole El Karoui & Stéphane Loisel & Richard Macminn, 2018. "Longevity risk and capital markets: The 2015–16 update," Post-Print hal-01995778, HAL.

    Cited by:

    1. Zhiping Huang & Michael Sherris & Andrés M. Villegas & Jonathan Ziveyi, 2022. "Modelling USA Age-Cohort Mortality: A Comparison of Multi-Factor Affine Mortality Models," Risks, MDPI, vol. 10(9), pages 1-28, September.
    2. Menoncin, Francesco & Regis, Luca, 2020. "Optimal life-cycle labour supply, consumption, and investment: The role of longevity-linked assets," Journal of Banking & Finance, Elsevier, vol. 120(C).

  2. Andrew J.G. Cairns & Malene Kallestrup-Lamb & Carsten P.T. Rosenskjold & David Blake & Kevin Dowd, 2016. "Modelling Socio-Economic Differences in the Mortality of Danish Males Using a New Affluence Index," CREATES Research Papers 2016-14, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Kenneth Q. Zhou & Johnny S.-H. Li & Pintao Lyu, 2024. "Bringing parametric mortality indexes to practice: a generalized CBD model with stochastic socioeconomic differentials in mortality improvements," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 49(2), pages 295-319, April.
    2. Guibert, Quentin & Lopez, Olivier & Piette, Pierrick, 2019. "Forecasting mortality rate improvements with a high-dimensional VAR," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 255-272.
    3. Kaakaï, Sarah & Labit Hardy, Héloïse & Arnold, Séverine & El Karoui, Nicole, 2019. "How can a cause-of-death reduction be compensated for by the population heterogeneity? A dynamic approach," Insurance: Mathematics and Economics, Elsevier, vol. 89(C), pages 16-37.

  3. Rossi, Alberto G. & Blake, David & Timmermann, Allan & Tonks, Ian & Wermers, Russ, 2015. "Network centrality and pension fund performance," CFR Working Papers 15-16, University of Cologne, Centre for Financial Research (CFR).

    Cited by:

    1. Neligh, Nathaniel, 2020. "Vying for dominance: An experiment in dynamic network formation," Journal of Economic Behavior & Organization, Elsevier, vol. 178(C), pages 719-739.
    2. Anna Maria D’Arcangelis & Giulia Rotundo, 2016. "Complex Networks in Finance," Lecture Notes in Economics and Mathematical Systems, in: Pasquale Commendatore & Mariano Matilla-García & Luis M. Varela & Jose S. Cánovas (ed.), Complex Networks and Dynamics, pages 209-235, Springer.

  4. John Cotter & David Blake & Kevin Dowd, 2012. "What Should Be Done About The Underfunding of Defined Benefit Pension Schemes?," Working Papers 201202, Geary Institute, University College Dublin.

    Cited by:

    1. Ai, Jing & Brockett, Patrick L. & Jacobson, Allen F., 2015. "A new defined benefit pension risk measurement methodology," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 40-51.
    2. Romaniuk, Katarzyna, 2021. "Pension insurance schemes and moral hazard: The Pension Benefit Guaranty Corporation should restrict the insured pension plans’ portfolio policy," The Quarterly Review of Economics and Finance, Elsevier, vol. 82(C), pages 37-43.

  5. Blake, David & Biffs, Enrico, 2012. "Keeping Some Skin in the Game: How to Start a Capital Market in Longevity Risk Transfers," MPRA Paper 44680, University Library of Munich, Germany.

    Cited by:

    1. Chen, An & Li, Hong & Schultze, Mark B., 2023. "Optimal longevity risk transfer under asymmetric information," Economic Modelling, Elsevier, vol. 120(C).
    2. David Blake & Nicole El Karoui & Stéphane Loisel & Richard Macminn, 2018. "Longevity risk and capital markets: The 2015–16 update," Post-Print hal-01995778, HAL.
    3. Davide Benedetti & Enrico Biffis & Fotis Chatzimichalakis & Luciano Lilloy Fedele & Ian Simm, 2021. "Climate change investment risk: optimal portfolio construction ahead of the transition to a lower-carbon economy," Annals of Operations Research, Springer, vol. 299(1), pages 847-871, April.
    4. Kallestrup-Lamb, Malene & Søgaard Laursen, Nicolai, 2024. "Longevity hedge effectiveness using socioeconomic indices," Insurance: Mathematics and Economics, Elsevier, vol. 114(C), pages 242-251.
    5. Ankush Agarwal & Christian-Oliver Ewald & Yongjie Wang, 2020. "Sharing of longevity basis risk in pension schemes with income-drawdown guarantees," Working Papers 2020_18, Business School - Economics, University of Glasgow.
    6. Blake, David & Cairns, Andrew J.G., 2021. "Longevity risk and capital markets: The 2019-20 update," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 395-439.
    7. Meyricke, Ramona & Sherris, Michael, 2014. "Longevity risk, cost of capital and hedging for life insurers under Solvency II," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 147-155.
    8. Ankush Agarwal & Christian-Oliver Ewald & Yongjie Wang, 2019. "Hedging longevity risk in defined contribution pension schemes," Papers 1904.10229, arXiv.org, revised May 2020.
    9. Man Chung Fung & Katja Ignatieva & Michael Sherris, 2019. "Managing Systematic Mortality Risk in Life Annuities: An Application of Longevity Derivatives," Risks, MDPI, vol. 7(1), pages 1-25, January.
    10. Hanbali, Hamza & Dhaene, Jan & Linders, Daniël, 2022. "Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables," Insurance: Mathematics and Economics, Elsevier, vol. 107(C), pages 22-37.
    11. Man Chung Fung & Katja Ignatieva & Michael Sherris, 2015. "Managing Systematic Mortality Risk in Life Annuities: An Application of Longevity Derivatives," Papers 1508.00090, arXiv.org.

  6. David Blake & John Cotter & Kevin Dowd, 2011. "Financial Risks and the Pension Protection Fund: Can it Survive Them?," Papers 1103.5978, arXiv.org.

    Cited by:

    1. Platanakis, Emmanouil & Sutcliffe, Charles, 2016. "Pension scheme redesign and wealth redistribution between the members and sponsor: The USS rule change in October 2011," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 14-28.
    2. John Cotter & David Blake & Kevin Dowd, 2012. "What Should Be Done About The Underfunding of Defined Benefit Pension Schemes?," Working Papers 201202, Geary Institute, University College Dublin.

  7. Coughlan, Guy & Khalaf-Allah, Marwa & Ye, Yijing & Kumar, Sumit & Cairns, Andrew & Blake, David & Dowd, Kevin, 2011. "Longevity hedging 101: A framework for longevity basis risk analysis and hedge effectiveness," MPRA Paper 35743, University Library of Munich, Germany.

    Cited by:

    1. Edouard Debonneuil & Stéphane Loisel & Frédéric Planchet, 2015. "Do actuaries believe in longevity deceleration?," Working Papers hal-01219270, HAL.
    2. Liu, Yanxin & Li, Johnny Siu-Hang, 2016. "It’s all in the hidden states: A longevity hedging strategy with an explicit measure of population basis risk," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 301-319.
    3. Peter Jevtic & Luca Regis, 2016. "A continuous-time stochastic model for the mortality surface of multiple populations," Working Papers 03/2016, IMT School for Advanced Studies Lucca, revised Jul 2016.
    4. Uditha Balasooriya & Johnny Siu-Hang Li & Jackie Li, 2020. "The Impact of Model Uncertainty on Index-Based Longevity Hedging and Measurement of Longevity Basis Risk," Risks, MDPI, vol. 8(3), pages 1-27, August.
    5. David Blake & Andrew Cairns & Guy Coughlan & Kevin Dowd & Richard MacMinn, 2013. "The New Life Market," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(3), pages 501-558, September.
    6. Frank Bosserhoff & Mitja Stadje, 2019. "Mean-variance hedging of unit linked life insurance contracts in a jump-diffusion model," Papers 1908.05534, arXiv.org.
    7. Tan, Chong It & Li, Jackie & Li, Johnny Siu-Hang & Balasooriya, Uditha, 2014. "Parametric mortality indexes: From index construction to hedging strategies," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 285-299.
    8. Hunt, Andrew & Blake, David, 2018. "Identifiability, cointegration and the gravity model," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 360-368.
    9. Harry Bensusan & Nicole El Karoui & Stéphane Loisel & Yahia Salhi, 2016. "Partial Splitting of Longevity and Financial Risks: The Longevity Nominal Choosing Swaptions," Post-Print hal-00768526, HAL.
    10. Clemente De Rosa & Elisa Luciano & Luca Regis, 2017. "Basis risk in static versus dynamic longevity-risk hedging," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2017(4), pages 343-365, April.
    11. Danesi, Ivan Luciano & Haberman, Steven & Millossovich, Pietro, 2015. "Forecasting mortality in subpopulations using Lee–Carter type models: A comparison," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 151-161.
    12. Alvarez, Jesús-Adrián & Kallestrup-Lamb, Malene & Kjærgaard, Søren, 2021. "Linking retirement age to life expectancy does not lessen the demographic implications of unequal lifespans," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 363-375.
    13. Rihab Bedoui & Islem Kedidi, 2018. "Modeling Longevity Risk using Consistent Dynamics Affine Mortality Models," Working Papers hal-01678050, HAL.
    14. Bosserhoff, Frank & Stadje, Mitja, 2021. "Time-consistent mean-variance investment with unit linked life insurance contracts in a jump-diffusion setting," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 130-146.
    15. David Blake & Nicole El Karoui & Stéphane Loisel & Richard Macminn, 2018. "Longevity risk and capital markets: The 2015–16 update," Post-Print hal-01995778, HAL.
    16. Schmeck, Maren Diane & Schmidli, Hanspeter, 2021. "Mortality options: The point of view of an insurer," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 98-115.
    17. Malene Kallestrup-Lamb & Søren Kjærgaard & Carsten P. T. Rosenskjold, 2019. "Insight into Stagnating Life Expectancy: Analysing Cause of Death Patterns across Socio-economic Groups," CREATES Research Papers 2019-20, Department of Economics and Business Economics, Aarhus University.
    18. David Blake & Marco Morales & Wenjun Zhu & Ken Seng Tan & Chou-Wen Wang, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 477-493, April.
    19. Selin Ozen & c{S}ule c{S}ahin, 2021. "A Two-Population Mortality Model to Assess Longevity Basis Risk," Papers 2101.06690, arXiv.org.
    20. Kallestrup-Lamb, Malene & Søgaard Laursen, Nicolai, 2024. "Longevity hedge effectiveness using socioeconomic indices," Insurance: Mathematics and Economics, Elsevier, vol. 114(C), pages 242-251.
    21. Enrico Biffis & David Blake & Lorenzo Pitotti & Ariel Sun, 2016. "The Cost of Counterparty Risk and Collateralization in Longevity Swaps," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 83(2), pages 387-419, June.
    22. McCarthy, David G. & Wang, Po-Lin, 2021. "Pooling mortality risk in Eurozone state pension liabilities: An application of a Bayesian coherent multi-population cohort-based mortality model," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 459-485.
    23. Liu, Yanxin & Li, Johnny Siu-Hang, 2018. "A strategy for hedging risks associated with period and cohort effects using q-forwards," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 267-285.
    24. Ankush Agarwal & Christian-Oliver Ewald & Yongjie Wang, 2020. "Sharing of longevity basis risk in pension schemes with income-drawdown guarantees," Working Papers 2020_18, Business School - Economics, University of Glasgow.
    25. Selin Özen & Şule Şahin, 2021. "A Two-Population Mortality Model to Assess Longevity Basis Risk," Risks, MDPI, vol. 9(2), pages 1-19, February.
    26. Lin, Tzuling & Tsai, Cary Chi-Liang, 2013. "On the mortality/longevity risk hedging with mortality immunization," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 580-596.
    27. Tat Wing Wong & Mei Choi Chiu & Hoi Ying Wong, 2017. "Managing Mortality Risk With Longevity Bonds When Mortality Rates Are Cointegrated," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(3), pages 987-1023, September.
    28. Rui Zhou & Johnny Siu-Hang Li & Ken Seng Tan, 2013. "Pricing Standardized Mortality Securitizations: A Two-Population Model With Transitory Jump Effects," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(3), pages 733-774, September.
    29. Malene Kallestrup‐Lamb & Søren Kjærgaard & Carsten P. T. Rosenskjold, 2020. "Insight into stagnating adult life expectancy: Analyzing cause of death patterns across socioeconomic groups," Health Economics, John Wiley & Sons, Ltd., vol. 29(12), pages 1728-1743, December.
    30. Wang, Pengjie & Pantelous, Athanasios A. & Vahid, Farshid, 2023. "Multi-population mortality projection: The augmented common factor model with structural breaks," International Journal of Forecasting, Elsevier, vol. 39(1), pages 450-469.
    31. Fadoua Zeddouk & Pierre Devolder, 2020. "Longevity Modelling and Pricing under a Dependent Multi-Cohort Framework," Risks, MDPI, vol. 8(4), pages 1-23, November.
    32. Zhang, Jingong & Tan, Ken Seng & Weng, Chengguo, 2017. "Optimal hedging with basis risk under mean–variance criterion," Insurance: Mathematics and Economics, Elsevier, vol. 75(C), pages 1-15.
    33. James Risk & Michael Ludkovski, 2015. "Statistical Emulators for Pricing and Hedging Longevity Risk Products," Papers 1508.00310, arXiv.org, revised Sep 2015.
    34. Chen, An & Li, Hong & Schultze, Mark, 2022. "Collective longevity swap: A novel longevity risk transfer solution and its economic pricing," Journal of Economic Behavior & Organization, Elsevier, vol. 201(C), pages 227-249.
    35. Blake, David & Cairns, Andrew J.G., 2021. "Longevity risk and capital markets: The 2019-20 update," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 395-439.
    36. Li, Jackie & Haberman, Steven, 2015. "On the effectiveness of natural hedging for insurance companies and pension plans," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 286-297.
    37. Blake, David & Courbage, Christophe & MacMinn, Richard & Sherris, Michael, 2011. "Longevity risks and capital markets: The 2010-2011 update," MPRA Paper 34279, University Library of Munich, Germany.
    38. Enrico Biffis & David Blake, 2014. "Keeping Some Skin in the Game: How to Start a Capital Market in Longevity Risk Transfers," North American Actuarial Journal, Taylor & Francis Journals, vol. 18(1), pages 14-21.
    39. Risk, J. & Ludkovski, M., 2016. "Statistical emulators for pricing and hedging longevity risk products," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 45-60.
    40. Jesús-Adrián Álvarez & Malene Kallestrup-Lamb & Søren Kjærgaard, 2020. "Linking retirement age to life expectancy does not lessen the demographic implications of unequal lifespans," CREATES Research Papers 2020-17, Department of Economics and Business Economics, Aarhus University.
    41. Yang Chang & Michael Sherris, 2018. "Longevity Risk Management and the Development of a Value-Based Longevity Index," Risks, MDPI, vol. 6(1), pages 1-20, February.
    42. Wong, Tat Wing & Chiu, Mei Choi & Wong, Hoi Ying, 2014. "Time-consistent mean–variance hedging of longevity risk: Effect of cointegration," Insurance: Mathematics and Economics, Elsevier, vol. 56(C), pages 56-67.
    43. Zeddouk, Fadoua & Devolder, Pierre, 2022. "Pricing and hedging of longevity basis risk through securitization," LIDAM Discussion Papers ISBA 2022038, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    44. Börger, Matthias & Freimann, Arne & Ruß, Jochen, 2021. "A combined analysis of hedge effectiveness and capital efficiency in longevity hedging," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 309-326.
    45. Wang, Chou-Wen & Yang, Sharon S. & Huang, Hong-Chih, 2015. "Modeling multi-country mortality dependence and its application in pricing survivor index swaps—A dynamic copula approach," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 30-39.
    46. Blake, David, 2009. "NDC v FDC: Pros, cons and replication," MPRA Paper 33752, University Library of Munich, Germany.
    47. Li, Johnny Siu-Hang & Liu, Yanxin, 2021. "Recent declines in life expectancy: Implication on longevity risk hedging," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 376-394.
    48. Zhou, Rui & Li, Johnny Siu-Hang & Tan, Ken Seng, 2015. "Modeling longevity risk transfers as Nash bargaining problems: Methodology and insights," Economic Modelling, Elsevier, vol. 51(C), pages 460-472.
    49. Tan, Ken Seng & Weng, Chengguo & Zhang, Jinggong, 2022. "Optimal dynamic longevity hedge with basis risk," European Journal of Operational Research, Elsevier, vol. 297(1), pages 325-337.
    50. Dowd, Kevin & Cairns, Andrew & Blake, David & Coughlan, Guy & Khalaf-Allah, Marwa, 2011. "A gravity model of mortality rates for two related populations," MPRA Paper 35738, University Library of Munich, Germany.
    51. Andrew J.G. Cairns & Malene Kallestrup-Lamb & Carsten P.T. Rosenskjold & David Blake & Kevin Dowd, 2016. "Modelling Socio-Economic Differences in the Mortality of Danish Males Using a New Affluence Index," CREATES Research Papers 2016-14, Department of Economics and Business Economics, Aarhus University.
    52. Andrew J.G. Cairns & Kevin Dowd & David Blake & Guy D. Coughlan, 2014. "Longevity hedge effectiveness: a decomposition," Quantitative Finance, Taylor & Francis Journals, vol. 14(2), pages 217-235, February.
    53. Andrew J. G. Cairns, 2013. "Robust Hedging of Longevity Risk," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(3), pages 621-648, September.

  8. Dowd, Kevin & Cairns, Andrew & Blake, David & Coughlan, Guy & Khalaf-Allah, Marwa, 2011. "A gravity model of mortality rates for two related populations," MPRA Paper 35738, University Library of Munich, Germany.

    Cited by:

    1. Liu, Yanxin & Li, Johnny Siu-Hang, 2016. "It’s all in the hidden states: A longevity hedging strategy with an explicit measure of population basis risk," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 301-319.
    2. David Blake & Andrew Cairns & Guy Coughlan & Kevin Dowd & Richard MacMinn, 2013. "The New Life Market," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(3), pages 501-558, September.
    3. Hong Li & Yanlin Shi, 2021. "Mortality Forecasting with an Age-Coherent Sparse VAR Model," Risks, MDPI, vol. 9(2), pages 1-19, February.
    4. Tan, Chong It & Li, Jackie & Li, Johnny Siu-Hang & Balasooriya, Uditha, 2014. "Parametric mortality indexes: From index construction to hedging strategies," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 285-299.
    5. Hunt, Andrew & Blake, David, 2018. "Identifiability, cointegration and the gravity model," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 360-368.
    6. Danesi, Ivan Luciano & Haberman, Steven & Millossovich, Pietro, 2015. "Forecasting mortality in subpopulations using Lee–Carter type models: A comparison," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 151-161.
    7. Alvarez, Jesús-Adrián & Kallestrup-Lamb, Malene & Kjærgaard, Søren, 2021. "Linking retirement age to life expectancy does not lessen the demographic implications of unequal lifespans," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 363-375.
    8. Katrien Antonio & Anastasios Bardoutsos & Wilbert Ouburg, 2015. "Bayesian Poisson log-bilinear models for mortality projections with multiple populations," BAFFI CAREFIN Working Papers 1505, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    9. David Blake & Nicole El Karoui & Stéphane Loisel & Richard Macminn, 2018. "Longevity risk and capital markets: The 2015–16 update," Post-Print hal-01995778, HAL.
    10. Qian Lu & Katja Hanewald & Xiaojun Wang, 2021. "Subnational Mortality Modelling: A Bayesian Hierarchical Model with Common Factors," Risks, MDPI, vol. 9(11), pages 1-21, November.
    11. Ahcan, Ales & Medved, Darko & Olivieri, Annamaria & Pitacco, Ermanno, 2014. "Forecasting mortality for small populations by mixing mortality data," Insurance: Mathematics and Economics, Elsevier, vol. 54(C), pages 12-27.
    12. David Blake & Marco Morales & Wenjun Zhu & Ken Seng Tan & Chou-Wen Wang, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 477-493, April.
    13. Coughlan, Guy & Khalaf-Allah, Marwa & Ye, Yijing & Kumar, Sumit & Cairns, Andrew & Blake, David & Dowd, Kevin, 2011. "Longevity hedging 101: A framework for longevity basis risk analysis and hedge effectiveness," MPRA Paper 35743, University Library of Munich, Germany.
    14. Tat Wing Wong & Mei Choi Chiu & Hoi Ying Wong, 2017. "Managing Mortality Risk With Longevity Bonds When Mortality Rates Are Cointegrated," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(3), pages 987-1023, September.
    15. Hunt, Andrew & Blake, David, 2015. "Modelling longevity bonds: Analysing the Swiss Re Kortis bond," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 12-29.
    16. Rui Zhou & Guangyu Xing & Min Ji, 2019. "Changes of Relation in Multi-Population Mortality Dependence: An Application of Threshold VECM," Risks, MDPI, vol. 7(1), pages 1-18, February.
    17. Rui Zhou & Johnny Siu-Hang Li & Ken Seng Tan, 2013. "Pricing Standardized Mortality Securitizations: A Two-Population Model With Transitory Jump Effects," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(3), pages 733-774, September.
    18. Yahia Salhi & Stéphane Loisel, 2017. "Basis risk modelling: a co-integration based approach," Post-Print hal-00746859, HAL.
    19. Cairns, Andrew J.G., 2011. "Modelling and management of longevity risk: Approximations to survivor functions and dynamic hedging," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 438-453.
    20. Wan, Cheng & Bertschi, Ljudmila, 2015. "Swiss coherent mortality model as a basis for developing longevity de-risking solutions for Swiss pension funds: A practical approach," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 66-75.
    21. Flici, Farrid, 2016. "Projection des taux de mortalité par âges pour la population algérienne [Forecasting The Age Specific Mortality Rates For The Algerian Population]," MPRA Paper 98784, University Library of Munich, Germany, revised Dec 2016.
    22. Yang Qiao & Chou-Wen Wang & Wenjun Zhu, 2024. "Machine learning in long-term mortality forecasting," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 49(2), pages 340-362, April.
    23. Hong Li & Yang Lu & Pintao Lyu, 2021. "Coherent Mortality Forecasting for Less Developed Countries," Risks, MDPI, vol. 9(9), pages 1-21, August.
    24. Chen, Hua & MacMinn, Richard & Sun, Tao, 2015. "Multi-population mortality models: A factor copula approach," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 135-146.
    25. Blake, David & Cairns, Andrew J.G., 2021. "Longevity risk and capital markets: The 2019-20 update," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 395-439.
    26. Bravo, Jorge M. & Ayuso, Mercedes & Holzmann, Robert & Palmer, Edward, 2021. "Addressing the life expectancy gap in pension policy," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 200-221.
    27. French, Declan, 2014. "International mortality modelling—An economic perspective," Economics Letters, Elsevier, vol. 122(2), pages 182-186.
    28. FLICI, Farid, 2016. "The future of longevity and life annuities pricing in Algeria: comparison of mortality models," SocArXiv 2tdgm, Center for Open Science.
    29. Li, Jackie & Haberman, Steven, 2015. "On the effectiveness of natural hedging for insurance companies and pension plans," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 286-297.
    30. Frank van Berkum & Katrien Antonio & Michel Vellekoop, 2021. "Quantifying longevity gaps using micro‐level lifetime data," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 184(2), pages 548-570, April.
    31. Blake, David & Courbage, Christophe & MacMinn, Richard & Sherris, Michael, 2011. "Longevity risks and capital markets: The 2010-2011 update," MPRA Paper 34279, University Library of Munich, Germany.
    32. Hong Li & Yang Lu, 2018. "A Bayesian non-parametric model for small population mortality," Post-Print hal-02419000, HAL.
    33. Cuixia Liu & Yanlin Shi, 2023. "Extensions of the Lee–Carter model to project the data‐driven rotation of age‐specific mortality decline and forecast coherent mortality rates," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(4), pages 813-834, July.
    34. Jesús-Adrián Álvarez & Malene Kallestrup-Lamb & Søren Kjærgaard, 2020. "Linking retirement age to life expectancy does not lessen the demographic implications of unequal lifespans," CREATES Research Papers 2020-17, Department of Economics and Business Economics, Aarhus University.
    35. Wong, Tat Wing & Chiu, Mei Choi & Wong, Hoi Ying, 2014. "Time-consistent mean–variance hedging of longevity risk: Effect of cointegration," Insurance: Mathematics and Economics, Elsevier, vol. 56(C), pages 56-67.
    36. Guibert, Quentin & Lopez, Olivier & Piette, Pierrick, 2019. "Forecasting mortality rate improvements with a high-dimensional VAR," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 255-272.
    37. Hong Li & Yang Lu, 2016. "Coherent Forecasting Of Mortality Rates: A Sparse Vector-Autoregression Approach," Post-Print halshs-02418954, HAL.
    38. Jarner, Søren F. & Jallbjørn, Snorre, 2020. "Pitfalls and merits of cointegration-based mortality models," Insurance: Mathematics and Economics, Elsevier, vol. 90(C), pages 80-93.
    39. Li, Hong & Tan, Ken Seng & Tuljapurkar, Shripad & Zhu, Wenjun, 2021. "Gompertz law revisited: Forecasting mortality with a multi-factor exponential model," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 268-281.
    40. Li, Hong & Shi, Yanlin, 2021. "Forecasting mortality with international linkages: A global vector-autoregression approach," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 59-75.
    41. Shang, Han Lin & Haberman, Steven & Xu, Ruofan, 2022. "Multi-population modelling and forecasting life-table death counts," Insurance: Mathematics and Economics, Elsevier, vol. 106(C), pages 239-253.
    42. Zhou, Rui & Ji, Min, 2021. "Modelling mortality dependence: An application of dynamic vine copula," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 241-255.
    43. Li, Johnny Siu-Hang & Zhou, Rui & Hardy, Mary, 2015. "A step-by-step guide to building two-population stochastic mortality models," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 121-134.
    44. Ahmadi, Seyed Saeed & Li, Johnny Siu-Hang, 2014. "Coherent mortality forecasting with generalized linear models: A modified time-transformation approach," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 194-221.
    45. Tim J. Boonen & Hong Li, 2017. "Modeling and Forecasting Mortality With Economic Growth: A Multipopulation Approach," Demography, Springer;Population Association of America (PAA), vol. 54(5), pages 1921-1946, October.
    46. Massimiliano Menzietti & Maria Francesca Morabito & Manuela Stranges, 2019. "Mortality Projections for Small Populations: An Application to the Maltese Elderly," Risks, MDPI, vol. 7(2), pages 1-25, March.
    47. Johnny Siu-Hang Li & Wai-Sum Chan & Rui Zhou, 2017. "Semicoherent Multipopulation Mortality Modeling: The Impact on Longevity Risk Securitization," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(3), pages 1025-1065, September.
    48. Cadena, Meitner & Denuit, Michel, 2016. "Semi-parametric accelerated hazard relational models with applications to mortality projections," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 1-16.
    49. Wang, Hsin-Chung & Yue, Ching-Syang Jack & Chong, Chen-Tai, 2018. "Mortality models and longevity risk for small populations," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 351-359.
    50. Yanxin Liu & Johnny Siu-Hang Li, 2023. "Disentangling Trend Risk and Basis Risk with Functional Time Series," Risks, MDPI, vol. 11(12), pages 1-18, November.
    51. Li, Johnny Siu-Hang & Liu, Yanxin, 2020. "The heat wave model for constructing two-dimensional mortality improvement scales with measures of uncertainty," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 1-26.
    52. Andrew J.G. Cairns & Malene Kallestrup-Lamb & Carsten P.T. Rosenskjold & David Blake & Kevin Dowd, 2016. "Modelling Socio-Economic Differences in the Mortality of Danish Males Using a New Affluence Index," CREATES Research Papers 2016-14, Department of Economics and Business Economics, Aarhus University.
    53. de Jong, Piet & Tickle, Leonie & Xu, Jianhui, 2016. "Coherent modeling of male and female mortality using Lee–Carter in a complex number framework," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 130-137.
    54. Andrew J.G. Cairns & Kevin Dowd & David Blake & Guy D. Coughlan, 2014. "Longevity hedge effectiveness: a decomposition," Quantitative Finance, Taylor & Francis Journals, vol. 14(2), pages 217-235, February.
    55. Andrew J. G. Cairns, 2013. "Robust Hedging of Longevity Risk," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(3), pages 621-648, September.

  9. Blake, David & Wright, Douglas & Zhang, Yumeng, 2011. "Age dependent investing: Optimal funding and investment strategies in defined contribution pension plans when members are rational life cycle financial planners," MPRA Paper 34277, University Library of Munich, Germany.

    Cited by:

    1. Butt, Adam & Khemka, Gaurav, 2015. "The effect of objective formulation on retirement decision making," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 385-395.
    2. Dong, Yinghui & Zheng, Harry, 2019. "Optimal investment of DC pension plan under short-selling constraints and portfolio insurance," Insurance: Mathematics and Economics, Elsevier, vol. 85(C), pages 47-59.
    3. Mayhew, Les & Smith, David & Wright, Douglas, 2018. "The effect of longevity drift and investment volatility on income sufficiency in retirement," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 201-211.
    4. Minney, Aaron & Zhu, Zili & Guo, Ying & Li, Jiaming & Toscas, Peter & Koo, Bonsoo & Pantelous, Athanasios A., 2022. "Using the pension multiple to measure retirement outcomes," Finance Research Letters, Elsevier, vol. 49(C).
    5. Fischer, Marcel & Jensen, Bjarne Astrup & Koch, Marlene, 2023. "Optimal retirement savings over the life cycle: A deterministic analysis in closed form," Insurance: Mathematics and Economics, Elsevier, vol. 112(C), pages 48-58.
    6. Zeng, Yan & Li, Danping & Chen, Zheng & Yang, Zhou, 2018. "Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 88(C), pages 70-103.
    7. Chen, Zheng & Li, Zhongfei & Zeng, Yan & Sun, Jingyun, 2017. "Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk," Insurance: Mathematics and Economics, Elsevier, vol. 75(C), pages 137-150.
    8. Audrius Kabašinskas & Francesca Maggioni & Kristina Šutienė & Eimutis Valakevičius, 2019. "A multistage risk-averse stochastic programming model for personal savings accrual: the evidence from Lithuania," Annals of Operations Research, Springer, vol. 279(1), pages 43-70, August.
    9. Bernhardt, Thomas & Donnelly, Catherine, 2019. "Modern tontine with bequest: Innovation in pooled annuity products," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 168-188.
    10. Maria Teresa Medeiros Garcia & Beatriz Costa, 2020. "Performance of Personal Pension Funds in Portugal," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 26(3), pages 259-272, August.
    11. Dong, Yinghui & Zheng, Harry, 2020. "Optimal investment with S-shaped utility and trading and Value at Risk constraints: An application to defined contribution pension plan," European Journal of Operational Research, Elsevier, vol. 281(2), pages 341-356.
    12. Zhang, Linwan & Wu, Weixing & Wei, Ying & Pan, Rulu, 2015. "Stock holdings over the life cycle: Who hesitates to join the market?," Economic Systems, Elsevier, vol. 39(3), pages 423-438.
    13. Iwanicz-Drozdowska Małgorzata & Rogowicz Karol & Smaga Paweł, 2023. "Market-moving events and their role in portfolio optimization of generations X, Y, and Z," International Journal of Management and Economics, Warsaw School of Economics, Collegium of World Economy, vol. 59(4), pages 371-397, December.
    14. Vanya Horneff & Raimond Maurer & Olivia S. Mitchell & Ralph Rogalla, 2013. "Optimal Life Cycle Portfolio Choice with Variable Annuities Offering Liquidity and Investment Downside Protection," NBER Working Papers 19206, National Bureau of Economic Research, Inc.
    15. Gaurav Khemka & Yifu Tang & Geoffrey J. Warren, 2021. "The ‘right’ level for the superannuation guarantee: identifying the key considerations," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(3), pages 4435-4474, September.
    16. Haixiang Yao & Xun Li & Zhifeng Hao & Yong Li, 2016. "Dynamic asset–liability management in a Markov market with stochastic cash flows," Quantitative Finance, Taylor & Francis Journals, vol. 16(10), pages 1575-1597, October.
    17. Johan G. Andreasson & Pavel V. Shevchenko, 2016. "The 2015-2017 policy changes to the means-tests of Australian Age Pension: implication to decisions in retirement," Papers 1611.08330, arXiv.org.
    18. Forsyth, Peter A., 2020. "Optimal dynamic asset allocation for DC plan accumulation/decumulation: Ambition-CVAR," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 230-245.
    19. Teodoras Medaiskis & Tadas Gudaitis & Jaroslav Mečkovski, 2018. "Second pension pillar participants' behaviour: the Lithuanian case," Entrepreneurship and Sustainability Issues, VsI Entrepreneurship and Sustainability Center, vol. 6(2), pages 620-635, December.
    20. Blake, David & Duffield, Mel & Tonks, Ian & Haig, Alistair & Blower, Dean & MacPhee, Laura, 2022. "Smart defaults: Determining the number of default funds in a pension scheme," The British Accounting Review, Elsevier, vol. 54(4).
    21. Kevin Dowd & David Blake, 2022. "Good Practice Principles in Modelling Defined Contribution Pension Plans," JRFM, MDPI, vol. 15(3), pages 1-21, February.
    22. Johan G. Andréasson & Pavel V. Shevchenko, 2017. "Assessment of Policy Changes to Means-Tested Age Pension Using the Expected Utility Model: Implication for Decisions in Retirement," Risks, MDPI, vol. 5(3), pages 1-21, September.
    23. Maria Alexandrova & Nadine Gatzert, 2019. "What Do We Know About Annuitization Decisions?," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 22(1), pages 57-100, March.
    24. Alda, Mercedes, 2017. "The relationship between pension funds and the stock market: Does the aging population of Europe affect it?," International Review of Financial Analysis, Elsevier, vol. 49(C), pages 83-97.
    25. Marcel Lever & Ilja Boelaars & Ryanne Cox & Roel Mehlkopf, 2015. "The allocation of financial risks during the life cycle in individual and collective DC pension contracts," CPB Discussion Paper 317, CPB Netherlands Bureau for Economic Policy Analysis.
    26. Andréasson, Johan G. & Shevchenko, Pavel V. & Novikov, Alex, 2017. "Optimal consumption, investment and housing with means-tested public pension in retirement," Insurance: Mathematics and Economics, Elsevier, vol. 75(C), pages 32-47.
    27. Johan G. Andreasson & Pavel V. Shevchenko & Alex Novikov, 2016. "Optimal Consumption, Investment and Housing with Means-tested Public Pension in Retirement," Papers 1606.08984, arXiv.org.
    28. Thomas Bernhardt & Catherine Donnelly, 2019. "Modern tontine with bequest: innovation in pooled annuity products," Papers 1903.05990, arXiv.org.
    29. Asiye Aydilek & Harun Aydilek, 2020. "An optimization model of retiree decisions under recursive utility with housing," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 44(2), pages 258-277, April.
    30. Wei-Ting Pan, 2016. "The Impact of Mandatory Savings on Life Cycle Consumption and Portfolio Choice," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2016, January-A.

  10. Cairns, Andrew & Dowd, Kevin & Blake, David & Coughlan, Guy, 2011. "Longevity hedge effectiveness: a decomposition," MPRA Paper 34236, University Library of Munich, Germany.

    Cited by:

    1. Liu, Yanxin & Li, Johnny Siu-Hang, 2016. "It’s all in the hidden states: A longevity hedging strategy with an explicit measure of population basis risk," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 301-319.
    2. Henry Okwo & Charity Ezenwakwelu & Anthony Igwe & Benedict Imhanrenialena, 2019. "Firm Size and Age mediating the Firm Survival-Hedging Effect: Hayes’ 3-Way Parallel Approach," Sustainability, MDPI, vol. 11(3), pages 1-17, February.
    3. M. Martin Boyer & Lars Stentoft, 2017. "Yes We Can (Price Derivatives on Survivor Indices)," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 20(1), pages 37-62, March.
    4. Kim, Joseph H.T. & Li, Johnny S.H., 2017. "Risk-neutral valuation of the non-recourse protection in reverse mortgages: A case study for Korea," Emerging Markets Review, Elsevier, vol. 30(C), pages 133-154.
    5. Clemente De Rosa & Elisa Luciano & Luca Regis, 2017. "Basis risk in static versus dynamic longevity-risk hedging," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2017(4), pages 343-365, April.
    6. David Blake & Nicole El Karoui & Stéphane Loisel & Richard Macminn, 2018. "Longevity risk and capital markets: The 2015–16 update," Post-Print hal-01995778, HAL.
    7. Selin Ozen & c{S}ule c{S}ahin, 2021. "A Two-Population Mortality Model to Assess Longevity Basis Risk," Papers 2101.06690, arXiv.org.
    8. Kallestrup-Lamb, Malene & Søgaard Laursen, Nicolai, 2024. "Longevity hedge effectiveness using socioeconomic indices," Insurance: Mathematics and Economics, Elsevier, vol. 114(C), pages 242-251.
    9. McCarthy, David G. & Wang, Po-Lin, 2021. "Pooling mortality risk in Eurozone state pension liabilities: An application of a Bayesian coherent multi-population cohort-based mortality model," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 459-485.
    10. Liu, Yanxin & Li, Johnny Siu-Hang, 2018. "A strategy for hedging risks associated with period and cohort effects using q-forwards," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 267-285.
    11. Börger, Matthias & Russ, Jochen & Schupp, Johannes, 2021. "It takes two: Why mortality trend modeling is more than modeling one mortality trend," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 222-232.
    12. Selin Özen & Şule Şahin, 2021. "A Two-Population Mortality Model to Assess Longevity Basis Risk," Risks, MDPI, vol. 9(2), pages 1-19, February.
    13. Cairns, Andrew J.G., 2011. "Modelling and management of longevity risk: Approximations to survivor functions and dynamic hedging," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 438-453.
    14. Kwok, Kai Yin & Chiu, Mei Choi & Wong, Hoi Ying, 2016. "Demand for longevity securities under relative performance concerns: Stochastic differential games with cointegration," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 353-366.
    15. James Risk & Michael Ludkovski, 2015. "Statistical Emulators for Pricing and Hedging Longevity Risk Products," Papers 1508.00310, arXiv.org, revised Sep 2015.
    16. Chen, An & Li, Hong & Schultze, Mark, 2022. "Collective longevity swap: A novel longevity risk transfer solution and its economic pricing," Journal of Economic Behavior & Organization, Elsevier, vol. 201(C), pages 227-249.
    17. Blake, David & Cairns, Andrew J.G., 2021. "Longevity risk and capital markets: The 2019-20 update," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 395-439.
    18. Li, Johnny Siu-Hang & Liu, Yanxin & Chan, Wai-Sum, 2023. "Hedging longevity risk under non-Gaussian state-space stochastic mortality models: A mean-variance-skewness-kurtosis approach," Insurance: Mathematics and Economics, Elsevier, vol. 113(C), pages 96-121.
    19. Risk, J. & Ludkovski, M., 2016. "Statistical emulators for pricing and hedging longevity risk products," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 45-60.
    20. Hao, Xuemiao & Liang, Chunli & Wei, Linghua, 2017. "Evaluation of credit value adjustment in K-forward," Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 95-103.
    21. Yang Chang & Michael Sherris, 2018. "Longevity Risk Management and the Development of a Value-Based Longevity Index," Risks, MDPI, vol. 6(1), pages 1-20, February.
    22. Liu, Yanxin & Li, Johnny Siu-Hang, 2015. "The age pattern of transitory mortality jumps and its impact on the pricing of catastrophic mortality bonds," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 135-150.
    23. Ekheden, Erland & Hössjer, Ola, 2015. "Multivariate time series modeling, estimation and prediction of mortalities," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 156-171.
    24. Jarner, Søren F. & Jallbjørn, Snorre, 2020. "Pitfalls and merits of cointegration-based mortality models," Insurance: Mathematics and Economics, Elsevier, vol. 90(C), pages 80-93.
    25. Börger, Matthias & Freimann, Arne & Ruß, Jochen, 2021. "A combined analysis of hedge effectiveness and capital efficiency in longevity hedging," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 309-326.
    26. Man Chung Fung & Katja Ignatieva & Michael Sherris, 2019. "Managing Systematic Mortality Risk in Life Annuities: An Application of Longevity Derivatives," Risks, MDPI, vol. 7(1), pages 1-25, January.
    27. Peter Sinka & Peter J. Zeitsch, 2022. "Hedge Effectiveness of the Credit Default Swap Indices: a Spectral Decomposition and Network Topology Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 60(4), pages 1375-1412, December.
    28. Lin, Tzuling & Wang, Chou-Wen & Tsai, Cary Chi-Liang, 2015. "Age-specific copula-AR-GARCH mortality models," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 110-124.
    29. Zhou, Kenneth Q. & Li, Johnny Siu-Hang, 2019. "Delta-hedging longevity risk under the M7–M5 model: The impact of cohort effect uncertainty and population basis risk," Insurance: Mathematics and Economics, Elsevier, vol. 84(C), pages 1-21.
    30. Tan, Ken Seng & Weng, Chengguo & Zhang, Jinggong, 2022. "Optimal dynamic longevity hedge with basis risk," European Journal of Operational Research, Elsevier, vol. 297(1), pages 325-337.
    31. Andrew J.G. Cairns & Malene Kallestrup-Lamb & Carsten P.T. Rosenskjold & David Blake & Kevin Dowd, 2016. "Modelling Socio-Economic Differences in the Mortality of Danish Males Using a New Affluence Index," CREATES Research Papers 2016-14, Department of Economics and Business Economics, Aarhus University.

  11. Blake, David & Wright, Douglas & Zhang, Yumeng, 2011. "Target-driven investing: Optimal investment strategies in defined contribution pension plans under loss aversion," MPRA Paper 34278, University Library of Munich, Germany.

    Cited by:

    1. Butt, Adam & Khemka, Gaurav, 2015. "The effect of objective formulation on retirement decision making," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 385-395.
    2. Dong, Yinghui & Zheng, Harry, 2019. "Optimal investment of DC pension plan under short-selling constraints and portfolio insurance," Insurance: Mathematics and Economics, Elsevier, vol. 85(C), pages 47-59.
    3. Yao, Haixiang & Yang, Zhou & Chen, Ping, 2013. "Markowitz’s mean–variance defined contribution pension fund management under inflation: A continuous-time model," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 851-863.
    4. Marina Di Giacinto & Salvatore Federico & Fausto Gozzi & Elena Vigna, 2012. "Income drawdown option with minimum guarantee," Carlo Alberto Notebooks 272, Collegio Carlo Alberto.
    5. Yao, Haixiang & Chen, Ping & Li, Xun, 2016. "Multi-period defined contribution pension funds investment management with regime-switching and mortality risk," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 103-113.
    6. Douglas, Graeme & Roberts-Sklar, Matt, 2018. "What drives UK defined benefit pension funds' investment behaviour?," Bank of England working papers 757, Bank of England.
    7. Agnieszka Konicz & David Pisinger & Alex Weissensteiner, 2015. "Optimal annuity portfolio under inflation risk," Computational Management Science, Springer, vol. 12(3), pages 461-488, July.
    8. Wu, Huiling & Zeng, Yan, 2015. "Equilibrium investment strategy for defined-contribution pension schemes with generalized mean–variance criterion and mortality risk," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 396-408.
    9. Guohui Guan & Zongxia Liang & Yi Xia, 2023. "Optimal management of DB pension fund under both underfunded and overfunded cases," Papers 2302.08731, arXiv.org.
    10. Yao, Haixiang & Lai, Yongzeng & Ma, Qinghua & Jian, Minjie, 2014. "Asset allocation for a DC pension fund with stochastic income and mortality risk: A multi-period mean–variance framework," Insurance: Mathematics and Economics, Elsevier, vol. 54(C), pages 84-92.
    11. Wiafe, Osei K. & Basu, Anup K. & Chen, John, 2017. "The effects of age pension on retirement drawdown choices," Finance Research Letters, Elsevier, vol. 20(C), pages 81-87.
    12. Zeng, Yan & Li, Danping & Chen, Zheng & Yang, Zhou, 2018. "Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 88(C), pages 70-103.
    13. Chen, Zheng & Li, Zhongfei & Zeng, Yan & Sun, Jingyun, 2017. "Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk," Insurance: Mathematics and Economics, Elsevier, vol. 75(C), pages 137-150.
    14. Menoncin, Francesco & Vigna, Elena, 2017. "Mean–variance target-based optimisation for defined contribution pension schemes in a stochastic framework," Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 172-184.
    15. Wang, Suxin & Rong, Ximin & Zhao, Hui, 2019. "Optimal investment and benefit payment strategy under loss aversion for target benefit pension plans," Applied Mathematics and Computation, Elsevier, vol. 346(C), pages 205-218.
    16. Małgorzata Tarczynska-Luniewska & Iwona Bak & Uma Shankar Singh & Guru Ashish Singh, 2022. "Economic Crisis Impact Assessment and Risk Exposure Evaluation of Selected Energy Sector Companies from Bombay Stock Exchange," Energies, MDPI, vol. 15(22), pages 1-25, November.
    17. Zhang, Ling & Zhang, Hao & Yao, Haixiang, 2018. "Optimal investment management for a defined contribution pension fund under imperfect information," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 210-224.
    18. Agnieszka Karolina Konicz & David Pisinger & Alex Weissensteiner, 2016. "Optimal retirement planning with a focus on single and joint life annuities," Quantitative Finance, Taylor & Francis Journals, vol. 16(2), pages 275-295, February.
    19. Dong, Yinghui & Zheng, Harry, 2020. "Optimal investment with S-shaped utility and trading and Value at Risk constraints: An application to defined contribution pension plan," European Journal of Operational Research, Elsevier, vol. 281(2), pages 341-356.
    20. Gaurav Khemka & Yifu Tang & Geoffrey J. Warren, 2021. "The ‘right’ level for the superannuation guarantee: identifying the key considerations," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(3), pages 4435-4474, September.
    21. Geoffrey J Warren, 2022. "Design of comprehensive income products for retirement using utility functions," Australian Journal of Management, Australian School of Business, vol. 47(1), pages 105-134, February.
    22. Zhiping Chen & Liyuan Wang & Ping Chen & Haixiang Yao, 2019. "Continuous-Time Mean–Variance Optimization For Defined Contribution Pension Funds With Regime-Switching," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(06), pages 1-33, September.
    23. Butt, Adam & Khemka, Gaurav & Warren, Geoffrey J., 2022. "Heterogeneity in optimal investment and drawdown strategies in retirement," Pacific-Basin Finance Journal, Elsevier, vol. 74(C).
    24. Gaurav Khemka & Adam Butt, 2017. "Non-Parametric Integral Estimation Using Data Clustering in Stochastic dynamic Programming: An Introduction Using Lifetime Financial Modelling," Risks, MDPI, vol. 5(4), pages 1-17, October.
    25. Chen, Zheng & Li, Zhongfei & Zeng, Yan, 2023. "Portfolio choice with illiquid asset for a loss-averse pension fund investor," Insurance: Mathematics and Economics, Elsevier, vol. 108(C), pages 60-83.
    26. Khemka, Gaurav & Steffensen, Mogens & Warren, Geoffrey J., 2021. "How sub-optimal are age-based life-cycle investment products?," International Review of Financial Analysis, Elsevier, vol. 73(C).
    27. Adam Butt & Gaurav Khemka & Geoffrey J. Warren, 2019. "What Dividend Imputation Means for Retirement Savers," The Economic Record, The Economic Society of Australia, vol. 95(309), pages 181-199, June.
    28. Wu, Huiling & Zhang, Ling & Chen, Hua, 2015. "Nash equilibrium strategies for a defined contribution pension management," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 202-214.
    29. Miloš Kopa & Vittorio Moriggia & Sebastiano Vitali, 2018. "Individual optimal pension allocation under stochastic dominance constraints," Annals of Operations Research, Springer, vol. 260(1), pages 255-291, January.
    30. Dormidontova, Yulia & Nazarov, Vladimir & A. Tikhonova, 2014. "Analysis of Approaches of Participants of Pension Products Market to the Development of Optimal Investment Strategies of Pension Savings," Published Papers r90227, Russian Presidential Academy of National Economy and Public Administration.

  12. Blake, David & Brockett, Patrick & Cox, Samuel & MacMinn, Richard, 2011. "Longevity risk and capital markets: The 2009-2010 update," MPRA Paper 28868, University Library of Munich, Germany.

    Cited by:

    1. Meyricke, Ramona & Sherris, Michael, 2014. "Longevity risk, cost of capital and hedging for life insurers under Solvency II," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 147-155.
    2. Dorina Lazar & Anuta Buiga & Adela Deaconu, 2016. "Common Stochastic Trends in European Mortality Levels: Testing and Consequences for Modeling Longevity Risk in Insurance," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 152-168, June.

  13. Biffis, Enrico & Blake, David & Pitotti, Lorenzo & Sun, Ariel, 2011. "The cost of counterparty risk and collateralization in longevity swaps," MPRA Paper 35740, University Library of Munich, Germany.

    Cited by:

    1. Olivia S. Mitchell, 2018. "Enhancing risk management for an aging world," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 43(2), pages 115-136, September.
    2. Damiano Brigo & Nicola Pede & Andrea Petrelli, 2019. "Multi-Currency Credit Default Swaps," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(04), pages 1-35, June.
    3. David Blake & Andrew Cairns & Guy Coughlan & Kevin Dowd & Richard MacMinn, 2013. "The New Life Market," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(3), pages 501-558, September.
    4. Enrico Biffis & Beniamin Goldys & Cecilia Prosdocimi & Margherita Zanella, 2023. "A pricing formula for delayed claims: appreciating the past to value the future," Mathematics and Financial Economics, Springer, volume 17, number 2, December.
    5. Bravo, Jorge M. & Nunes, João Pedro Vidal, 2021. "Pricing longevity derivatives via Fourier transforms," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 81-97.
    6. Harry Bensusan & Nicole El Karoui & Stéphane Loisel & Yahia Salhi, 2016. "Partial Splitting of Longevity and Financial Risks: The Longevity Nominal Choosing Swaptions," Post-Print hal-00768526, HAL.
    7. De Rosa, Clemente & Luciano, Elisa & Regis, Luca, 2021. "Geographical Diversification And Longevity Risk Mitigation In Annuity Portfolios," ASTIN Bulletin, Cambridge University Press, vol. 51(2), pages 375-410, May.
    8. Damiano Brigo & Cristin Buescu & Marco Francischello & Andrea Pallavicini & Marek Rutkowski, 2022. "Nonlinear Valuation with XVAs: Two Converging Approaches," Mathematics, MDPI, vol. 10(5), pages 1-31, March.
    9. Damiano Brigo, 2011. "Counterparty Risk FAQ: Credit VaR, PFE, CVA, DVA, Closeout, Netting, Collateral, Re-hypothecation, WWR, Basel, Funding, CCDS and Margin Lending," Papers 1111.1331, arXiv.org, revised Jun 2012.
    10. Andrea Pallavicini & Damiano Brigo, 2013. "Interest-Rate Modelling in Collateralized Markets: Multiple curves, credit-liquidity effects, CCPs," Papers 1304.1397, arXiv.org.
    11. Damiano Brigo & Federico Graceffa & Alexander Kalinin, 2021. "Mild to classical solutions for XVA equations under stochastic volatility," Papers 2112.11808, arXiv.org.
    12. David Blake & Marco Morales & Wenjun Zhu & Ken Seng Tan & Chou-Wen Wang, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 477-493, April.
    13. Kung, Ko-Lun & Liu, I-Chien & Wang, Chou-Wen, 2021. "Modeling and pricing longevity derivatives using Skellam distribution," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 341-354.
    14. Enrico Biffis & David Blake, 2013. "Informed Intermediation of Longevity Exposures," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(3), pages 559-584, September.
    15. Tzuling Lin & Cary Chi‐Liang Tsai, 2023. "A new option for mortality–interest rates," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(2), pages 273-293, February.
    16. Meyricke, Ramona & Sherris, Michael, 2014. "Longevity risk, cost of capital and hedging for life insurers under Solvency II," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 147-155.
    17. Brigo, Damiano & Francischello, Marco & Pallavicini, Andrea, 2019. "Nonlinear valuation under credit, funding, and margins: Existence, uniqueness, invariance, and disentanglement," European Journal of Operational Research, Elsevier, vol. 274(2), pages 788-805.
    18. Leung, Melvern & Fung, Man Chung & O’Hare, Colin, 2018. "A comparative study of pricing approaches for longevity instruments," Insurance: Mathematics and Economics, Elsevier, vol. 82(C), pages 95-116.
    19. A. Mantovi, 2019. "Information insensitivity, collateral flows and the logic of financial stability," Economics Department Working Papers 2019-EP01, Department of Economics, Parma University (Italy).
    20. Hao, Xuemiao & Liang, Chunli & Wei, Linghua, 2017. "Evaluation of credit value adjustment in K-forward," Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 95-103.
    21. Zeddouk, Fadoua & Devolder, Pierre, 2022. "Pricing and hedging of longevity basis risk through securitization," LIDAM Discussion Papers ISBA 2022038, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    22. Börger, Matthias & Freimann, Arne & Ruß, Jochen, 2021. "A combined analysis of hedge effectiveness and capital efficiency in longevity hedging," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 309-326.
    23. Wang, Chou-Wen & Yang, Sharon S. & Huang, Hong-Chih, 2015. "Modeling multi-country mortality dependence and its application in pricing survivor index swaps—A dynamic copula approach," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 30-39.
    24. Man Chung Fung & Katja Ignatieva & Michael Sherris, 2019. "Managing Systematic Mortality Risk in Life Annuities: An Application of Longevity Derivatives," Risks, MDPI, vol. 7(1), pages 1-25, January.
    25. Brigo, Damiano & Vrins, Frédéric, 2018. "Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures," LIDAM Reprints LFIN 2018012, Université catholique de Louvain, Louvain Finance (LFIN).
    26. Susanna Levantesi & Massimiliano Menzietti, 2017. "Maximum Market Price of Longevity Risk under Solvency Regimes: The Case of Solvency II," Risks, MDPI, vol. 5(2), pages 1-21, May.
    27. Man Chung Fung & Katja Ignatieva & Michael Sherris, 2015. "Managing Systematic Mortality Risk in Life Annuities: An Application of Longevity Derivatives," Papers 1508.00090, arXiv.org.

  14. Blake, David & Courbage, Christophe & MacMinn, Richard & Sherris, Michael, 2011. "Longevity risks and capital markets: The 2010-2011 update," MPRA Paper 34279, University Library of Munich, Germany.

    Cited by:

    1. Meyricke, Ramona & Sherris, Michael, 2014. "Longevity risk, cost of capital and hedging for life insurers under Solvency II," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 147-155.
    2. Dorina Lazar & Anuta Buiga & Adela Deaconu, 2016. "Common Stochastic Trends in European Mortality Levels: Testing and Consequences for Modeling Longevity Risk in Insurance," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 152-168, June.

  15. Blake, David & Boardman, Tom, 2010. "Spend more today: Using behavioural economics to improve retirement expenditure decisions," MPRA Paper 34234, University Library of Munich, Germany.

    Cited by:

    1. Kaifala, Gabriel B. & Paisey, Catriona & Paisey, Nicholas J., 2021. "The UK pensions landscape – A critique of the role of accountants and accounting technologies in the treatment of social and societal risks," CRITICAL PERSPECTIVES ON ACCOUNTING, Elsevier, vol. 75(C).

  16. Anthony Webb & Shenyi Jiang & Wei Sun, 2010. "Did the Housing Boom Increase Household Spending," Issues in Brief ib2010-10, Center for Retirement Research, revised Jul 2010.

    Cited by:

    1. Friedberg Leora & Webb Anthony, 2007. "Life Is Cheap: Using Mortality Bonds to Hedge Aggregate Mortality Risk," The B.E. Journal of Economic Analysis & Policy, De Gruyter, vol. 7(1), pages 1-33, July.
    2. Dushi, Irena & Friedberg, Leora & Webb, Tony, 2010. "The impact of aggregate mortality risk on defined benefit pension plans," Journal of Pension Economics and Finance, Cambridge University Press, vol. 9(4), pages 481-503, October.

  17. Bessler, Wolfgang & Blake, David & Lückoff, Peter & Tonks, Ian, 2010. "Why does mutual fund performance not persist? The impact and interaction of fund flows and manager changes," MPRA Paper 34185, University Library of Munich, Germany.

    Cited by:

    1. Cuthbertson, Keith & Nitzsche, Dirk & O'Sullivan, Niall, 2016. "A review of behavioural and management effects in mutual fund performance," International Review of Financial Analysis, Elsevier, vol. 44(C), pages 162-176.
    2. Ariadna Dumitrescu & Javier Gil-Bazo, 2015. "Familiarity and Competition: The Case of Mutual Funds," Working Papers 815, Barcelona School of Economics.
    3. Clare, Andrew & Motson, Nick & Sapuric, Svetlana & Todorovic, Natasa, 2014. "What impact does a change of fund manager have on mutual fund performance?," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 167-177.
    4. Abhay Kaushik, 2012. "The impact of flow of funds and management style on abnormal performance," Journal of Asset Management, Palgrave Macmillan, vol. 13(5), pages 327-338, October.
    5. Paulo Rogério Faustino Matos & Christiano Modesto Penna & Ana Balbina Gomes Silva, 2015. "Mutual Investments Funds in Shares in Brazil: Incentives, Management and Convergence," Brazilian Business Review, Fucape Business School, vol. 12(2), pages 110-144, March.
    6. Herrmann, Ulf & Scholz, Hendrik, 2013. "Short-term persistence in hybrid mutual fund performance: The role of style-shifting abilities," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2314-2328.
    7. Bredin, Don & Cuthbertson, Keith & Nitzsche, Dirk & Thomas, Dylan C., 2014. "Performance and performance persistence of UK closed-end equity funds," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 189-199.
    8. Cuthbertson, Keith & Nitzsche, Dirk, 2013. "Performance, stock selection and market timing of the German equity mutual fund industry," Journal of Empirical Finance, Elsevier, vol. 21(C), pages 86-101.

  18. Blake, David & Boardman, Tom & Cairns, Andrew, 2010. "Sharing longevity risk: Why governments should issue longevity bonds," MPRA Paper 34184, University Library of Munich, Germany.

    Cited by:

    1. Edouard Debonneuil & Stéphane Loisel & Frédéric Planchet, 2015. "Do actuaries believe in longevity deceleration?," Working Papers hal-01219270, HAL.
    2. Emilio Bisetti & Carlo Favero, 2014. "Measuring the Impact of Longevity Risk on Pension Systems: The Case of Italy," North American Actuarial Journal, Taylor & Francis Journals, vol. 18(1), pages 87-103.
    3. Bohm, Thomas & Waldvogel, Felix, 2012. "Etablierung eines außerbörslichen Kapitalmarktes für das Langlebigkeitsrisiko," Bayreuth Working Papers on Finance, Accounting and Taxation (FAcT-Papers) 2012-02, University of Bayreuth, Chair of Finance and Banking.
    4. Carlo Favero & Marco Giacoletti, 2011. "Progress in Medicine, Limits to Life and Forecasting Mortality," Working Papers 406, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    5. David Blake, 2018. "Longevity: a new asset class," Journal of Asset Management, Palgrave Macmillan, vol. 19(5), pages 278-300, September.
    6. David Blake & Nicole El Karoui & Stéphane Loisel & Richard Macminn, 2018. "Longevity risk and capital markets: The 2015–16 update," Post-Print hal-01995778, HAL.
    7. Tomas Cipra, 2010. "Securitization of Longevity and Mortality Risk," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 60(6), pages 545-560, December.
    8. David Blake & Marco Morales & Wenjun Zhu & Ken Seng Tan & Chou-Wen Wang, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 477-493, April.
    9. Benedetta Frassi & Fabio Pammolli & Luca Regis, 2017. "The potential costs of Longevity Risk on Public Pensions. Evidence from Italian data," Working Papers 01/2017, IMT School for Advanced Studies Lucca, revised Jan 2017.
    10. Broeders, Dirk & Mehlkopf, Roel & van Ool, Annick, 2021. "The economics of sharing macro-longevity risk," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 440-458.
    11. Blake, David & Cairns, Andrew J.G., 2021. "Longevity risk and capital markets: The 2019-20 update," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 395-439.
    12. Blake, David & Courbage, Christophe & MacMinn, Richard & Sherris, Michael, 2011. "Longevity risks and capital markets: The 2010-2011 update," MPRA Paper 34279, University Library of Munich, Germany.
    13. Blake, David & Brockett, Patrick & Cox, Samuel & MacMinn, Richard, 2011. "Longevity risk and capital markets: The 2009-2010 update," MPRA Paper 28868, University Library of Munich, Germany.
    14. Dong, Fangyuan & Wong, Hoi Ying, 2015. "Longevity bond pricing under the threshold CIR model," Finance Research Letters, Elsevier, vol. 15(C), pages 195-207.
    15. Helena Chuliá & Montserrat Guillén & Jorge M. Uribe, 2015. "Mortality and Longevity Risks in the United Kingdom: Dynamic Factor Models and Copula-Functions," Working Papers 2015-03, Universitat de Barcelona, UB Riskcenter.
    16. Blake, David, 2009. "NDC v FDC: Pros, cons and replication," MPRA Paper 33752, University Library of Munich, Germany.
    17. Tan, Ken Seng & Weng, Chengguo & Zhang, Jinggong, 2022. "Optimal dynamic longevity hedge with basis risk," European Journal of Operational Research, Elsevier, vol. 297(1), pages 325-337.
    18. Andrew J.G. Cairns & Kevin Dowd & David Blake & Guy D. Coughlan, 2014. "Longevity hedge effectiveness: a decomposition," Quantitative Finance, Taylor & Francis Journals, vol. 14(2), pages 217-235, February.

  19. Blake, David & Tonks, Ian & Timmermann, Allan & Wermers, Russ, 2010. "Decentralized Investment Management: Evidence from the Pension Fund Industry," CEPR Discussion Papers 7679, C.E.P.R. Discussion Papers.

    Cited by:

    1. Michael A.S. Joyce & Zhuoshi Liu & Ian Tonks, 2017. "Institutional Investors and the QE Portfolio Balance Channel," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 49(6), pages 1225-1246, September.
    2. Blake, David & Caulfield, Tristan & Ioannidis, Christos & Tonks, Ian, 2014. "Improved inference in the evaluation of mutual fund performance using panel bootstrap methods," Journal of Econometrics, Elsevier, vol. 183(2), pages 202-210.
    3. Doyle, Joanne & Eades, Kenneth & Marshall, Brooks, 2021. "Estimating the effect of active management and private equity for defined benefit pension funds," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 161-169.
    4. Donnelly, Catherine & Guillén, Montserrat & Nielsen, Jens Perch, 2014. "Bringing cost transparency to the life annuity market," Insurance: Mathematics and Economics, Elsevier, vol. 56(C), pages 14-27.
    5. Timmermann, Allan & Lunde, Asger & Groenborg, Niels & Wermers, Russ, 2017. "Picking Funds with Confidence," CEPR Discussion Papers 11896, C.E.P.R. Discussion Papers.
    6. Jansen, Kristy, 2021. "Essays on institutional investors, portfolio choice, and asset prices," Other publications TiSEM fd998408-d282-4e0f-b542-4, Tilburg University, School of Economics and Management.
    7. Campbell R. Harvey & Yan Liu, 2022. "Luck versus Skill in the Cross Section of Mutual Fund Returns: Reexamining the Evidence," Journal of Finance, American Finance Association, vol. 77(3), pages 1921-1966, June.
    8. Sebastian Bunnenberg & Martin Rohleder & Hendrik Scholz & Marco Wilkens, 2019. "Jensen's alpha and the market‐timing puzzle," Review of Financial Economics, John Wiley & Sons, vol. 37(2), pages 234-255, April.
    9. Rossi, Alberto G. & Blake, David & Timmermann, Allan & Tonks, Ian & Wermers, Russ, 2018. "Network centrality and delegated investment performance," Journal of Financial Economics, Elsevier, vol. 128(1), pages 183-206.
    10. Anthropelos, Michail & Kardaras, Constantinos, 2024. "Price impact under heterogeneous beliefs and restricted participation," Journal of Economic Theory, Elsevier, vol. 215(C).
    11. Blake, David & Sarno, Lucio & Zinna, Gabriele, 2017. "The market for lemmings: The herding behavior of pension funds," Journal of Financial Markets, Elsevier, vol. 36(C), pages 17-39.
    12. Andreas G. F. Hoepner & Lisa Schopohl, 2018. "On the Price of Morals in Markets: An Empirical Study of the Swedish AP-Funds and the Norwegian Government Pension Fund," Journal of Business Ethics, Springer, vol. 151(3), pages 665-692, September.
    13. Sabri Boubaker & Dimitrios Gounopoulos & Duc Khuong Nguyen & Nikos Paltalidis, 2016. "Assessing the Effects of Unconventional Monetary Policy on Pension Funds Risk Incentives," Working Papers 2016-005, Department of Research, Ipag Business School.
    14. Broeders, Dirk W.G.A. & van Oord, Arco & Rijsbergen, David R., 2019. "Does it pay to pay performance fees? Empirical evidence from Dutch pension funds," Journal of International Money and Finance, Elsevier, vol. 93(C), pages 299-312.
    15. Gabriele Zinna, 2014. "Price pressures in the UK index-linked market: an empirical investigation," Temi di discussione (Economic working papers) 968, Bank of Italy, Economic Research and International Relations Area.
    16. Platanakis, Emmanouil & Sutcliffe, Charles & Ye, Xiaoxia, 2021. "Horses for courses: Mean-variance for asset allocation and 1/N for stock selection," European Journal of Operational Research, Elsevier, vol. 288(1), pages 302-317.
    17. Cai, Biqing & Cheng, Tingting & Yan, Cheng, 2018. "Time-varying skills (versus luck) in U.S. active mutual funds and hedge funds," Journal of Empirical Finance, Elsevier, vol. 49(C), pages 81-106.
    18. Joyce, Michael & Liu, Zhuoshi & Tonks, Ian, 2014. "Institutional investor portfolio allocation, quantitative easing and the global financial crisis," Bank of England working papers 510, Bank of England.
    19. Campbell R. Harvey & Yan Liu, 2020. "False (and Missed) Discoveries in Financial Economics," Journal of Finance, American Finance Association, vol. 75(5), pages 2503-2553, October.
    20. Rossi, Alberto G. & Blake, David & Timmermann, Allan & Tonks, Ian & Wermers, Russ, 2015. "Network centrality and pension fund performance," CFR Working Papers 15-16, University of Cologne, Centre for Financial Research (CFR).
    21. D’Arcangelis, Anna Maria & Levantesi, Susanna & Rotundo, Giulia, 2021. "A complex networks approach to pension funds," Journal of Business Research, Elsevier, vol. 129(C), pages 687-702.
    22. Xu, Ruihui & Zhang, Xuliang & Gozgor, Giray & Lau, Chi Keung Marco & Yan, Cheng, 2023. "Investor flow-chasing and price–performance puzzle: Evidence from global infrastructure funds," Research in International Business and Finance, Elsevier, vol. 65(C).
    23. Boubaker, Sabri & Gounopoulos, Dimitrios & Nguyen, Duc Khuong & Paltalidis, Nikos, 2017. "Assessing the effects of unconventional monetary policy and low interest rates on pension fund risk incentives," Journal of Banking & Finance, Elsevier, vol. 77(C), pages 35-52.
    24. Aleksandar Andonov, 2024. "Delegated Investment Management in Alternative Assets," The Review of Corporate Finance Studies, Society for Financial Studies, vol. 13(1), pages 264-301.
    25. Gordon Cookson & Tim Jenkinson & Howard Jones & Jose Vicente Martinez, 2022. "Virtual Reality? Investment Consultants’ Claims About Their Own Performance," Management Science, INFORMS, vol. 68(11), pages 8301-8318, November.
    26. Ishita Sen, 2023. "Regulatory Limits to Risk Management," The Review of Financial Studies, Society for Financial Studies, vol. 36(6), pages 2175-2223.
    27. Andonov, Aleksandar & Eichholtz, Piet & Kok, Nils, 2015. "Intermediated investment management in private markets: Evidence from pension fund investments in real estate," Journal of Financial Markets, Elsevier, vol. 22(C), pages 73-103.
    28. Cheng, Tingting & Yan, Cheng & Yan, Yayi, 2021. "Improved inference for fund alphas using high-dimensional cross-sectional tests," Journal of Empirical Finance, Elsevier, vol. 61(C), pages 57-81.
    29. Manuel Ammann & Christian Ehmann, 2017. "Is Governance Related to Investment Performance and Asset Allocation? Empirical Evidence from Swiss Pension Funds," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 153(3), pages 293-339, July.
    30. Lejeune, Miguel A. & Shen, Siqian, 2016. "Multi-objective probabilistically constrained programs with variable risk: Models for multi-portfolio financial optimization," European Journal of Operational Research, Elsevier, vol. 252(2), pages 522-539.
    31. Ran Ji & Miguel A. Lejeune, 2018. "Risk-budgeting multi-portfolio optimization with portfolio and marginal risk constraints," Annals of Operations Research, Springer, vol. 262(2), pages 547-578, March.
    32. Zambrana, Rafael & Zapatero, Fernando, 2021. "A tale of two types: Generalists vs. specialists in asset management," Journal of Financial Economics, Elsevier, vol. 142(2), pages 844-861.
    33. Broeders, Dirk W.G.A. & van Oord, Arco & Rijsbergen, David R., 2016. "Scale economies in pension fund investments: A dissection of investment costs across asset classes," Journal of International Money and Finance, Elsevier, vol. 67(C), pages 147-171.
    34. Minho Lee & Roy H. Kwon & Chi-Guhn Lee & Hassan Anis, 2018. "Decentralized strategic asset allocation with global constraints," Journal of Asset Management, Palgrave Macmillan, vol. 19(1), pages 13-26, January.
    35. Matteo Bonetti, 2021. "Pension Fund Equity Performance: Herding Does Not Pay Off," Working Papers 729, DNB.
    36. Qu, Ritong & Timmermann, Allan & Zhu, Yinchu, 2023. "Comparing forecasting performance in cross-sections," Journal of Econometrics, Elsevier, vol. 237(2).
    37. Yue Xu, 2021. "Spillovers of Senior Mutual Fund Managers’ Capital Raising Ability," CREATES Research Papers 2022-03, Department of Economics and Business Economics, Aarhus University.
    38. Cheng, Tingting & Yan, Cheng, 2017. "Evaluating the size of the bootstrap method for fund performance evaluation," Economics Letters, Elsevier, vol. 156(C), pages 36-41.
    39. Campbell R. Harvey & Yan Liu, 2020. "False (and Missed) Discoveries in Financial Economics," Papers 2006.04269, arXiv.org.

  20. Blake, David & Cairns, Andrew & Dowd, Kevin, 2008. "Turning pension plans into pension planes: What investment strategy designers of defined contribution pension plans can learn from commercial aircraft designers," MPRA Paper 33749, University Library of Munich, Germany.

    Cited by:

    1. Jiajia Cui & Eduard H. M. Ponds, 2016. "Intergenerational Risk Trading and the Innovative Role of Equity- Wage Swaps," Bankers, Markets & Investors, ESKA Publishing, issue 144, pages 31-42, September.
    2. Giuseppe Grande & Ignazio Visco, 2010. "A public guarantee of a minimum return to defined contribution pension scheme members," Temi di discussione (Economic working papers) 762, Bank of Italy, Economic Research and International Relations Area.
    3. Michel Aglietta & Antoine Rebérioux, 2012. "Financialisation and the Firm," Chapters, in: Michael Dietrich & Jackie Krafft (ed.), Handbook on the Economics and Theory of the Firm, chapter 23, Edward Elgar Publishing.
    4. Adam Butt & M. Scott Donald & F. Douglas Foster & Susan Thorp & Geoffrey J. Warren & Tom Smith, 2017. "Design of MySuper default funds: influences and outcomes," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 57(1), pages 47-85, March.
    5. Mukul. G Asher, 2009. "Managing Prolonged Low Fertility: The Case of Singapore," Working Papers id:1949, eSocialSciences.
    6. Castaneda, Pablo & Rudolph, Heinz P., 2011. "Upgrading investment regulations in second pillar pension systems : a proposal for Colombia," Policy Research Working Paper Series 5775, The World Bank.

  21. Inkmann, Joachim & Blake, David, 2004. "Liability valuation and optimal asset allocation," LSE Research Online Documents on Economics 24754, London School of Economics and Political Science, LSE Library.

    Cited by:

    1. Inkmann, Joachim, 2006. "Compensating wage differentials for defined benefit and defined contribution occupational pension scheme benefits," LSE Research Online Documents on Economics 24516, London School of Economics and Political Science, LSE Library.
    2. Dirk Broeders, 2010. "Valuation of Contingent Pension Liabilities and Guarantees Under Sponsor Default Risk," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 77(4), pages 911-934, December.
    3. Robert Novy-Marx & Joshua D. Rauh, 2008. "The Intergenerational Transfer of Public Pension Promises," NBER Working Papers 14343, National Bureau of Economic Research, Inc.

  22. Cairns, Andrew J. G. & Blake, David & Dowd, Kevin, 2004. "Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans," LSE Research Online Documents on Economics 24831, London School of Economics and Political Science, LSE Library.

    Cited by:

    1. Owadally, Iqbal & Jang, Chul & Clare, Andrew, 2021. "Optimal investment for a retirement plan with deferred annuities," Insurance: Mathematics and Economics, Elsevier, vol. 98(C), pages 51-62.
    2. Ghoddusi, Hamed & Afkhami, Mohamad, 2019. "Valuation of mortgage interest deductibility under uncertainty: An option pricing approach," Journal of Economic Dynamics and Control, Elsevier, vol. 103(C), pages 102-122.
    3. Dong, Yinghui & Zheng, Harry, 2019. "Optimal investment of DC pension plan under short-selling constraints and portfolio insurance," Insurance: Mathematics and Economics, Elsevier, vol. 85(C), pages 47-59.
    4. Li, Danping & Rong, Ximin & Zhao, Hui & Yi, Bo, 2017. "Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 6-20.
    5. Yao, Haixiang & Yang, Zhou & Chen, Ping, 2013. "Markowitz’s mean–variance defined contribution pension fund management under inflation: A continuous-time model," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 851-863.
    6. Elena Vigna, 2009. "Mean-variance inefficiency of CRRA and CARA utility functions for portfolio selection in defined contribution pension schemes," Carlo Alberto Notebooks 108, Collegio Carlo Alberto, revised 2009.
    7. Michele Costola & Bertrand Maillet & Zhining Yuan & Xiang Zhang, 2024. "Mean-Variance Efficient Large Portfolios : A Simple Machine Learning Heuristic Technique based on the Two-Fund Separation Theorem," Post-Print hal-04514343, HAL.
    8. Yao, Haixiang & Chen, Ping & Li, Xun, 2016. "Multi-period defined contribution pension funds investment management with regime-switching and mortality risk," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 103-113.
    9. Horneff, Wolfram J. & Maurer, Raimond H. & Stamos, Michael Z., 2008. "Life-cycle asset allocation with annuity markets," Journal of Economic Dynamics and Control, Elsevier, vol. 32(11), pages 3590-3612, November.
    10. Wu, Huiling & Zeng, Yan, 2015. "Equilibrium investment strategy for defined-contribution pension schemes with generalized mean–variance criterion and mortality risk," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 396-408.
    11. Guohui Guan & Zongxia Liang & Yi Xia, 2023. "Optimal management of DB pension fund under both underfunded and overfunded cases," Papers 2302.08731, arXiv.org.
    12. Frank Bosserhoff & An Chen & Nils Sorensen & Mitja Stadje, 2021. "On the Investment Strategies in Occupational Pension Plans," Papers 2104.08956, arXiv.org.
    13. Salvatore Federico, 2011. "A stochastic control problem with delay arising in a pension fund model," Finance and Stochastics, Springer, vol. 15(3), pages 421-459, September.
    14. Pengyu Wei & Charles Yang, 2023. "Optimal investment for defined-contribution pension plans under money illusion," Review of Quantitative Finance and Accounting, Springer, vol. 61(2), pages 729-753, August.
    15. Yao, Haixiang & Lai, Yongzeng & Ma, Qinghua & Jian, Minjie, 2014. "Asset allocation for a DC pension fund with stochastic income and mortality risk: A multi-period mean–variance framework," Insurance: Mathematics and Economics, Elsevier, vol. 54(C), pages 84-92.
    16. Han, Nan-wei & Hung, Mao-wei, 2012. "Optimal asset allocation for DC pension plans under inflation," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 172-181.
    17. Ng, Kenneth Tsz Hin & Chong, Wing Fung, 2024. "Optimal investment in defined contribution pension schemes with forward utility preferences," Insurance: Mathematics and Economics, Elsevier, vol. 114(C), pages 192-211.
    18. Gerrard, Russell & Kyriakou, Ioannis & Nielsen, Jens Perch & Vodička, Peter, 2023. "On optimal constrained investment strategies for long-term savers in stochastic environments and probability hedging," European Journal of Operational Research, Elsevier, vol. 307(2), pages 948-962.
    19. Chen, Zheng & Li, Zhongfei & Zeng, Yan & Sun, Jingyun, 2017. "Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk," Insurance: Mathematics and Economics, Elsevier, vol. 75(C), pages 137-150.
    20. Menoncin, Francesco & Vigna, Elena, 2017. "Mean–variance target-based optimisation for defined contribution pension schemes in a stochastic framework," Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 172-184.
    21. Fabio Bagliano & Carolina Fugazza & Giovanna Nicodano, 2013. "Optimal life-cycle portfolios for heterogeneous workers," Working Papers 260, University of Milano-Bicocca, Department of Economics, revised Dec 2013.
    22. Marina Di Giacinto & Elena Vigna, 2012. "On the sub-optimality cost of immediate annuitization in DC pension funds," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 20(3), pages 497-527, September.
    23. Guohui Guan & Zongxia Liang & Yi xia, 2021. "Optimal management of DC pension fund under relative performance ratio and VaR constraint," Papers 2103.04352, arXiv.org.
    24. Stamos, Michael Z., 2008. "Optimal consumption and portfolio choice for pooled annuity funds," Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 56-68, August.
    25. Alessandro Milazzo & Elena Vigna, 2018. "“The Italian Pension Gap: a Stochastic Optimal Control Approach"," CeRP Working Papers 179, Center for Research on Pensions and Welfare Policies, Turin (Italy).
    26. Zongxia Liang & Yang Liu & Litian Zhang, 2021. "A Framework of State-dependent Utility Optimization with General Benchmarks," Papers 2101.06675, arXiv.org, revised Dec 2023.
    27. Josa-Fombellida, Ricardo & López-Casado, Paula & Rincón-Zapatero, Juan Pablo, 2018. "Portfolio optimization in a defined benefit pension plan where the risky assets are processes with constant elasticity of variance," Insurance: Mathematics and Economics, Elsevier, vol. 82(C), pages 73-86.
    28. Pablo Castañeda, 2007. "Long Term Risk Assessment in a Defined Contribution Pension System," Working Papers 20, Superintendencia de Pensiones, revised Oct 2007.
    29. Busra Zeynep Temocin & Ralf Korn & A. Sevtap Selcuk-Kestel, 2018. "Constant proportion portfolio insurance in defined contribution pension plan management under discrete-time trading," Annals of Operations Research, Springer, vol. 260(1), pages 515-544, January.
    30. Liang, Zongxia & Ma, Ming, 2015. "Optimal dynamic asset allocation of pension fund in mortality and salary risks framework," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 151-161.
    31. Josa-Fombellida, Ricardo & Rincón-Zapatero, Juan Pablo, 2010. "Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates," European Journal of Operational Research, Elsevier, vol. 201(1), pages 211-221, February.
    32. Soriano-Morales, Yazmín Viridiana & Vallejo-Jiménez, Benjamín & Venegas-Martínez, Francisco, 2017. "Impact of the Degree of Relative Risk Aversion, the Interest Rate and the Exchange Rate Depreciation on Economic Welfare in a Small Open Economy," MPRA Paper 76441, University Library of Munich, Germany.
    33. Ayşegül İşcanog̃lu-Çekiç, 2016. "An Optimal Turkish Private Pension Plan with a Guarantee Feature," Risks, MDPI, vol. 4(3), pages 1-12, June.
    34. Blake, David & Cairns, Andrew & Dowd, Kevin, 2008. "Turning pension plans into pension planes: What investment strategy designers of defined contribution pension plans can learn from commercial aircraft designers," MPRA Paper 33749, University Library of Munich, Germany.
    35. Spyridon D Vrontos & Ioannis D Vrontos & Loukia Meligkotsidou, 2013. "Asset-liability management for pension funds in a time-varying volatility environment," Journal of Asset Management, Palgrave Macmillan, vol. 14(5), pages 306-333, October.
    36. Wang, J. & Forsyth, P.A., 2010. "Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation," Journal of Economic Dynamics and Control, Elsevier, vol. 34(2), pages 207-230, February.
    37. Zhang, Ling & Zhang, Hao & Yao, Haixiang, 2018. "Optimal investment management for a defined contribution pension fund under imperfect information," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 210-224.
    38. Milevsky, Moshe A. & Young, Virginia R., 2007. "Annuitization and asset allocation," Journal of Economic Dynamics and Control, Elsevier, vol. 31(9), pages 3138-3177, September.
    39. Guan, Guohui & Liang, Zongxia, 2016. "Optimal management of DC pension plan under loss aversion and Value-at-Risk constraints," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 224-237.
    40. Dong, Yinghui & Zheng, Harry, 2020. "Optimal investment with S-shaped utility and trading and Value at Risk constraints: An application to defined contribution pension plan," European Journal of Operational Research, Elsevier, vol. 281(2), pages 341-356.
    41. Katarzyna Romaniuk, 2007. "The optimal asset allocation of the main types of pension funds: a unified framework," The Geneva Papers on Risk and Insurance Theory, Springer;International Association for the Study of Insurance Economics (The Geneva Association), vol. 32(2), pages 113-128, December.
    42. Marina Di Giacinto & Salvatore Federico & Fausto Gozzi, 2011. "Pension funds with a minimum guarantee: a stochastic control approach," Finance and Stochastics, Springer, vol. 15(2), pages 297-342, June.
    43. Delong, Lukasz & Gerrard, Russell & Haberman, Steven, 2008. "Mean-variance optimization problems for an accumulation phase in a defined benefit plan," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 107-118, February.
    44. Blake, David & Wright, Douglas & Zhang, Yumeng, 2011. "Target-driven investing: Optimal investment strategies in defined contribution pension plans under loss aversion," MPRA Paper 34278, University Library of Munich, Germany.
    45. Xiang Gao & Cody Hyndman & Traian A. Pirvu & Petar Jevti'c, 2022. "Optimal annuitization post-retirement with labor income," Papers 2202.04220, arXiv.org.
    46. Wen Chen & Nicolas Langren'e, 2020. "Deep neural network for optimal retirement consumption in defined contribution pension system," Papers 2007.09911, arXiv.org, revised Jul 2020.
    47. Gregorio Impavido & Esperanza Lasagabaster & Manuel Garcia-Huitron, 2010. "New Policies for Mandatory Defined Contribution Pensions : Industrial Organization Models and Investment Products," World Bank Publications - Books, The World Bank Group, number 2462, December.
    48. Koijen, R.S.J. & Nijman, T.E. & Werker, B.J.M., 2006. "Optimal Portfolio Choice with Annuitization," Discussion Paper 2006-78, Tilburg University, Center for Economic Research.
    49. Guan, Guohui & Liang, Zongxia, 2015. "Mean–variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 99-109.
    50. Koijen, R.S.J. & Nijman, T.E. & Werker, B.J.M., 2006. "Optimal Portfolio Choice with Annuitization," Other publications TiSEM e0ee89d5-4a5f-4c70-a7ee-d, Tilburg University, School of Economics and Management.
    51. Francesco Menoncin & Elena Vigna, 2013. "Mean-variance target-based optimisation in DC plan with stochastic interest rate," Carlo Alberto Notebooks 337, Collegio Carlo Alberto.
    52. Alonso-García, J. & Devolder, P., 2016. "Optimal mix between pay-as-you-go and funding for DC pension schemes in an overlapping generations model," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 224-236.
    53. Tang, Mei-Ling & Chen, Son-Nan & Lai, Gene C. & Wu, Ting-Pin, 2018. "Asset allocation for a DC pension fund under stochastic interest rates and inflation-protected guarantee," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 87-104.
    54. Zhiping Chen & Liyuan Wang & Ping Chen & Haixiang Yao, 2019. "Continuous-Time Mean–Variance Optimization For Defined Contribution Pension Funds With Regime-Switching," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(06), pages 1-33, September.
    55. Blake, David & Wright, Douglas & Zhang, Yumeng, 2014. "Age-dependent investing: Optimal funding and investment strategies in defined contribution pension plans when members are rational life cycle financial planners," Journal of Economic Dynamics and Control, Elsevier, vol. 38(C), pages 105-124.
    56. Philipp Müller & Joël Wagner, 2017. "The Impact of Pension Funding Mechanisms on the Stability and Payoff from Swiss DC Pension Schemes: A Sensitivity Analysis," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 42(3), pages 423-452, July.
    57. Alessandro Milazzo & Elena Vigna, 2018. "The Italian Pension Gap: A Stochastic Optimal Control Approach," Risks, MDPI, vol. 6(2), pages 1-20, April.
    58. Černý, Aleš & Melicherčík, Igor, 2020. "Simple explicit formula for near-optimal stochastic lifestyling," European Journal of Operational Research, Elsevier, vol. 284(2), pages 769-778.
    59. Juarez-Torres, Miriam & Sanchez, Leonardo & Vedenov, Dmitry V., 2012. "Effectiveness of Weather Derivatives as Cross-Hedging Instrument against Climate Change: The Cases of Reservoir Water Allocation Management in Guanajuato, Mexico," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124813, Agricultural and Applied Economics Association.
    60. Henderson, Vicky, 2005. "Explicit solutions to an optimal portfolio choice problem with stochastic income," Journal of Economic Dynamics and Control, Elsevier, vol. 29(7), pages 1237-1266, July.
    61. Han, Nan-Wei & Hung, Mao-Wei, 2015. "The investment management for a downside-protected equity-linked annuity under interest rate risk," Finance Research Letters, Elsevier, vol. 13(C), pages 113-124.
    62. Wang, J. & Forsyth, P.A., 2011. "Continuous time mean variance asset allocation: A time-consistent strategy," European Journal of Operational Research, Elsevier, vol. 209(2), pages 184-201, March.
    63. Busra Zeynep Temocin & Ralf Korn & A. Sevtap Selcuk-Kestel, 2018. "Constant proportion portfolio insurance in defined contribution pension plan management," Annals of Operations Research, Springer, vol. 266(1), pages 329-348, July.
    64. Ma, Qing-Ping, 2011. "On "optimal pension management in a stochastic framework" with exponential utility," Insurance: Mathematics and Economics, Elsevier, vol. 49(1), pages 61-69, July.
    65. Rama Malladi, 2022. "HARI: Characteristics of a new defined lifestyle (DL) retirement planning product," Journal of Financial Services Marketing, Palgrave Macmillan, vol. 27(2), pages 147-163, June.
    66. Henrique Ferreira Morici & Elena Vigna, 2023. "Optimal additional voluntary contribution in DC pension schemes to manage inadequacy risk," Carlo Alberto Notebooks 699 JEL Classification: C, Collegio Carlo Alberto.
    67. David Schröder, 2013. "Asset allocation in private wealth management: Theory versus practice," Journal of Asset Management, Palgrave Macmillan, vol. 14(3), pages 162-181, June.
    68. Gabay, Daniel & Grasselli, Martino, 2012. "Fair demographic risk sharing in defined contribution pension systems," Journal of Economic Dynamics and Control, Elsevier, vol. 36(4), pages 657-669.
    69. Wu, Huiling & Zhang, Ling & Chen, Hua, 2015. "Nash equilibrium strategies for a defined contribution pension management," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 202-214.
    70. Guan, Guohui & Liang, Zongxia & Xia, Yi, 2023. "Optimal management of DC pension fund under the relative performance ratio and VaR constraint," European Journal of Operational Research, Elsevier, vol. 305(2), pages 868-886.
    71. Leung, Andrew P., 2011. "Reactive investment strategies," Insurance: Mathematics and Economics, Elsevier, vol. 49(1), pages 89-99, July.
    72. Wolfram Horneff & Raimond Maurer & Michael Stamos, 2006. "Life-Cycle Asset Allocation with Annuity Markets: Is Longevity Insurance a Good Deal?," Working Papers wp146, University of Michigan, Michigan Retirement Research Center.
    73. Wang, Pei & Li, Zhongfei, 2018. "Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility," Insurance: Mathematics and Economics, Elsevier, vol. 80(C), pages 67-83.
    74. Thijs Kamma & Antoon Pelsser, 2019. "Near-Optimal Dynamic Asset Allocation in Financial Markets with Trading Constraints," Papers 1906.12317, arXiv.org, revised Oct 2019.
    75. Michael E. Drew & Anup Basu & Alistair Byrnes, 2009. "Dynamic Lifecycle Strategies for Target Date Retirement Funds," Discussion Papers in Finance finance:200902, Griffith University, Department of Accounting, Finance and Economics.
    76. Sebastiano Vitali & Vittorio Moriggia & Miloš Kopa, 2017. "Optimal pension fund composition for an Italian private pension plan sponsor," Computational Management Science, Springer, vol. 14(1), pages 135-160, January.
    77. Dormidontova, Yulia & Nazarov, Vladimir & A. Tikhonova, 2014. "Analysis of Approaches of Participants of Pension Products Market to the Development of Optimal Investment Strategies of Pension Savings," Published Papers r90227, Russian Presidential Academy of National Economy and Public Administration.
    78. Detemple, Jérôme & Rindisbacher, Marcel, 2008. "Dynamic asset liability management with tolerance for limited shortfalls," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 281-294, December.
    79. Yueyang Zheng & Jingtao Shi, 2020. "A Stackelberg Game of Backward Stochastic Differential Equations with Applications," Dynamic Games and Applications, Springer, vol. 10(4), pages 968-992, December.
    80. Elena Vigna, 2009. "Mean-variance inefficiency of CRRA and CARA utility functions for portfolio selection in defined contribution pension schemes," CeRP Working Papers 89, Center for Research on Pensions and Welfare Policies, Turin (Italy).
    81. Zhang, Aihua & Korn, Ralf & Ewald, Christian-Oliver, 2007. "Optimal management and inflation protection for defined contribution pension plans," MPRA Paper 3300, University Library of Munich, Germany.
    82. He, Lin & Liang, Zongxia, 2013. "Optimal investment strategy for the DC plan with the return of premiums clauses in a mean–variance framework," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 643-649.
    83. Sun, Jingyun & Li, Zhongfei & Zeng, Yan, 2016. "Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump–diffusion model," Insurance: Mathematics and Economics, Elsevier, vol. 67(C), pages 158-172.
    84. Lim, Andrew E.B. & Wong, Bernard, 2010. "A benchmarking approach to optimal asset allocation for insurers and pension funds," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 317-327, April.
    85. Mei-Ling Tang & Ting-Pin Wu & Ming-Chin Hung, 2022. "Optimal Pension Fund Management with Foreign Investment in a Stochastic Environment," Mathematics, MDPI, vol. 10(14), pages 1-21, July.
    86. Wen Chen & Nicolas Langrené, 2020. "Deep neural network for optimal retirement consumption in defined contribution pension system [Réseau de neurones profond pour consommation à la retraite optimale en système de retraite à cotisatio," Working Papers hal-02909818, HAL.
    87. Wei-Ting Pan, 2016. "The Impact of Mandatory Savings on Life Cycle Consumption and Portfolio Choice," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2016, January-A.
    88. Emms, Paul, 2012. "Lifetime investment and consumption using a defined-contribution pension scheme," Journal of Economic Dynamics and Control, Elsevier, vol. 36(9), pages 1303-1321.

  23. Blake, David, 2003. "UK pension fund management after Myners: the hunt for correlation begins," LSE Research Online Documents on Economics 24833, London School of Economics and Political Science, LSE Library.

    Cited by:

    1. Douglas, Graeme & Roberts-Sklar, Matt, 2018. "What drives UK defined benefit pension funds' investment behaviour?," Bank of England working papers 757, Bank of England.
    2. Jean Chateau, 2006. "Disparities in Pension Financing in Europe: Economic and Financial Consequences," Working Papers 2006-09, CEPII research center.
    3. Gordon L Clark & Adam D Dixon, 2024. "Legitimacy and the extraordinary growth of ESG measures and metrics in the global investment management industry," Environment and Planning A, , vol. 56(2), pages 645-661, March.
    4. Baranova, Yuliya & Douglas, Graeme & Silvestri, Laura, 2019. "Simulating stress in the UK corporate bond market: investor behaviour and asset fire-sales," Bank of England working papers 803, Bank of England.

  24. Dowd, Kevin & Blake, David & Cairns, Andrew, 2003. "Long-term value at risk," LSE Research Online Documents on Economics 24867, London School of Economics and Political Science, LSE Library.

    Cited by:

    1. Dariusz Stanko, 2003. "Polish Pension Funds, Does The System Work? Cost, Efficiency and Performance MeasurementIssues," Public Economics 0302001, University Library of Munich, Germany.
    2. Santanu Dutta & Tushar Kanti Powdel, 2023. "Modeling Long Term Return Distribution and Nonparametric Market Risk Estimation," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 85(1), pages 257-289, May.
    3. Al Janabi, Mazin A. M., 2009. "Asset Market Liquidity Risk Management: A Generalized Theoretical Modeling Approach for Trading and Fund Management Portfolios," MPRA Paper 19498, University Library of Munich, Germany.

  25. Blake, David, 2003. "The United Kingdom pension system: key issues," LSE Research Online Documents on Economics 24851, London School of Economics and Political Science, LSE Library.

    Cited by:

    1. Michiel Bijlsma & Cora Zonderland & Machiel van Dijk & Marc Pomp, 2005. "Competition in markets for life insurance," CPB Document 96, CPB Netherlands Bureau for Economic Policy Analysis.
    2. Inkmann, Joachim, 2006. "Compensating wage differentials for defined benefit and defined contribution occupational pension scheme benefits," LSE Research Online Documents on Economics 24516, London School of Economics and Political Science, LSE Library.
    3. Mariacristina Rossi, 2009. "Examining the Interaction between Saving and Contributions to Personal Pension Plans: Evidence from the BHPS," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(2), pages 253-271, April.
    4. Hinrichs, Karl, 2004. "Active Citizens and Retirement Planning: Enlarging Freedom of Choice in the Course of Pension Reforms in Nordic Countries and Germany," Working papers of the ZeS 11/2004, University of Bremen, Centre for Social Policy Research (ZeS).
    5. Joachim Inkmann & Paula Lopes & Alexander Michaelides, 2009. "How Deep is the Annuity Market Participation Puzzle?," Working Papers 2009-5, Central Bank of Cyprus.
    6. Angeliki Theophilopoulou, 2008. "The Impact of Structural Pension Reforms on the Macroeconomic Performance: An Empirical Analysis," Birkbeck Working Papers in Economics and Finance 0806, Birkbeck, Department of Economics, Mathematics & Statistics.
    7. Vittas, Dimitri, 2011. "The mechanics and regulation of variable payout annuities," Policy Research Working Paper Series 5762, The World Bank.

  26. Blake, David & Cairns, Andrew J. G. & Dowd, Kevin, 2003. "Pensionmetrics 2: stochastic pension plan design during the distribution phase," LSE Research Online Documents on Economics 24830, London School of Economics and Political Science, LSE Library.

    Cited by:

    1. Thomas Post & Helmut Gründl & Hato Schmeiser, 2006. "Portfolio management and retirement: what is the best arrangement for a family?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 20(3), pages 265-285, September.
    2. Guan Gong & Anthony Webb, 2008. "Mortality Heterogeneity and the Distributional Consequences of Mandatory Annuitization," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 75(4), pages 1055-1079, December.
    3. Wiafe, Osei K. & Basu, Anup K. & Chen, En Te, 2020. "Portfolio choice after retirement: Should self-annuitisation strategies hold more equities?," Economic Analysis and Policy, Elsevier, vol. 65(C), pages 241-255.
    4. Bravo, Jorge Miguel & El Mekkaoui de Freitas, Najat, 2018. "Valuation of longevity-linked life annuities," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 212-229.
    5. Hong‐Chih Huang, 2010. "Optimal Multiperiod Asset Allocation: Matching Assets to Liabilities in a Discrete Model," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 77(2), pages 451-472, June.
    6. Horneff, Wolfram & Maurer, Raimond & Rogalla, Ralph, 2010. "Dynamic portfolio choice with deferred annuities," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2652-2664, November.
    7. Gong, Guan & Webb, Anthony, 2010. "Evaluating the Advanced Life Deferred Annuity -- An annuity people might actually buy," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 210-221, February.
    8. Ivica Dus & Raimond Maurer & Olivia S. Mitchell, 2003. "Betting on Death and Capital Markets in Retirement: A Shortfall Risk Analysis of Life Annuities versus Phased Withdrawal Plans," Working Papers wp063, University of Michigan, Michigan Retirement Research Center.
    9. Marina Di Giacinto & Salvatore Federico & Fausto Gozzi & Elena Vigna, 2012. "Income drawdown option with minimum guarantee," Carlo Alberto Notebooks 272, Collegio Carlo Alberto.
    10. de Jong, Frank, 2008. "Pension fund investments and the valuation of liabilities under conditional indexation," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 1-13, February.
    11. Horneff, Wolfram J. & Maurer, Raimond H. & Stamos, Michael Z., 2008. "Life-cycle asset allocation with annuity markets," Journal of Economic Dynamics and Control, Elsevier, vol. 32(11), pages 3590-3612, November.
    12. Huang, H. & Milevsky, M. A. & Wang, J., 2004. "Ruined moments in your life: how good are the approximations?," Insurance: Mathematics and Economics, Elsevier, vol. 34(3), pages 421-447, June.
    13. Wolfram J. Horneff & Raimond H. Maurer & Olivia S. Mitchel & Michael Z. Stamos, 2008. "Asset Allocation and Location over the Life Cycle with Survival-Contingent Payouts," Working Papers wp177, University of Michigan, Michigan Retirement Research Center.
    14. Hazel Bateman & Susan Thorp, 2008. "Choices and Constraints over Retirement Income Streams: Comparing Rules and Regulations," The Economic Record, The Economic Society of Australia, vol. 84(s1), pages 17-31, September.
    15. Chavez-Bedoya, Luis & Castaneda, Ranu, 2021. "A benchmarking approach to track and compare administrative charges on flow and balance in individual account pension systems," Insurance: Mathematics and Economics, Elsevier, vol. 97(C), pages 7-23.
    16. Horneff, Wolfram J. & Maurer, Raimond H. & Mitchell, Olivia S. & Stamos, Michael Z., 2009. "Asset allocation and location over the life cycle with investment-linked survival-contingent payouts," Journal of Banking & Finance, Elsevier, vol. 33(9), pages 1688-1699, September.
    17. Wolfram J. Horneff & Raimond Maurer & Olivia S. Mitchell & Ivica Dus, 2006. "Optimizing the Retirement Portfolio: Asset Allocation, Annuitization, and Risk Aversion," NBER Working Papers 12392, National Bureau of Economic Research, Inc.
    18. MacDonald, Bonnie-Jeanne & Cairns, Andrew J.G., 2011. "Three retirement decision models for defined contribution pension plan members: A simulation study," Insurance: Mathematics and Economics, Elsevier, vol. 48(1), pages 1-18, January.
    19. Gao, Jianwei, 2009. "Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model," Insurance: Mathematics and Economics, Elsevier, vol. 45(1), pages 9-18, August.
    20. Wiafe, Osei K. & Basu, Anup K. & Chen, John, 2017. "The effects of age pension on retirement drawdown choices," Finance Research Letters, Elsevier, vol. 20(C), pages 81-87.
    21. Wolfram J. Horneff & Raimond H. Maurer & Olivia S. Mitchell & Michael Z. Stamos, 2008. "Asset Allocation and Location over the Life Cycle with Survival-Contingent Payouts," NBER Working Papers 14055, National Bureau of Economic Research, Inc.
    22. Wolfram Horneff & Raimond Maurer & Olivia Mitchell & Michael Stamos, 2007. "Money in Motion: Dynamic Portfolio Choice in Retirement," Working Papers wp152, University of Michigan, Michigan Retirement Research Center.
    23. Marina Di Giacinto & Elena Vigna, 2012. "On the sub-optimality cost of immediate annuitization in DC pension funds," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 20(3), pages 497-527, September.
    24. Marina Di Giacinto & Bjarne Højgaard & Elena Vigna, 2010. "Optimal time of annuitization in the decumulation phase of a defined contribution pension scheme," Working Papers 2010-08, Universita' di Cassino, Dipartimento di Economia e Giurisprudenza.
    25. He, Lin & Liang, Zongxia, 2015. "Optimal assets allocation and benefit outgo policies of DC pension plan with compulsory conversion claims," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 227-234.
    26. A. Fiori Maccioni & A. Bitinas, 2013. "Lithuanian pension system's reforms following demographic and social transitions," Working Paper CRENoS 201315, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
    27. Blake, David & Cairns, Andrew & Dowd, Kevin, 2008. "Turning pension plans into pension planes: What investment strategy designers of defined contribution pension plans can learn from commercial aircraft designers," MPRA Paper 33749, University Library of Munich, Germany.
    28. Ivica Dus & Raimond Maurer & Olivia S. Mitchell, 2005. "Betting on Death and Capital Markets in Retirement: A Shortfall Risk Analysis of Life Annuities," NBER Working Papers 11271, National Bureau of Economic Research, Inc.
    29. Milevsky, Moshe A. & Young, Virginia R., 2007. "Annuitization and asset allocation," Journal of Economic Dynamics and Control, Elsevier, vol. 31(9), pages 3138-3177, September.
    30. Bonnie‐Jeanne MacDonald & Andrew J. G. Cairns, 2009. "Getting Feedback on Defined Contribution Pension Plans," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(2), pages 385-417, June.
    31. Blake, David & Boardman, Tom, 2010. "Spend more today: Using behavioural economics to improve retirement expenditure decisions," MPRA Paper 34234, University Library of Munich, Germany.
    32. Pietrzyk Radosław & Rokita Paweł, 2015. "Stochastic Goals in Financial Planning for a Two-Person Household," Statistics in Transition New Series, Polish Statistical Association, vol. 16(1), pages 111-136, March.
    33. Horneff, Wolfram J. & Maurer, Raimond H. & Mitchell, Olivia S. & Dus, Ivica, 2008. "Following the rules: Integrating asset allocation and annuitization in retirement portfolios," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 396-408, February.
    34. Cairns, Andrew J.G. & Blake, David & Dowd, Kevin, 2006. "Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk," ASTIN Bulletin, Cambridge University Press, vol. 36(1), pages 79-120, May.
    35. Dadashi, Hassan, 2020. "Optimal investment–consumption problem: Post-retirement with minimum guarantee," Insurance: Mathematics and Economics, Elsevier, vol. 94(C), pages 160-181.
    36. Koijen, R.S.J. & Nijman, T.E. & Werker, B.J.M., 2006. "Optimal Portfolio Choice with Annuitization," Discussion Paper 2006-78, Tilburg University, Center for Economic Research.
    37. Russell Gerrard & Bjarne Højgaard & Elena Vigna, 2008. "Choosing the Optimal Annuitization Time Post Retirement," Carlo Alberto Notebooks 76, Collegio Carlo Alberto.
    38. Koijen, R.S.J. & Nijman, T.E. & Werker, B.J.M., 2006. "Optimal Portfolio Choice with Annuitization," Other publications TiSEM e0ee89d5-4a5f-4c70-a7ee-d, Tilburg University, School of Economics and Management.
    39. Xiao Xu, 2020. "The optimal investment strategy of a DC pension plan under deposit loan spread and the O-U process," Papers 2005.10661, arXiv.org.
    40. Blake, David & Wright, Douglas & Zhang, Yumeng, 2014. "Age-dependent investing: Optimal funding and investment strategies in defined contribution pension plans when members are rational life cycle financial planners," Journal of Economic Dynamics and Control, Elsevier, vol. 38(C), pages 105-124.
    41. Paul Emms & Steven Haberman, 2008. "Income Drawdown Schemes for a Defined‐Contribution Pension Plan," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 75(3), pages 739-761, September.
    42. Konicz, Agnieszka Karolina & Mulvey, John M., 2015. "Optimal savings management for individuals with defined contribution pension plans," European Journal of Operational Research, Elsevier, vol. 243(1), pages 233-247.
    43. Ade Ibiwoye & Lukman Ajijola, 2012. "An Actuarial Analysis of the Payout Options in Nigeria¡¯s Contributory Pension Scheme," International Journal of Business Administration, International Journal of Business Administration, Sciedu Press, vol. 3(6), pages 45-54, November.
    44. Han, Nan-Wei & Hung, Mao-Wei, 2015. "The investment management for a downside-protected equity-linked annuity under interest rate risk," Finance Research Letters, Elsevier, vol. 13(C), pages 113-124.
    45. Gerrard, Russell & Haberman, Steven & Vigna, Elena, 2004. "Optimal investment choices post-retirement in a defined contribution pension scheme," Insurance: Mathematics and Economics, Elsevier, vol. 35(2), pages 321-342, October.
    46. David Blake & Tom Boardman, 2014. "Spend More Today Safely: Using Behavioral Economics to Improve Retirement Expenditure Decisions With SPEEDOMETER Plans," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 17(1), pages 83-112, March.
    47. Solange Berstein & Olga Fuentes & Nicolás Torrealba, 2010. "Sistema de Pensiones de Capitalización Individual: ¿Cómo Mitigar Riesgos?," Working Papers 35, Superintendencia de Pensiones, revised Feb 2010.
    48. Sun Wei & Triest Robert K. & Webb Anthony, 2008. "Optimal Retirement Asset Decumulation Strategies: The Impact of Housing Wealth," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 3(1), pages 1-29, September.
    49. Rama Malladi, 2022. "HARI: Characteristics of a new defined lifestyle (DL) retirement planning product," Journal of Financial Services Marketing, Palgrave Macmillan, vol. 27(2), pages 147-163, June.
    50. Wolfram J. Horneff & Raimond H. Maurer, 2008. "Deferred Annuities and Strategic Asset Allocation," Working Papers wp178, University of Michigan, Michigan Retirement Research Center.
    51. Hato Schmeiser & Thomas Post, 2005. "Life Annuity Insurance Versus Self‐Annuitization: An Analysis From the Perspective of the Family," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 8(2), pages 239-255, September.
    52. Huang, Huaxiong & Milevsky, Moshe A., 2016. "Longevity risk and retirement income tax efficiency: A location spending rate puzzle," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 50-62.
    53. Solange Berstein & Olga Fuentes & Nicolás Torrealba, 2011. "La Importancia de la Opción por Omisión en los Sistemas de Pensiones de Cuentas Individuales," Working Papers 44, Superintendencia de Pensiones, revised Jan 2011.
    54. Robert J. Bianchi & Michael E. Drew & Adam N. Walk & Osei K. Wiafe, 2016. "Retirement Adequacy of Indigenous Australians: A Baseline Study," Economic Papers, The Economic Society of Australia, vol. 35(4), pages 359-374, December.
    55. Lanying Sun & Changhao Su & Xinghui Xian, 2020. "Assessing the Sustainability of China’s Basic Pension Funding for Urban and Rural Residents," Sustainability, MDPI, vol. 12(7), pages 1-17, April.
    56. Hassan Dadashi, 2018. "Optimal investment-consumption problem: post-retirement with minimum guarantee," Papers 1803.00611, arXiv.org, revised Aug 2020.
    57. Gao, Jin & Ulm, Eric R., 2012. "Optimal consumption and allocation in variable annuities with Guaranteed Minimum Death Benefits," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 586-598.
    58. Milevsky, Moshe A. & Young, Virginia R., 2007. "The timing of annuitization: Investment dominance and mortality risk," Insurance: Mathematics and Economics, Elsevier, vol. 40(1), pages 135-144, January.
    59. He, Lin & Liang, Zongxia, 2013. "Optimal investment strategy for the DC plan with the return of premiums clauses in a mean–variance framework," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 643-649.
    60. Solange Berstein & Olga Fuentes & Nicolás Torrealba, 2010. "In an Individually Funded Pension System: How Can Risks Be Mitigated?," Working Papers 36, Superintendencia de Pensiones, revised Feb 2010.
    61. Alessandro Fiori Maccioni, 2011. "A Stochastic Model for the Analysis of Demographic Risk in Pay-As-You-Go Pension Funds," Papers 1106.5081, arXiv.org.
    62. Radosław Pietrzyk & Paweł Rokita, 2015. "Stochastic goals in financial planning for a two-person household," Statistics in Transition new series, Główny Urząd Statystyczny (Polska), vol. 16(1), pages 111-136, May.
    63. Wei-Ting Pan, 2016. "The Impact of Mandatory Savings on Life Cycle Consumption and Portfolio Choice," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2016, January-A.
    64. Emms, Paul, 2012. "Lifetime investment and consumption using a defined-contribution pension scheme," Journal of Economic Dynamics and Control, Elsevier, vol. 36(9), pages 1303-1321.

  27. Blake, David, 2003. "Modelling the composition of personal sector wealth in the United Kingdom," LSE Research Online Documents on Economics 24866, London School of Economics and Political Science, LSE Library.

    Cited by:

    1. Matteo Ricciarelli, 2009. "Investment choice and asset allocation of Italian households: the discrete-continuous approach," Applied Economics, Taylor & Francis Journals, vol. 43(6), pages 651-662.

  28. Blake, David, 2003. "Financial system requirements for successful pension reform," LSE Research Online Documents on Economics 24862, London School of Economics and Political Science, LSE Library.

    Cited by:

    1. Yang, J.-H. Steffi, 2009. "Social network influence and market instability," Journal of Mathematical Economics, Elsevier, vol. 45(3-4), pages 257-276, March.
    2. Yu-Wei Hu, 2006. "China's Pension Reform: A Precondition Approach," Global Economic Review, Taylor & Francis Journals, vol. 35(4), pages 413-424.

  29. Blake, David, 2002. "The impact of wealth on consumption and retirement behaviour in the UK," LSE Research Online Documents on Economics 24949, London School of Economics and Political Science, LSE Library.

    Cited by:

    1. Aranki, Ted & Macchiarelli, Corrado, 2013. "Employment duration and shifts into retirement in the EU," LSE Research Online Documents on Economics 53190, London School of Economics and Political Science, LSE Library.
    2. Jung Hoon Kim & Marc Lavoie, 2016. "A two-sector model with target-return pricing in a stock-flow consistent framework," Post-Print hal-01343733, HAL.
    3. Robert-Paul Berben & Kerstin Bernoth & Mauro Mastrogiacomo, 2007. "Households' response to wealth changes: do gains or losses make a difference?," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Proceedings of the IFC Conference on "Measuring the financial position of the household sector", Basel, 30-31 August 2006 - Volume 1, volume 25, pages 145-160, Bank for International Settlements.
    4. Torben Andersen & Mikkel Hermansen, 2014. "Durable consumption, saving and retirement," Journal of Population Economics, Springer;European Society for Population Economics, vol. 27(3), pages 825-840, July.
    5. Qing Zhao & Zhen Li & Taichang Chen, 2016. "The Impact of Public Pension on Household Consumption: Evidence from China’s Survey Data," Sustainability, MDPI, vol. 8(9), pages 1-15, September.
    6. Mingyong Hong & Ji Wang & Mengjie Tian, 2022. "Rural Social Security, Precautionary Savings, and the Upgrading of Rural Residents’ Consumption Structure in China," Sustainability, MDPI, vol. 14(19), pages 1-17, September.
    7. H. Yigit Aydede, 2007. "Saving and Social Security Wealth: A Case of Turkey," NFI Working Papers 2007-WP-03, Indiana State University, Scott College of Business, Networks Financial Institute.
    8. Gabriele Semeraro, 2007. "Should financial accounts include future pension liabilities," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Proceedings of the IFC Conference on "Measuring the financial position of the household sector", Basel, 30-31 August 2006 - Volume 1, volume 25, pages 179-198, Bank for International Settlements.
    9. xinbang, Cao & Wang, Fei & Wang, Yang & Wang, Youxin, 2022. "An investigation of whether pensions increase consumption: Evidence from family portfolios," Finance Research Letters, Elsevier, vol. 47(PA).
    10. Riccardo De Bonis & Andrea Silvestrini, 2011. "The effects of financial and real wealth on consumption: new evidence from OECD countries," Temi di discussione (Economic working papers) 837, Bank of Italy, Economic Research and International Relations Area.
    11. Ayal Kimhi & Maya Sender, 2024. "Does Food Expenditure Decrease after Retirement, and for Whom?," Sustainability, MDPI, vol. 16(5), pages 1-15, February.
    12. Mauro Mastrogiacomo, 2010. "Testing Consumers' Asymmetric Perception Of Changes In Household Financial Situation," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 56(2), pages 327-350, June.
    13. Yeosun Yoon & Heejung Chung, 2016. "New Forms of Dualization? Labour Market Segmentation Patterns in the UK from the Late 90s Until the Post-crisis in the Late 2000s," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 128(2), pages 609-631, September.

  30. Blake, David & Timmermann, Allan, 2002. "International Asset Allocation with Time-Varying Investment Opportunities," CEPR Discussion Papers 3464, C.E.P.R. Discussion Papers.

    Cited by:

    1. Schneider, Martin & Albuquerque, Rui & ,, 2006. "Global Private Information in International Equity Markets," CEPR Discussion Papers 5819, C.E.P.R. Discussion Papers.
    2. Nadima El-Hassan & Paul Kofman, 2003. "Tracking Error and Active Portfolio Management," Australian Journal of Management, Australian School of Business, vol. 28(2), pages 183-207, September.
    3. Blake, David & Tonks, Ian & Timmermann, Allan & Wermers, Russ, 2010. "Decentralized Investment Management: Evidence from the Pension Fund Industry," CEPR Discussion Papers 7679, C.E.P.R. Discussion Papers.
    4. Fernández, Pablo & Aguirreamalloa, Javier & Corres, Luis, 2013. "Rentabilidad de los fondos de pensiones en España. 2001-2011," IESE Research Papers D/1060, IESE Business School.
    5. Dreassi, Alberto & Miani, Stefano & Paltrinieri, Andrea, 2017. "Sovereign pension and social security reserve funds: A portfolio analysis," Global Finance Journal, Elsevier, vol. 34(C), pages 43-53.
    6. Ion Lapteacru, 2019. "Do bank activities and funding strategies of foreign and state‐owned banks have a differential effect on risk‐taking in Central and Eastern Europe?," Economics of Transition and Institutional Change, John Wiley & Sons, vol. 27(2), pages 541-576, February.
    7. Manuel Ammann & Andreas Zingg, 2008. "Investment Performance of Swiss Pension Funds and Investment Foundations," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 144(II), pages 153-195, June.
    8. Blake, David & Cairns, Andrew & Dowd, Kevin, 2008. "Turning pension plans into pension planes: What investment strategy designers of defined contribution pension plans can learn from commercial aircraft designers," MPRA Paper 33749, University Library of Munich, Germany.
    9. Rossi, Alberto G. & Blake, David & Timmermann, Allan & Tonks, Ian & Wermers, Russ, 2018. "Network centrality and delegated investment performance," Journal of Financial Economics, Elsevier, vol. 128(1), pages 183-206.
    10. Iwatsubo, Kentaro & Watkins, Clinton, 2021. "The changing role of foreign investors in Tokyo stock price formation," Pacific-Basin Finance Journal, Elsevier, vol. 67(C).
    11. Blake, David & Sarno, Lucio & Zinna, Gabriele, 2017. "The market for lemmings: The herding behavior of pension funds," Journal of Financial Markets, Elsevier, vol. 36(C), pages 17-39.
    12. Moosa, Imad A. & Al-Deehani, Talla M., 2009. "The Myth of International Diversification," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 62(3), pages 383-406.
    13. Gabriele Zinna, 2014. "Price pressures in the UK index-linked market: an empirical investigation," Temi di discussione (Economic working papers) 968, Bank of Italy, Economic Research and International Relations Area.
    14. Rossi, Alberto G. & Blake, David & Timmermann, Allan & Tonks, Ian & Wermers, Russ, 2015. "Network centrality and pension fund performance," CFR Working Papers 15-16, University of Cologne, Centre for Financial Research (CFR).
    15. Korteweg, Arthur & Sorensen, Morten, 2017. "Skill and luck in private equity performance," Journal of Financial Economics, Elsevier, vol. 124(3), pages 535-562.
    16. Kamel Laaradh, 2007. "« Investir Sur Le Marche Inernational Des Actions A-T-Il Plus D'Effet Sur La Persistance De La Performance Des Fonds ? Illustration Britannique »," Post-Print halshs-00544930, HAL.
    17. Rui Albuquerque & Gregory Bauer & Martin Schneider, 2004. "Characterizing Asymmetric Information in International Equity Markets," International Finance 0405005, University Library of Munich, Germany.

  31. Blake, David & Lehmann, Bruce N. & Timmermann, Allan, 2002. "Performance clustering and incentives in the UK pension fund industry," LSE Research Online Documents on Economics 24945, London School of Economics and Political Science, LSE Library.

    Cited by:

    1. Blake, David, 2003. "The United Kingdom pension system: key issues," LSE Research Online Documents on Economics 24851, London School of Economics and Political Science, LSE Library.
    2. Harry Mamaysky & Matthew Spiegel & Hong Zhang, 2008. "Estimating the Dynamics of Mutual Fund Alphas and Betas," The Review of Financial Studies, Society for Financial Studies, vol. 21(1), pages 233-264, January.
    3. Agarwal, Vikas & Gómez, Juan-Pedro & Priestley, Richard, 2012. "Management compensation and market timing under portfolio constraints," Journal of Economic Dynamics and Control, Elsevier, vol. 36(10), pages 1600-1625.
    4. Anastasia Petraki & Anna Zalewska, 2013. "With whom and in what is it better to save? Personal pensions in the UK," The Centre for Market and Public Organisation 13/304, The Centre for Market and Public Organisation, University of Bristol, UK.
    5. Bijapur, Mohan & Croci, Manuela & Zaidi, Rida, 2012. "Do Asset Regulations Impede Portfolio Diversification? Evidence from European Life Insurance Funds," MPRA Paper 54265, University Library of Munich, Germany.
    6. Blake, David, 2003. "UK pension fund management after Myners: the hunt for correlation begins," LSE Research Online Documents on Economics 24833, London School of Economics and Political Science, LSE Library.
    7. Dariusz Stanko, 2003. "Polish Pension Funds, Does The System Work? Cost, Efficiency and Performance MeasurementIssues," Public Economics 0302001, University Library of Munich, Germany.
    8. Blake, David & Cairns, Andrew & Dowd, Kevin, 2008. "Turning pension plans into pension planes: What investment strategy designers of defined contribution pension plans can learn from commercial aircraft designers," MPRA Paper 33749, University Library of Munich, Germany.
    9. Blake, David, 2003. "Financial system requirements for successful pension reform," LSE Research Online Documents on Economics 24862, London School of Economics and Political Science, LSE Library.
    10. Svitlana Voronkova & Martin T. Bohl, 2005. "Institutional Traders’ Behavior in an Emerging Stock Market: Empirical Evidence on Polish Pension Fund Investors," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 32(7‐8), pages 1537-1560, September.
    11. Fabrice Hervé, 2003. "La persistance de la performance des fonds de pension individuels britanniques : une étude empirique sur des fonds investis en actions et des fonds obligataires," Post-Print hal-00488374, HAL.
    12. Fabrice Hervé, 2006. "Les fonds de pension protègent-ils les investisseurs des évolutions du marché?," Working Papers CREGO 1060101, Université de Bourgogne - CREGO EA7317 Centre de recherches en gestion des organisations.
    13. Carmen-Pilar Mart¨ª-Ballester, 2012. "A Comparative Analysis of the Performance of Collective Investment Institutions," Review of Economics & Finance, Better Advances Press, Canada, vol. 2, pages 43-52, May.
    14. Raddatz, Claudio & Schmukler, Sergio L., 2011. "Deconstructing herding : evidence from pension fund investment behavior," Policy Research Working Paper Series 5700, The World Bank.
    15. Paul Cox & Stephen Brammer & Andrew Millington, 2007. "Pension Fund Manager Tournaments and Attitudes Towards Corporate Characteristics," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 34(7‐8), pages 1307-1326, September.
    16. World Bank & International Monetary Fund, 2006. "Financial Sector Assessment Program Update : Republic of Poland - Competition and Performance in the Polish Second Pillar," World Bank Publications - Reports 16052, The World Bank Group.
    17. Impavido, Gregorio & Rocha, Roberto, 2006. "Competition and performance in the Hungarian second pillar," Policy Research Working Paper Series 3876, The World Bank.
    18. Heinz Rudolph & Roberto Rocha, 2007. "Competition and Performance in the Polish Second Pillar," World Bank Publications - Books, The World Bank Group, number 6775, December.
    19. John Watson & James Delaney & Michael Dempsey & J. Wickramanayake, 2016. "Australian superannuation (pension) fund product ratings and performance: A guide for fund managers," Australian Journal of Management, Australian School of Business, vol. 41(2), pages 189-211, May.
    20. Matthew Spiegel & Harry Mamaysky & Hong Zhang, 2005. "Estimating the Dynamics of Mutual Fund Alphas and Betas," Yale School of Management Working Papers ysm353, Yale School of Management, revised 01 Apr 2005.
    21. Bijapur, Mohan & Croci, Manuela & Zaidi, Rida, 2012. "Do asset regulations impede portfolio diversification? evidence from European life insurance funds," LSE Research Online Documents on Economics 56618, London School of Economics and Political Science, LSE Library.
    22. Bank for International Settlements, 2003. "Incentive structures in institutional asset management and their implications for financial markets," CGFS Papers, Bank for International Settlements, number 21, december.
    23. Fabrice Hervé, 2006. "Famille de fonds de pension, performance et persistance de la performance," Working Papers CREGO 1060903, Université de Bourgogne - CREGO EA7317 Centre de recherches en gestion des organisations.
    24. Heinz Rudolph & Hela Cheikhrouhou & Roberto Rocha & Craig Thorburn, 2007. "Financial Sector Dimensions of the Colombian Pension System," World Bank Publications - Books, The World Bank Group, number 6785, December.
    25. Lawrence Kryzanowski & Abdul Rahman, 2008. "Portfolio performance ambiguity and benchmark inefficiency revisited," Journal of Asset Management, Palgrave Macmillan, vol. 9(5), pages 321-332, December.
    26. Martin T. Bohl, Judith Lischewski and Svitlana Voronkova, 2008. "Does Regulation Hurt Pension Funds' Performance? Evidence from Strongly Regulated Pension Fund Industries," The Institute for International Integration Studies Discussion Paper Series iiisdp247, IIIS.
    27. Christoph Gort & Mei Wang, 2010. "Overconfidence and Active Management," Chapters, in: Brian Bruce (ed.), Handbook of Behavioral Finance, chapter 12, Edward Elgar Publishing.
    28. Carmen Pilar Martí Ballester, 2020. "Does Concurrent Management of Mutual Funds and Pension Plans Create Conflicts of Interest?," Ensayos de Economía 18307, Universidad Nacional de Colombia Sede Medellín.
    29. Jem Tugwell, 2011. "Skill or luck? The role of strategies and scenario analysis as a competitive differentiator for fund management firms," Journal of Asset Management, Palgrave Macmillan, vol. 12(4), pages 281-291, September.
    30. Anastasia Petraki & Anna Zalewska, 2017. "Jumping over a low hurdle: personal pension fund performance," Review of Quantitative Finance and Accounting, Springer, vol. 48(1), pages 153-190, January.
    31. Martin Gold, 2010. "Fiduciary Finance," Books, Edward Elgar Publishing, number 13813.
    32. Anastasia Petraki & Anna Zalewska, 2013. "Jumping over a low hurdle: Personal pension fund performance," The Centre for Market and Public Organisation 13/305, The Centre for Market and Public Organisation, University of Bristol, UK.
    33. Douglas, Graeme & Noss, Joseph & Vause, Nicholas, 2017. "The impact of Solvency II regulations on life insurers’ investment behaviour," Bank of England working papers 664, Bank of England.
    34. Paulo Armada Leite & Maria Ceu Cortez, 2009. "Conditioning information in mutual fund performance evaluation: Portuguese evidence," The European Journal of Finance, Taylor & Francis Journals, vol. 15(5-6), pages 585-605.

  32. Blake, David & Timmermann, Allan, 2002. "Returns from active management in international equity markets: evidence from a panel of UK pension funds," LSE Research Online Documents on Economics 24946, London School of Economics and Political Science, LSE Library.

    Cited by:

    1. Fernández, Pablo & Aguirreamalloa, Javier & Corres, Luis, 2013. "Rentabilidad de los fondos de pensiones en España. 2001-2011," IESE Research Papers D/1060, IESE Business School.
    2. Blake, David & Cairns, Andrew & Dowd, Kevin, 2008. "Turning pension plans into pension planes: What investment strategy designers of defined contribution pension plans can learn from commercial aircraft designers," MPRA Paper 33749, University Library of Munich, Germany.
    3. Carmen-Pilar Mart¨ª-Ballester, 2012. "A Comparative Analysis of the Performance of Collective Investment Institutions," Review of Economics & Finance, Better Advances Press, Canada, vol. 2, pages 43-52, May.
    4. Charles P. Thomas, 2006. "The Performance of International Equity Portfolios," The Institute for International Integration Studies Discussion Paper Series iiisdp162, IIIS.
    5. Alda, Mercedes & Andreu, Laura & Sarto, José Luis, 2017. "Learning about individual managers’ performance in UK pension funds: The importance of specialization," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 654-667.

  33. Lunde, Asger & Timmermann, Allan & Blake, David, 1998. "The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis," University of California at San Diego, Economics Working Paper Series qt1pd3z1hm, Department of Economics, UC San Diego.

    Cited by:

    1. A. Colin Cameron & Anthony D. Hall, 2003. "A Survival Analysis of Australian Equity Mutual Funds," Australian Journal of Management, Australian School of Business, vol. 28(2), pages 209-226, September.
    2. Stephen Brown & William Goetzmann & James Park, 1998. "Conditions for Survival: Changing Risk and the Performance of Hedge Fund Managers and CTAs," Yale School of Management Working Papers ysm83, Yale School of Management, revised 01 Apr 2008.
    3. Mohammad Mojtahedi & Sidney Newton & Jason Meding, 2017. "Predicting the resilience of transport infrastructure to a natural disaster using Cox’s proportional hazards regression model," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 85(2), pages 1119-1133, January.
    4. Yehong Liu & Guosheng Yin, 2018. "Average Holding Price," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 13(01), pages 1-20, March.
    5. Hanke, Bernd & Keswani, Aneel & Quigley, Garrett & Zagonov, Maxim, 2018. "Survivorship bias and comparability of UK open-ended fund databases," Economics Letters, Elsevier, vol. 172(C), pages 110-114.
    6. Peter A. F. Fraser‐Mackenzie & Tiejun Ma & Ming‐Chien Sung & Johnnie E. V. Johnson, 2019. "Let's Call it Quits: Break‐Even Effects in the Decision to Stop Taking Risks," Risk Analysis, John Wiley & Sons, vol. 39(7), pages 1560-1581, July.
    7. Alex Grecu & Burton G. Malkiel & Atanu Saha, 2006. "Why Do Hedge Funds Stop Reporting Their Performance?," Working Papers 78, Princeton University, Department of Economics, Center for Economic Policy Studies..
    8. Xisong Jin & Francisco Nadal De Simone, 2015. "Investment funds? vulnerabilities: A tail-risk dynamic CIMDO approach," BCL working papers 95, Central Bank of Luxembourg.
    9. Zhao, Xinge, 2004. "Why are some mutual funds closed to new investors?," Journal of Banking & Finance, Elsevier, vol. 28(8), pages 1867-1887, August.
    10. Emmanuel Mamatzakis & Mike G. Tsionas, 2021. "Testing for persistence in US mutual funds’ performance: a Bayesian dynamic panel model," Annals of Operations Research, Springer, vol. 299(1), pages 1203-1233, April.
    11. Kozo Kiyota & Miho Takizawa, 2007. "The Shadow of Death: Pre-exit Performance of Firms in Japan," Hi-Stat Discussion Paper Series d06-204, Institute of Economic Research, Hitotsubashi University.
    12. Blake, David & Cairns, Andrew & Dowd, Kevin, 2008. "Turning pension plans into pension planes: What investment strategy designers of defined contribution pension plans can learn from commercial aircraft designers," MPRA Paper 33749, University Library of Munich, Germany.
    13. Qiang Bu & Nelson Lacey, 2009. "On understanding mutual fund terminations," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 33(1), pages 80-99, January.
    14. Fletcher, Jonathan & Forbes, David, 2002. "An exploration of the persistence of UK unit trust performance," Journal of Empirical Finance, Elsevier, vol. 9(5), pages 475-493, December.
    15. Darolles, Serge & Florens, Jean-Pierre & Simon, Guillaume, 2010. "Nonparametric Analysis of Hedge Funds Lifetimes," TSE Working Papers 10-174, Toulouse School of Economics (TSE).
    16. Matallín-Sáez, Juan Carlos & Soler-Domínguez, Amparo & Tortosa-Ausina, Emili, 2016. "On the robustness of persistence in mutual fund performance," The North American Journal of Economics and Finance, Elsevier, vol. 36(C), pages 192-231.
    17. Boldron, François & Fève, Frédérique & Florens, Jean-Pierre & Panet-Amaro, C. & Valognes, C., 2010. "Econometric Models and the Evolution of Post-Offices Network," IDEI Working Papers 626, Institut d'Économie Industrielle (IDEI), Toulouse.
    18. Boyson, Nicole M., 2010. "Implicit incentives and reputational herding by hedge fund managers," Journal of Empirical Finance, Elsevier, vol. 17(3), pages 283-299, June.
    19. Naohiko Baba & Hiromichi Goko, 2006. "Survival Analysis of Hedge Funds," Bank of Japan Working Paper Series 06-E-5, Bank of Japan.
    20. Yamashita, Takashi, 2007. "House price appreciation, liquidity constraints, and second mortgages," Journal of Urban Economics, Elsevier, vol. 62(3), pages 424-440, November.
    21. Ma, Tiejun & Tang, Leilei & McGroarty, Frank & Sung, Ming-Chien & Johnson, Johnnie E. V, 2016. "Time is money: Costing the impact of duration misperception in market prices," European Journal of Operational Research, Elsevier, vol. 255(2), pages 397-410.
    22. Bank for International Settlements, 2003. "Incentive structures in institutional asset management and their implications for financial markets," CGFS Papers, Bank for International Settlements, number 21, december.
    23. Jung-Min KIM, 2015. "Failure Risk and the Cross-Section of Hedge Fund Returns," Working Papers 2015-13, Economic Research Institute, Bank of Korea.
    24. Cogneau, Philippe & Hübner, Georges, 2015. "The prediction of fund failure through performance diagnostics," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 224-241.
    25. Bessler, Wolfgang & Blake, David & Lückoff, Peter & Tonks, Ian, 2010. "Why does mutual fund performance not persist? The impact and interaction of fund flows and manager changes," MPRA Paper 34185, University Library of Munich, Germany.
    26. Jin, Xisong & Nadal De Simone, Francisco, 2014. "A framework for tracking changes in the intensity of investment funds' systemic risk," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 343-368.
    27. Emmanuel Mamatzakis & Mike Tsionas, 2018. "A Bayesian dynamic model to test persistence in funds' performance," Working Paper series 18-23, Rimini Centre for Economic Analysis.
    28. Juan Yao & Graham Partington & Max Stevenson, 2005. "Run length and the predictability of stock price reversals," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 45(4), pages 653-671, December.
    29. Carree, Martin A., 2003. "A hazard rate analysis of Russian commercial banks in the period 1994-1997," Economic Systems, Elsevier, vol. 27(3), pages 255-269, September.
    30. Cumming, Douglas & Dai, Na & Johan, Sofia, 2015. "Are hedge funds registered in Delaware different?," Journal of Corporate Finance, Elsevier, vol. 35(C), pages 232-246.
    31. Carree, M.A., 2000. "Interest and Hazard Rates of Russian Saving Banks," ERIM Report Series Research in Management ERS-2000-26-STR, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.

  34. Blake, David & Lehmann, Bruce N & Timmermann, Allan G, 1997. "Performance Measurement using Multiple Asset Class Portfolio Data," CEPR Discussion Papers 1618, C.E.P.R. Discussion Papers.

    Cited by:

    1. Manuel Ammann & Andreas Zingg, 2008. "Investment Performance of Swiss Pension Funds and Investment Foundations," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 144(II), pages 153-195, June.
    2. Srinivas, P.S. & Whitehouse, Edward & Yermo, Juan, 2000. "Regulating private pension funds'structure, performance, and investments : cross-country evidence," Social Protection Discussion Papers and Notes 23302, The World Bank.
    3. Whitehouse, Edward, 2000. "Pension reform, financial literacy and public information : a case study of the United Kingdom," Social Protection Discussion Papers and Notes 21312, The World Bank.
    4. Whitehouse, Edward, 2000. "Administrative charges for funded pensions : an international comparison and assessment," Social Protection Discussion Papers and Notes 23140, The World Bank.
    5. Whitehouse, Edward, 2000. "Paying for pensions: An international comparison of administrative charges in funded retirement-income systems," MPRA Paper 14171, University Library of Munich, Germany.
    6. Claudio Borio & Craig Furfine & Philip Lowe, 2001. "Procyclicality of the financial system and financial stability: issues and policy options," BIS Papers chapters, in: Bank for International Settlements (ed.), Marrying the macro- and micro-prudential dimensions of financial stability, volume 1, pages 1-57, Bank for International Settlements.

Articles

  1. Kevin Dowd & David Blake, 2022. "Good Practice Principles in Modelling Defined Contribution Pension Plans," JRFM, MDPI, vol. 15(3), pages 1-21, February.

    Cited by:

    1. David Blake, 2022. "Nudges and Networks: How to Use Behavioural Economics to Improve the Life Cycle Savings-Consumption Balance," JRFM, MDPI, vol. 15(5), pages 1-17, May.

  2. Blake, David & Duffield, Mel & Tonks, Ian & Haig, Alistair & Blower, Dean & MacPhee, Laura, 2022. "Smart defaults: Determining the number of default funds in a pension scheme," The British Accounting Review, Elsevier, vol. 54(4).

    Cited by:

    1. David Blake, 2022. "Nudges and Networks: How to Use Behavioural Economics to Improve the Life Cycle Savings-Consumption Balance," JRFM, MDPI, vol. 15(5), pages 1-17, May.

  3. David Blake, 2022. "Nudges and Networks: How to Use Behavioural Economics to Improve the Life Cycle Savings-Consumption Balance," JRFM, MDPI, vol. 15(5), pages 1-17, May.

    Cited by:

    1. Piotr Bialowolski & Jing Jian Xiao & Dorota Weziak-Bialowolska, 2024. "Do All Savings Matter Equally? Saving Types and Emotional Well-Being Among Older Adults: Evidence from Panel Data," Journal of Family and Economic Issues, Springer, vol. 45(1), pages 88-105, March.
    2. Shunlin Wang & Yifang Chen, 2022. "Consumption Coupons, Consumption Probability and Inventory Optimization: An Improved Minimum-Cost Maximum-Flow Approach," Sustainability, MDPI, vol. 14(13), pages 1-14, June.

  4. Andrew Hunt & David Blake, 2021. "A Bayesian Approach to Modeling and Projecting Cohort Effects," North American Actuarial Journal, Taylor & Francis Journals, vol. 25(S1), pages 235-254, February.

    Cited by:

    1. Blake, David & Cairns, Andrew J.G., 2021. "Longevity risk and capital markets: The 2019-20 update," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 395-439.

  5. David Blake & Edmund Cannon & Douglas Wright, 2021. "Quantifying loss aversion: Evidence from a UK population survey," Journal of Risk and Uncertainty, Springer, vol. 63(1), pages 27-57, August.

    Cited by:

    1. Jonathan Chapman & Erik Snowberg & Stephanie Wang & Colin Camerer, 2022. "Looming Large or Seeming Small? Attitudes Towards Losses in a Representative Sample," CESifo Working Paper Series 9820, CESifo.
    2. Peter P. Wakker, 2023. "The correct formula of 1979 prospect theory for multiple outcomes," Theory and Decision, Springer, vol. 94(2), pages 183-187, February.
    3. Li, Yadong & Guan, Zhenzhong & Ren, Jianbiao, 2023. "Channel coordination under retailer's (sub)conscious preferences of loss aversion and fairness," Journal of Retailing and Consumer Services, Elsevier, vol. 74(C).

  6. Andrew Hunt & David Blake, 2021. "Forward Mortality Rates in Discrete Time I: Calibration and Securities Pricing," North American Actuarial Journal, Taylor & Francis Journals, vol. 25(S1), pages 482-507, February.

    Cited by:

    1. Miguel Santolino, 2023. "Should Selection of the Optimum Stochastic Mortality Model Be Based on the Original or the Logarithmic Scale of the Mortality Rate?," Risks, MDPI, vol. 11(10), pages 1-21, September.
    2. Blake, David & Cairns, Andrew J.G., 2021. "Longevity risk and capital markets: The 2019-20 update," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 395-439.

  7. Blake, David & Cairns, Andrew J.G., 2021. "Longevity risk and capital markets: The 2019-20 update," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 395-439.

    Cited by:

    1. Apostolos Bozikas & Ioannis Badounas & Georgios Pitselis, 2022. "Pricing Longevity Bonds under a Credibility Framework with Limited Available Data," Risks, MDPI, vol. 10(5), pages 1-15, May.
    2. Wang, Yan & Tian, Xu, 2023. "Underwriter strength and credit spread of corporate bond issuance," Finance Research Letters, Elsevier, vol. 58(PC).
    3. Chen, An & Li, Hong & Schultze, Mark B., 2023. "Optimal longevity risk transfer under asymmetric information," Economic Modelling, Elsevier, vol. 120(C).
    4. Yang Qiao & Chou-Wen Wang & Wenjun Zhu, 2024. "Machine learning in long-term mortality forecasting," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 49(2), pages 340-362, April.
    5. Chen, An & Li, Hong & Schultze, Mark, 2022. "Collective longevity swap: A novel longevity risk transfer solution and its economic pricing," Journal of Economic Behavior & Organization, Elsevier, vol. 201(C), pages 227-249.
    6. Xiaoyi Zhang, 2022. "Optimal DC Pension Management Under Inflation Risk With Jump Diffusion Price Index and Cost of Living Process," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 1253-1270, June.
    7. Li, Han & Liu, Haibo & Tang, Qihe & Yuan, Zhongyi, 2023. "Pricing extreme mortality risk in the wake of the COVID-19 pandemic," Insurance: Mathematics and Economics, Elsevier, vol. 108(C), pages 84-106.
    8. Tahir Choulli & Catherine Daveloose & Michèle Vanmaele, 2021. "Mortality/Longevity Risk-Minimization with or without Securitization," Mathematics, MDPI, vol. 9(14), pages 1-27, July.
    9. Nipun Agarwal & Pornpit Wongthongtham & Neerajkumari Khairwal & Kevin Coutinho, 2023. "Blockchain Application to Financial Market Clearing and Settlement Systems," JRFM, MDPI, vol. 16(10), pages 1-19, October.

  8. Kevin Dowd & Andrew J. G. Cairns & David Blake, 2021. "Hedging Annuity Risks with the Age-Period-Cohort Two-Population Gravity Model," North American Actuarial Journal, Taylor & Francis Journals, vol. 25(S1), pages 170-181, February.

    Cited by:

    1. Blake, David & Cairns, Andrew J.G., 2021. "Longevity risk and capital markets: The 2019-20 update," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 395-439.

  9. Andrew Hunt & David Blake, 2021. "On the Structure and Classification of Mortality Models," North American Actuarial Journal, Taylor & Francis Journals, vol. 25(S1), pages 215-234, February.

    Cited by:

    1. Jorge Miguel Bravo & Mercedes Ayuso & Robert Holzmann & Edward Palmer, 2021. "Intergenerational Actuarial Fairness when Longevity Increases: Amending the Retirement Age," CESifo Working Paper Series 9408, CESifo.
    2. Jaap Spreeuw & Iqbal Owadally & Muhammad Kashif, 2022. "Projecting Mortality Rates Using a Markov Chain," Mathematics, MDPI, vol. 10(7), pages 1-18, April.
    3. Blake, David & Cairns, Andrew J.G., 2021. "Longevity risk and capital markets: The 2019-20 update," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 395-439.
    4. Bravo, Jorge M. & Ayuso, Mercedes & Holzmann, Robert & Palmer, Edward, 2021. "Addressing the life expectancy gap in pension policy," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 200-221.
    5. Mercedes Ayuso & Jorge M. Bravo & Robert Holzmann & Edward Palmer, 2021. "Automatic Indexation of the Pension Age to Life Expectancy: When Policy Design Matters," Risks, MDPI, vol. 9(5), pages 1-28, May.

  10. Andrew Hunt & David Blake, 2021. "Forward Mortality Rates in Discrete Time II: Longevity Risk and Hedging Strategies," North American Actuarial Journal, Taylor & Francis Journals, vol. 25(S1), pages 508-533, February.

    Cited by:

    1. Kallestrup-Lamb, Malene & Søgaard Laursen, Nicolai, 2024. "Longevity hedge effectiveness using socioeconomic indices," Insurance: Mathematics and Economics, Elsevier, vol. 114(C), pages 242-251.
    2. Blake, David & Cairns, Andrew J.G., 2021. "Longevity risk and capital markets: The 2019-20 update," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 395-439.

  11. David Blake & John Pickles, 2021. "Mental Time Travel and Retirement Savings," JRFM, MDPI, vol. 14(12), pages 1-13, December.

    Cited by:

    1. David Blake, 2022. "Nudges and Networks: How to Use Behavioural Economics to Improve the Life Cycle Savings-Consumption Balance," JRFM, MDPI, vol. 15(5), pages 1-17, May.

  12. Dowd, Kevin & Cairns, Andrew J. G. & Blake, David, 2020. "CBDX: a workhorse mortality model from the Cairns–Blake–Dowd family," Annals of Actuarial Science, Cambridge University Press, vol. 14(2), pages 445-460, September.

    Cited by:

    1. Kung, Ko-Lun & MacMinn, Richard D. & Kuo, Weiyu & Tsai, Chenghsien Jason, 2022. "Multi-population mortality modeling: When the data is too much and not enough," Insurance: Mathematics and Economics, Elsevier, vol. 103(C), pages 41-55.
    2. Albrecher, Hansjörg & Bladt, Martin & Bladt, Mogens & Yslas, Jorge, 2022. "Mortality modeling and regression with matrix distributions," Insurance: Mathematics and Economics, Elsevier, vol. 107(C), pages 68-87.
    3. Blake, David & Cairns, Andrew J.G., 2021. "Longevity risk and capital markets: The 2019-20 update," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 395-439.
    4. Kevin Dowd & David Blake, 2022. "Projecting Mortality Rates to Extreme Old Age with the CBDX Model," Forecasting, MDPI, vol. 4(1), pages 1-11, February.
    5. Redondo Lourés, Cristian & Cairns, Andrew J.G., 2021. "Cause of death specific cohort effects in U.S. mortality," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 190-199.

  13. David Blake & Richard MacMinn, 2020. "Longevity Risk and Capital Markets: The 2016–2017 Update," North American Actuarial Journal, Taylor & Francis Journals, vol. 25(S1), pages 1-6, December.

    Cited by:

    1. Romaniuk, Katarzyna, 2021. "Pension insurance schemes and moral hazard: The Pension Benefit Guaranty Corporation should restrict the insured pension plans’ portfolio policy," The Quarterly Review of Economics and Finance, Elsevier, vol. 82(C), pages 37-43.
    2. Yang Qiao & Chou-Wen Wang & Wenjun Zhu, 2024. "Machine learning in long-term mortality forecasting," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 49(2), pages 340-362, April.
    3. Wang, Ling & Wong, Hoi Ying, 2021. "Time-consistent longevity hedging with long-range dependence," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 25-41.

  14. Hunt, Andrew & Blake, David, 2020. "Identifiability in age/period mortality models," Annals of Actuarial Science, Cambridge University Press, vol. 14(2), pages 461-499, September.

    Cited by:

    1. Basellini, Ugofilippo & Camarda, Carlo Giovanni & Booth, Heather, 2022. "Thirty years on: A review of the Lee-Carter method for forecasting mortality," SocArXiv 8u34d, Center for Open Science.
    2. Wang, Pengjie & Pantelous, Athanasios A. & Vahid, Farshid, 2023. "Multi-population mortality projection: The augmented common factor model with structural breaks," International Journal of Forecasting, Elsevier, vol. 39(1), pages 450-469.
    3. Blake, David & Cairns, Andrew J.G., 2021. "Longevity risk and capital markets: The 2019-20 update," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 395-439.
    4. Basellini, Ugofilippo & Camarda, Carlo Giovanni & Booth, Heather, 2023. "Thirty years on: A review of the Lee–Carter method for forecasting mortality," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1033-1049.
    5. Yanxin Liu & Johnny Siu-Hang Li, 2023. "Disentangling Trend Risk and Basis Risk with Functional Time Series," Risks, MDPI, vol. 11(12), pages 1-18, November.

  15. David Blake & Richard MacMinn & Jason Chenghsien Tsai & Jennifer Wang, 2020. "Longevity Risk and Capital Markets: The 2017–2018 Update," North American Actuarial Journal, Taylor & Francis Journals, vol. 25(S1), pages 280-308, December.

    Cited by:

    1. Romaniuk, Katarzyna, 2021. "Pension insurance schemes and moral hazard: The Pension Benefit Guaranty Corporation should restrict the insured pension plans’ portfolio policy," The Quarterly Review of Economics and Finance, Elsevier, vol. 82(C), pages 37-43.
    2. Yang Qiao & Chou-Wen Wang & Wenjun Zhu, 2024. "Machine learning in long-term mortality forecasting," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 49(2), pages 340-362, April.
    3. Wang, Ling & Wong, Hoi Ying, 2021. "Time-consistent longevity hedging with long-range dependence," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 25-41.

  16. Hunt, Andrew & Blake, David, 2020. "Identifiability in age/period/cohort mortality models," Annals of Actuarial Science, Cambridge University Press, vol. 14(2), pages 500-536, September.

    Cited by:

    1. de la Fuente, Iván & Navarro, Eliseo & Serna, Gregorio, 2023. "Proposal for calculating regulatory capital requirements for reverse mortgages," Socio-Economic Planning Sciences, Elsevier, vol. 88(C).
    2. Basellini, Ugofilippo & Camarda, Carlo Giovanni & Booth, Heather, 2022. "Thirty years on: A review of the Lee-Carter method for forecasting mortality," SocArXiv 8u34d, Center for Open Science.
    3. Blake, David & Cairns, Andrew J.G., 2021. "Longevity risk and capital markets: The 2019-20 update," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 395-439.
    4. Basellini, Ugofilippo & Camarda, Carlo Giovanni & Booth, Heather, 2023. "Thirty years on: A review of the Lee–Carter method for forecasting mortality," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1033-1049.
    5. David Atance & Ana Debón & Eliseo Navarro, 2020. "A Comparison of Forecasting Mortality Models Using Resampling Methods," Mathematics, MDPI, vol. 8(9), pages 1-21, September.
    6. Alex Isakson & Simone Krummaker & María Dolores Martínez-Miranda & Ben Rickayzen, 2021. "Calendar Effect and In-Sample Forecasting Applied to Mesothelioma Mortality Data," Mathematics, MDPI, vol. 9(18), pages 1-17, September.

  17. Cairns, Andrew J.G. & Kallestrup-Lamb, Malene & Rosenskjold, Carsten & Blake, David & Dowd, Kevin, 2019. "Modelling Socio-Economic Differences In Mortality Using A New Affluence Index," ASTIN Bulletin, Cambridge University Press, vol. 49(3), pages 555-590, September.

    Cited by:

    1. Alvarez, Jesús-Adrián & Kallestrup-Lamb, Malene & Kjærgaard, Søren, 2021. "Linking retirement age to life expectancy does not lessen the demographic implications of unequal lifespans," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 363-375.
    2. Malene Kallestrup-Lamb & Søren Kjærgaard & Carsten P. T. Rosenskjold, 2019. "Insight into Stagnating Life Expectancy: Analysing Cause of Death Patterns across Socio-economic Groups," CREATES Research Papers 2019-20, Department of Economics and Business Economics, Aarhus University.
    3. Kallestrup-Lamb, Malene & Søgaard Laursen, Nicolai, 2024. "Longevity hedge effectiveness using socioeconomic indices," Insurance: Mathematics and Economics, Elsevier, vol. 114(C), pages 242-251.
    4. Strozza, Cosmo & Vigezzi, Serena & Callaway, Julia & Kashnitsky, Ilya & Aleksandrovs, Aleksandrs & Vaupel, James W, 2022. "Socioeconomic inequalities in survival to retirement age or shortly afterwards: a register-based analysis," OSF Preprints 8wbdv, Center for Open Science.
    5. Snorre Jallbjørn & Søren Fiig Jarner, 2022. "Sex Differential Dynamics in Coherent Mortality Models," Forecasting, MDPI, vol. 4(4), pages 1-26, September.
    6. Salvatore Scognamiglio & Mario Marino, 2023. "Backtesting stochastic mortality models by prediction interval-based metrics," Quality & Quantity: International Journal of Methodology, Springer, vol. 57(4), pages 3825-3847, August.
    7. Bravo, Jorge M. & Ayuso, Mercedes & Holzmann, Robert & Palmer, Edward, 2021. "Addressing the life expectancy gap in pension policy," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 200-221.
    8. Milevsky, Moshe A., 2020. "Calibrating Gompertz in reverse: What is your longevity-risk-adjusted global age?," Insurance: Mathematics and Economics, Elsevier, vol. 92(C), pages 147-161.
    9. Jesús-Adrián Álvarez & Malene Kallestrup-Lamb & Søren Kjærgaard, 2020. "Linking retirement age to life expectancy does not lessen the demographic implications of unequal lifespans," CREATES Research Papers 2020-17, Department of Economics and Business Economics, Aarhus University.
    10. Redondo Lourés, Cristian & Cairns, Andrew J.G., 2021. "Cause of death specific cohort effects in U.S. mortality," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 190-199.

  18. Dowd, Kevin & Buckner, Dean & Blake, David & Fry, John, 2019. "The valuation of no-negative equity guarantees and equity release mortgages," Economics Letters, Elsevier, vol. 184(C).

    Cited by:

    1. Sharma, Tripti & French, Declan & McKillop, Donal, 2022. "The UK equity release market: Views from the regulatory authorities, product providers and advisors," International Review of Financial Analysis, Elsevier, vol. 79(C).
    2. Buckner, Dean & Dowd, Kevin, 2020. "How profitable are Equity Release Mortgages?," Economics Letters, Elsevier, vol. 197(C).
    3. Kevin Engelbrecht & Saul Jacka, 2020. "Pricing and Hedging the No-Negative-Equity Guarantee in Equity-Release Mortgages," Papers 2010.02511, arXiv.org.
    4. Blake, David & Cairns, Andrew J.G., 2021. "Longevity risk and capital markets: The 2019-20 update," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 395-439.
    5. Badescu, Alexandru & Quaye, Enoch & Tunaru, Radu, 2022. "On non-negative equity guarantee calculations with macroeconomic variables related to house prices," Insurance: Mathematics and Economics, Elsevier, vol. 103(C), pages 119-138.
    6. Sabrina Aufiero & Preben Forer & Pierpaolo Vivo & Fabio Caccioli & Silvia Bartolucci, 2024. "Phase transitions in debt recycling," Papers 2405.19104, arXiv.org.

  19. Blake, D. & Cairns, A. J. G. & Dowd, K. & Kessler, A. R., 2019. "Still living with mortality: the longevity risk transfer market after one decade," British Actuarial Journal, Cambridge University Press, vol. 24, pages 1-1, January.

    Cited by:

    1. Bravo, Jorge M. & Nunes, João Pedro Vidal, 2021. "Pricing longevity derivatives via Fourier transforms," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 81-97.
    2. Chen, An & Li, Hong & Schultze, Mark B., 2023. "Optimal longevity risk transfer under asymmetric information," Economic Modelling, Elsevier, vol. 120(C).
    3. Kallestrup-Lamb, Malene & Søgaard Laursen, Nicolai, 2024. "Longevity hedge effectiveness using socioeconomic indices," Insurance: Mathematics and Economics, Elsevier, vol. 114(C), pages 242-251.
    4. Chen, An & Li, Hong & Schultze, Mark, 2022. "Collective longevity swap: A novel longevity risk transfer solution and its economic pricing," Journal of Economic Behavior & Organization, Elsevier, vol. 201(C), pages 227-249.
    5. Bravo, Jorge M. & Ayuso, Mercedes & Holzmann, Robert & Palmer, Edward, 2021. "Addressing the life expectancy gap in pension policy," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 200-221.
    6. Cuixia Liu & Yanlin Shi, 2023. "Extensions of the Lee–Carter model to project the data‐driven rotation of age‐specific mortality decline and forecast coherent mortality rates," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(4), pages 813-834, July.
    7. Balter, Anne G. & Kallestrup-Lamb, Malene & Rangvid, Jesper, 2021. "Macro longevity risk and the choice between annuity products: Evidence from Denmark," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 355-362.
    8. Börger, Matthias & Freimann, Arne & Ruß, Jochen, 2021. "A combined analysis of hedge effectiveness and capital efficiency in longevity hedging," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 309-326.

  20. Hunt, Andrew & Blake, David, 2018. "Identifiability, cointegration and the gravity model," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 360-368.

    Cited by:

    1. Thilini Dulanjali Kularatne & Jackie Li & Yanlin Shi, 2022. "Forecasting Mortality Rates with a Two-Step LASSO Based Vector Autoregressive Model," Risks, MDPI, vol. 10(11), pages 1-23, November.
    2. Hong Li & Yanlin Shi, 2021. "Mortality Forecasting with an Age-Coherent Sparse VAR Model," Risks, MDPI, vol. 9(2), pages 1-19, February.
    3. Snorre Jallbjørn & Søren Fiig Jarner, 2022. "Sex Differential Dynamics in Coherent Mortality Models," Forecasting, MDPI, vol. 4(4), pages 1-26, September.
    4. Blake, David & Cairns, Andrew J.G., 2021. "Longevity risk and capital markets: The 2019-20 update," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 395-439.
    5. Li, Hong & Shi, Yanlin, 2021. "Forecasting mortality with international linkages: A global vector-autoregression approach," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 59-75.
    6. Börger, Matthias & Freimann, Arne & Ruß, Jochen, 2021. "A combined analysis of hedge effectiveness and capital efficiency in longevity hedging," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 309-326.
    7. Li, Johnny Siu-Hang & Liu, Yanxin, 2021. "Recent declines in life expectancy: Implication on longevity risk hedging," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 376-394.

  21. Blake, David & El Karoui, Nicole & Loisel, Stéphane & MacMinn, Richard, 2018. "Longevity risk and capital markets: The 2015–16 update," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 157-173.
    See citations under working paper version above.
  22. Wolfgang Bessler & David Blake & Peter Lückoff & Ian Tonks, 2018. "Fund Flows, Manager Changes, and Performance Persistence [Does motivation matter when assessing trade performance? An analysis of mutual funds]," Review of Finance, European Finance Association, vol. 22(5), pages 1911-1947.

    Cited by:

    1. Keith Cuthbertson & Dirk Nitzsche & Niall O’Sullivan, 2023. "UK mutual funds: performance persistence and portfolio size," Journal of Asset Management, Palgrave Macmillan, vol. 24(4), pages 284-298, July.
    2. Sudipta Majumdar & Rohan Kumar Mishra & Abhijeet Chandra, 2024. "Fund Characteristics, Managerial Skills and Performance Persistence: Evidence from India," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 31(2), pages 335-354, June.

  23. Rossi, Alberto G. & Blake, David & Timmermann, Allan & Tonks, Ian & Wermers, Russ, 2018. "Network centrality and delegated investment performance," Journal of Financial Economics, Elsevier, vol. 128(1), pages 183-206.

    Cited by:

    1. Michel Alexandre & Kau^e Lopes de Moraes & Francisco Aparecido Rodrigues, 2021. "Risk-dependent centrality in the Brazilian stock market," Papers 2103.09059, arXiv.org.
    2. Liu, Xiaotong & Wang, Jingda & Cao, Chang, 2024. "Mutual fund cliques, fund flow-performance sensitivity, and stock price crash risk," International Review of Financial Analysis, Elsevier, vol. 91(C).
    3. Murat Tiniç & Ahmet Sensoy & Muge Demir & Duc Khuong Nguyen, 2021. "Broker Network Connectivity and the Cross-Section of Expected Stock Returns," Working Papers 2021-002, Department of Research, Ipag Business School.
    4. Tsang, Kwok Ping & Yang, Zichao, 2022. "Do connections pay off in the bitcoin market?," Journal of Empirical Finance, Elsevier, vol. 67(C), pages 1-18.
    5. Li, Xing & Hou, Keqiang, 2023. "Over-weighting risk factor augmented with mutual fund managers' social networks," Pacific-Basin Finance Journal, Elsevier, vol. 77(C).
    6. Lu, Shuai & Li, Shouwei & Zhou, Wei & Yang, Wenke, 2022. "Network herding of energy funds in the post-Carbon-Peak Policy era: Does it benefit profitability and stability?," Energy Economics, Elsevier, vol. 109(C).
    7. Ding, Jing & Fang, Libing & Chen, Shi, 2020. "Mitigating free riding in social networks: The impact of underestimating others’ ability in financial market," International Review of Economics & Finance, Elsevier, vol. 70(C), pages 582-599.
    8. Chen, Shenglan & Ma, Hui & Wu, Qiang & Zhang, Hao, 2023. "Does common ownership constrain managerial rent extraction? Evidence from insider trading profitability," Journal of Corporate Finance, Elsevier, vol. 80(C).
    9. Ting Liu & Liu Tang, 2020. "Open innovation from the perspective of network embedding: knowledge evolution and development trend," Scientometrics, Springer;Akadémiai Kiadó, vol. 124(2), pages 1053-1080, August.
    10. Di Giuli, Alberta & Laux, Paul A., 2022. "The effect of media-linked directors on financing and external governance," Journal of Financial Economics, Elsevier, vol. 145(2), pages 103-131.
    11. Fenghua Wen & Yujie Yuan & Wei‐Xing Zhou, 2021. "Cross‐shareholding networks and stock price synchronicity: Evidence from China," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 914-948, January.
    12. Wang, Danxia, 2024. "Beyond active share: Boosting fund performance through common holdings with same-benchmark mutual funds," International Review of Financial Analysis, Elsevier, vol. 92(C).
    13. Guo, Xueting & Ma, Weichun & Liu, Xiaotong & Mo, Yan, 2023. "Fund investor cliques and flow sensitivity—evidence from China," Finance Research Letters, Elsevier, vol. 58(PB).
    14. Chen, Wang & Ho, Kung-Cheng & Yang, Lu, 2020. "Network structures and idiosyncratic contagion in the European sovereign credit default swap market," International Review of Financial Analysis, Elsevier, vol. 72(C).
    15. Chen, Yanhua & Li, Youwei & Pantelous, Athanasios A. & Stanley, H. Eugene, 2022. "Short-run disequilibrium adjustment and long-run equilibrium in the international stock markets: A network-based approach," International Review of Financial Analysis, Elsevier, vol. 79(C).
    16. Chen, Jean Jinghan & Xie, Li & Zhou, Si, 2020. "Managerial multi-tasking, Team diversity, and mutual fund performance," Journal of Corporate Finance, Elsevier, vol. 65(C).
    17. Farah, Nusrat & Islam, Md Shariful & Tadesse, Amanuel & McCumber, William, 2024. "Impact of audit committee social capital on the adoption of COSO 2013," Advances in accounting, Elsevier, vol. 64(C).
    18. Thiago Christiano Silva & Benjamin Miranda Tabak, 2019. "Growth and Activity Diversification: the impact of financing non-traditional local activities," Working Papers Series 498, Central Bank of Brazil, Research Department.
    19. Chen, Xiao & Chong, Zhaohui & Giudici, Paolo & Huang, Bihong, 2022. "Network centrality effects in peer to peer lending," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 600(C).
    20. Yangyang Chen & Jun Huang & Ting Li & Jeffrey Pittman, 2022. "It's a Small World: The Importance of Social Connections with Auditors to Mutual Fund Managers’ Portfolio Decisions," Journal of Accounting Research, Wiley Blackwell, vol. 60(3), pages 901-963, June.
    21. Fan, Michelle Xiaomin & Wu, Huiying & Ying, Sammy Xiaoyan & You, Jiaxing, 2023. "Uneasy lies the head that wears a crown: Firm network status and market response to negative rumors," Pacific-Basin Finance Journal, Elsevier, vol. 82(C).
    22. D’Arcangelis, Anna Maria & Levantesi, Susanna & Rotundo, Giulia, 2021. "A complex networks approach to pension funds," Journal of Business Research, Elsevier, vol. 129(C), pages 687-702.
    23. DuckKi Cho & Lyungmae Choi & Jessie Jiaxu Wang, 2023. "It's Not Who You Know—It's Who Knows You: Employee Social Capital and Firm Performance," Finance and Economics Discussion Series 2023-020, Board of Governors of the Federal Reserve System (U.S.).
    24. Xiang, Youtao & Borjigin, Sumuya, 2024. "Investment network and stock’s systemic risk contribution: Evidence from China," The Quarterly Review of Economics and Finance, Elsevier, vol. 94(C), pages 113-132.
    25. Wang, Wentao & Zhao, Shangmei & Zhang, Junhuan, 2022. "Multi-asset pricing modeling using holding-based networks in energy markets," Finance Research Letters, Elsevier, vol. 46(PB).
    26. Nandy, Monomita & Lodh, Suman & Kaur, Jaskaran & Wang, Jin, 2020. "Impact of directors' networks on corporate social responsibility: A cross country study," International Review of Financial Analysis, Elsevier, vol. 72(C).
    27. Xue Cui & Lu Yang, 2024. "Systemic risk and idiosyncratic networks among global systemically important banks," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(1), pages 58-75, January.
    28. Lin, Junqin & Wang, Fan & Wei, Lijian, 2021. "Alumni social networks and hedge fund performance: Evidence from China," International Review of Financial Analysis, Elsevier, vol. 78(C).
    29. Siganos, Antonios, 2021. "Guest editor networking in special issues," International Review of Financial Analysis, Elsevier, vol. 76(C).
    30. Li, Fangzhou & Jiang, Yuxiang, 2022. "Institutional investor networks and crash risk: Evidence from China," Finance Research Letters, Elsevier, vol. 47(PA).
    31. Qin, Xiao & Wang, Ze, 2023. "Share pledge financing network and systemic risks: Evidence from China," Journal of Banking & Finance, Elsevier, vol. 152(C).
    32. Chen, Jie & Lasfer, Meziane & Song, Wei & Zhou, Si, 2021. "Recession managers and mutual fund performance," Journal of Corporate Finance, Elsevier, vol. 69(C).
    33. Sudipta Majumdar & Rohan Kumar Mishra & Abhijeet Chandra, 2024. "Fund Characteristics, Managerial Skills and Performance Persistence: Evidence from India," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 31(2), pages 335-354, June.
    34. Fenghua Wen & Yujie Yuan & Wei-Xing Zhou, 2019. "Cross-shareholding networks and stock price synchronicity: Evidence from China," Papers 1903.01655, arXiv.org.

  24. David Blake, 2018. "Longevity: a new asset class," Journal of Asset Management, Palgrave Macmillan, vol. 19(5), pages 278-300, September.

    Cited by:

    1. Benjamin Avanzi & Lewis de Felice, 2023. "Optimal Strategies for the Decumulation of Retirement Savings under Differing Appetites for Liquidity and Investment Risks," Papers 2312.14355, arXiv.org, revised Mar 2024.
    2. Chen, An & Li, Hong & Schultze, Mark, 2022. "Collective longevity swap: A novel longevity risk transfer solution and its economic pricing," Journal of Economic Behavior & Organization, Elsevier, vol. 201(C), pages 227-249.
    3. Tan, Ken Seng & Weng, Chengguo & Zhang, Jinggong, 2022. "Optimal dynamic longevity hedge with basis risk," European Journal of Operational Research, Elsevier, vol. 297(1), pages 325-337.

  25. Blake, David & Sarno, Lucio & Zinna, Gabriele, 2017. "The market for lemmings: The herding behavior of pension funds," Journal of Financial Markets, Elsevier, vol. 36(C), pages 17-39.

    Cited by:

    1. Reveley Callum & Shanaev Savva & Bin Yu & Panta Humnath & Ghimire Binam, 2023. "Analyst herding—whether, why, and when? Two new tests for herding detection in target forecast prices," Economics and Business Review, Sciendo, vol. 9(4), pages 25-55, December.
    2. Alin Marius Andrieş & Mihaela Brodocianu & Nicu Sprincean, 2023. "The role of institutional investors in the financial development," Economic Change and Restructuring, Springer, vol. 56(1), pages 345-378, February.
    3. David Blake, 2022. "The Great Game Will Never End: Why the Global Financial Crisis Is Bound to Be Repeated," JRFM, MDPI, vol. 15(6), pages 1-61, May.
    4. Douglas, Graeme & Roberts-Sklar, Matt, 2018. "What drives UK defined benefit pension funds' investment behaviour?," Bank of England working papers 757, Bank of England.
    5. Puput Tri Komalasari & Marwan Asri & Bernardinus M. Purwanto & Bowo Setiyono, 2022. "Herding behaviour in the capital market: What do we know and what is next?," Management Review Quarterly, Springer, vol. 72(3), pages 745-787, September.
    6. Jia, Boxiang & Shen, Dehua & Zhang, Wei, 2022. "Extreme sentiment and herding: Evidence from the cryptocurrency market," Research in International Business and Finance, Elsevier, vol. 63(C).
    7. Gavriilidis, Konstantinos & Kallinterakis, Vasileios & Öztürkkal, Belma, 2020. "Does mood affect institutional herding?," Journal of Behavioral and Experimental Finance, Elsevier, vol. 26(C).
    8. Łukasz Dopierała & Magdalena Mosionek-Schweda, 2020. "Pension Fund Management, Investment Performance, and Herding in the Context of Regulatory Changes: New Evidence from the Polish Pension System," Risks, MDPI, vol. 9(1), pages 1-19, December.
    9. Larysa Yakymova, 2020. "Developmental Patterns of Voluntary Pensions in CEE Countries: Analysis through the Bass Diffusion Model Reflecting the Observational Learning Mechanism," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 4, pages 166-192.
    10. Ian Koetsier & Jacob A. Bikker, 2023. "Herd Behaviour of Pension Funds by Asset Class," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 15(2), pages 1-26, February.
    11. Gudjonsson Jon & Hougaard Jensen Svend E., 2023. "Pension Funds and Financial Stability: The Case of the UK Gilt Crisis," Intereconomics: Review of European Economic Policy, Sciendo, vol. 58(3), pages 155-159, June.
    12. Anderson, Nicola & Webber, Lewis & Noss, Joseph & Beale, Daniel & Crowley-Reidy, Liam, 2015. "Financial Stability Paper 34: The resilience of financial market liquidity," Bank of England Financial Stability Papers 34, Bank of England.
    13. Cui, Yueting & Gavriilidis, Konstantinos & Gebka, Bartosz & Kallinterakis, Vasileios, 2024. "Numerological superstitions and market-wide herding: Evidence from China," International Review of Financial Analysis, Elsevier, vol. 93(C).
    14. Bastías, Jaime & Ruiz, José L., 2022. "Equity fire sales and herding behavior in pension funds," Research in International Business and Finance, Elsevier, vol. 62(C).
    15. Kallinterakis, Vasileios & Wang, Ying, 2019. "Do investors herd in cryptocurrencies – and why?," Research in International Business and Finance, Elsevier, vol. 50(C), pages 240-245.
    16. Fotini Economou & Konstantinos Gavriilidis & Bartosz Gebka & Vasileios Kallinterakis, 2022. "Feedback trading: a review of theory and empirical evidence," Review of Behavioral Finance, Emerald Group Publishing Limited, vol. 15(4), pages 429-476, February.
    17. Wang, Hu & Li, Shouwei & Ma, Yuyin, 2021. "Herding in Open-end Funds: Evidence from China," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    18. Andrikopoulos, Panagiotis & Gebka, Bartosz & Kallinterakis, Vasileios, 2021. "Regulatory mood-congruence and herding: Evidence from cannabis stocks," Journal of Economic Behavior & Organization, Elsevier, vol. 185(C), pages 842-864.
    19. I. Koetsier & J.A. Bikker, 2018. "Herding behavior of Dutch pension funds in asset class investments," Working Papers 18-04, Utrecht School of Economics.
    20. Artiga González, Tanja & van Lelyveld, Iman & Lučivjanská, Katarína, 2020. "Pension fund equity performance: Patience, activity or both?," Journal of Banking & Finance, Elsevier, vol. 115(C).
    21. Kusen, Alex & Rudolf, Markus, 2019. "Feedback trading: Strategies during day and night with global interconnectedness," Research in International Business and Finance, Elsevier, vol. 48(C), pages 438-463.
    22. Vijay Kumar Shrotryia & Himanshi Kalra, 2021. "Analysis of Sectoral Herding through Quantile Regression: A Study of S&P BSE 500 Stocks," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 20(1), pages 1-16, June.
    23. Cui, Yueting & Gebka, Bartosz & Kallinterakis, Vasileios, 2019. "Do closed-end fund investors herd?," Journal of Banking & Finance, Elsevier, vol. 105(C), pages 194-206.
    24. Barria, Rodrigo & Pinter, Gabor, 2023. "Mispricing in inflation markets," Bank of England working papers 1034, Bank of England.

  26. Blake, David & Caulfield, Tristan & Ioannidis, Christos & Tonks, Ian, 2017. "New Evidence on Mutual Fund Performance: A Comparison of Alternative Bootstrap Methods," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 52(3), pages 1279-1299, June.

    Cited by:

    1. Cuthbertson, Keith & Nitzsche, Dirk & O'Sullivan, Niall, 2022. "Mutual fund performance persistence: Factor models and portfolio size," International Review of Financial Analysis, Elsevier, vol. 81(C).
    2. Huang, Haitao & Jiang, Lei & Leng, Xuan & Peng, Liang, 2023. "Bootstrap analysis of mutual fund performance," Journal of Econometrics, Elsevier, vol. 235(1), pages 239-255.
    3. Buschong, René, 2022. "Financial Literacy is associated with Stock Market Expectations but not with Forecast Accuracy: Evidence from Germany," EconStor Preprints 266404, ZBW - Leibniz Information Centre for Economics.
    4. Hanke, Bernd & Keswani, Aneel & Quigley, Garrett & Zagonov, Maxim, 2018. "Survivorship bias and comparability of UK open-ended fund databases," Economics Letters, Elsevier, vol. 172(C), pages 110-114.
    5. Ayadi, Mohamed A. & Lazrak, Skander & Liao, Yusui & Welch, Robert, 2018. "Performance of fixed-income mutual funds with regime-switching models," The Quarterly Review of Economics and Finance, Elsevier, vol. 69(C), pages 217-231.
    6. Emmanuel Mamatzakis & Mike G. Tsionas, 2021. "Testing for persistence in US mutual funds’ performance: a Bayesian dynamic panel model," Annals of Operations Research, Springer, vol. 299(1), pages 1203-1233, April.
    7. Christiansen, Charlotte & Grønborg, Niels S. & Nielsen, Ole L., 2020. "Mutual fund selection for realistically short samples," Journal of Empirical Finance, Elsevier, vol. 55(C), pages 218-240.
    8. Wolfgang Bessler & David Blake & Peter Lückoff & Ian Tonks, 2018. "Fund Flows, Manager Changes, and Performance Persistence [Does motivation matter when assessing trade performance? An analysis of mutual funds]," Review of Finance, European Finance Association, vol. 22(5), pages 1911-1947.
    9. Keith Cuthbertson & Dirk Nitzsche & Niall O’Sullivan, 2023. "UK mutual funds: performance persistence and portfolio size," Journal of Asset Management, Palgrave Macmillan, vol. 24(4), pages 284-298, July.
    10. Cheng, Tingting & Yan, Cheng & Yan, Yayi, 2021. "Improved inference for fund alphas using high-dimensional cross-sectional tests," Journal of Empirical Finance, Elsevier, vol. 61(C), pages 57-81.
    11. Imran Hussain Shah & Hans Matthias Wanovits & Richard Hatfield, 2021. "Uncovering investment management performance using SPIVA data," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 3676-3695, July.

  27. Hunt, Andrew & Blake, David, 2017. "Modelling Mortality For Pension Schemes," ASTIN Bulletin, Cambridge University Press, vol. 47(2), pages 601-629, May.

    Cited by:

    1. Blake, David & Cairns, Andrew J.G., 2021. "Longevity risk and capital markets: The 2019-20 update," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 395-439.
    2. Séverine Arnold & Anca Jijiie, 2020. "Retirement Ages by Socio-Economic Class," Risks, MDPI, vol. 8(4), pages 1-40, October.
    3. Massimiliano Menzietti & Maria Francesca Morabito & Manuela Stranges, 2019. "Mortality Projections for Small Populations: An Application to the Maltese Elderly," Risks, MDPI, vol. 7(2), pages 1-25, March.

  28. Joachim Inkmann & David Blake & Zhen Shi, 2017. "Managing Financially Distressed Pension Plans In The Interest Of Beneficiaries," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(2), pages 539-565, June.

    Cited by:

    1. Enrico Biffis & David Blake & Lorenzo Pitotti & Ariel Sun, 2016. "The Cost of Counterparty Risk and Collateralization in Longevity Swaps," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 83(2), pages 387-419, June.

  29. Andrew J. G. Cairns & David Blake & Kevin Dowd & Amy R. Kessler, 2016. "Phantoms never die: living with unreliable population data," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 179(4), pages 975-1005, October.

    Cited by:

    1. Fabrice Balland & Alexandre Boumezoued & Laurent Devineau & Marine Habart & Tom Popa, 2018. "Mortality data reliability in an internal model," Working Papers hal-01719216, HAL.
    2. Jose M. Pavía & Josep Lledó, 2022. "Estimation of the combined effects of ageing and seasonality on mortality risk: An application to Spain," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 185(2), pages 471-497, April.
    3. Liu, Yanxin & Li, Johnny Siu-Hang, 2018. "A strategy for hedging risks associated with period and cohort effects using q-forwards," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 267-285.
    4. Boumezoued, Alexandre & Elfassihi, Amal, 2021. "Mortality data correction in the absence of monthly fertility records," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 486-508.
    5. Fabrice Balland & Alexandre Boumezoued & Laurent Devineau & Marine Habart & Tom Popa, 2018. "Mortality data reliability in an internal model," Papers 1803.00464, arXiv.org.
    6. Søren Kjærgaard & Vladimir Canudas-Romo, 2017. "Potential support ratios: Cohort versus period perspectives," Population Studies, Taylor & Francis Journals, vol. 71(2), pages 171-186, May.
    7. Blake, David & Cairns, Andrew J.G., 2021. "Longevity risk and capital markets: The 2019-20 update," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 395-439.
    8. Paul Doukhan & Joseph Rynkiewicz & Yahia Salhi, 2021. "Optimal Neighborhood Selection for AR-ARCH Random Fields with Application to Mortality," Stats, MDPI, vol. 5(1), pages 1-26, December.
    9. Guibert, Quentin & Lopez, Olivier & Piette, Pierrick, 2019. "Forecasting mortality rate improvements with a high-dimensional VAR," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 255-272.
    10. Alexandre Boumezoued & Amal Elfassihi, 2020. "Mortality data correction in the absence of monthly fertility records," Working Papers hal-02634631, HAL.
    11. Andrew J.G. Cairns & Malene Kallestrup-Lamb & Carsten P.T. Rosenskjold & David Blake & Kevin Dowd, 2016. "Modelling Socio-Economic Differences in the Mortality of Danish Males Using a New Affluence Index," CREATES Research Papers 2016-14, Department of Economics and Business Economics, Aarhus University.
    12. Lledó, Josep & Pavía, Jose M. & Morillas-Jurado, Francisco G., 2019. "Incorporating big microdata in life table construction: A hypothesis-free estimator," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 138-150.

  30. Kevin Dowd & David Blake & Andrew J. G. Cairns, 2016. "The Myth of Methuselah and the Uncertainty of Death: The Mortality Fan Charts," Risks, MDPI, vol. 4(3), pages 1-7, July.

    Cited by:

    1. David Blake & Nicole El Karoui & Stéphane Loisel & Richard Macminn, 2018. "Longevity risk and capital markets: The 2015–16 update," Post-Print hal-01995778, HAL.
    2. Syed Tehseen Jawaid, Abdul Waheed, 2017. "Uncertainty and Risk Analysis of Pakistan's Regional Trade: Fan Chart Approach," Journal of Management Sciences, Geist Science, Iqra University, Faculty of Business Administration, vol. 4(1), pages 55-81, March.
    3. Kevin Dowd & David Blake, 2022. "Projecting Mortality Rates to Extreme Old Age with the CBDX Model," Forecasting, MDPI, vol. 4(1), pages 1-11, February.
    4. Luca Regis, 2017. "Special Issue “Actuarial and Financial Risks in Life Insurance, Pensions and Household Finance”," Risks, MDPI, vol. 5(4), pages 1-2, December.

  31. Enrico Biffis & David Blake & Lorenzo Pitotti & Ariel Sun, 2016. "The Cost of Counterparty Risk and Collateralization in Longevity Swaps," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 83(2), pages 387-419, June.
    See citations under working paper version above.
  32. Hunt, Andrew & Blake, David, 2015. "Modelling longevity bonds: Analysing the Swiss Re Kortis bond," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 12-29.

    Cited by:

    1. Edouard Debonneuil & Stéphane Loisel & Frédéric Planchet, 2015. "Do actuaries believe in longevity deceleration?," Working Papers hal-01219270, HAL.
    2. Liu, Yanxin & Li, Johnny Siu-Hang, 2016. "It’s all in the hidden states: A longevity hedging strategy with an explicit measure of population basis risk," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 301-319.
    3. David Blake, 2018. "Longevity: a new asset class," Journal of Asset Management, Palgrave Macmillan, vol. 19(5), pages 278-300, September.
    4. Hunt, Andrew & Blake, David, 2018. "Identifiability, cointegration and the gravity model," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 360-368.
    5. Bravo, Jorge M. & Nunes, João Pedro Vidal, 2021. "Pricing longevity derivatives via Fourier transforms," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 81-97.
    6. David Blake & Nicole El Karoui & Stéphane Loisel & Richard Macminn, 2018. "Longevity risk and capital markets: The 2015–16 update," Post-Print hal-01995778, HAL.
    7. David Blake & Marco Morales & Wenjun Zhu & Ken Seng Tan & Chou-Wen Wang, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 477-493, April.
    8. Raj Kumari Bahl & Sotirios Sabanis, 2016. "Model-Independent Price Bounds for Catastrophic Mortality Bonds," Papers 1607.07108, arXiv.org, revised Dec 2020.
    9. Broeders, Dirk & Mehlkopf, Roel & van Ool, Annick, 2021. "The economics of sharing macro-longevity risk," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 440-458.
    10. Wang, Pengjie & Pantelous, Athanasios A. & Vahid, Farshid, 2023. "Multi-population mortality projection: The augmented common factor model with structural breaks," International Journal of Forecasting, Elsevier, vol. 39(1), pages 450-469.
    11. Blake, David & Cairns, Andrew J.G., 2021. "Longevity risk and capital markets: The 2019-20 update," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 395-439.
    12. Schinzinger, Edo & Denuit, Michel M. & Christiansen, Marcus C., 2016. "A multivariate evolutionary credibility model for mortality improvement rates," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 70-81.
    13. Leung, Melvern & Fung, Man Chung & O’Hare, Colin, 2018. "A comparative study of pricing approaches for longevity instruments," Insurance: Mathematics and Economics, Elsevier, vol. 82(C), pages 95-116.
    14. Arnold, Séverine & Glushko, Viktoriya, 2021. "Cause-specific mortality rates: Common trends and differences," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 294-308.
    15. Hao, Xuemiao & Liang, Chunli & Wei, Linghua, 2017. "Evaluation of credit value adjustment in K-forward," Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 95-103.
    16. Fabrizio Culotta, 2021. "Life Expectancy Heterogeneity and Pension Fairness: An Italian North-South Divide," Risks, MDPI, vol. 9(3), pages 1-22, March.
    17. Hong Li & Yang Lu, 2016. "Coherent Forecasting Of Mortality Rates: A Sparse Vector-Autoregression Approach," Post-Print halshs-02418954, HAL.
    18. Jarner, Søren F. & Jallbjørn, Snorre, 2020. "Pitfalls and merits of cointegration-based mortality models," Insurance: Mathematics and Economics, Elsevier, vol. 90(C), pages 80-93.
    19. Bahl, Raj Kumari & Sabanis, Sotirios, 2021. "Model-independent price bounds for Catastrophic Mortality Bonds," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 276-291.
    20. Hanbali, Hamza & Dhaene, Jan & Linders, Daniël, 2022. "Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables," Insurance: Mathematics and Economics, Elsevier, vol. 107(C), pages 22-37.

  33. David Blake & Tom Boardman, 2014. "Spend More Today Safely: Using Behavioral Economics to Improve Retirement Expenditure Decisions With SPEEDOMETER Plans," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 17(1), pages 83-112, March.

    Cited by:

    1. Tomasz Jedynak, 2022. "Does the Formulation of the Decision Problem Affect Retirement?—Framing Effect and Planned Retirement Age," IJERPH, MDPI, vol. 19(4), pages 1-30, February.
    2. Barbara Chambers & Ruth Walker & Jun Feng & Yuanyuan Gu, 2021. "The silver tsunami: an enquiry into the financial needs, preferences and behaviours of retirees," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(1), pages 645-687, March.
    3. Y. Gómez & V. Martínez-Molés & J. Vila, 2016. "Spanish regulation for labeling of financial products: a behavioral-experimental analysis," Economia Politica: Journal of Analytical and Institutional Economics, Springer;Fondazione Edison, vol. 33(3), pages 355-378, December.

  34. Enrico Biffis & David Blake, 2014. "Keeping Some Skin in the Game: How to Start a Capital Market in Longevity Risk Transfers," North American Actuarial Journal, Taylor & Francis Journals, vol. 18(1), pages 14-21.
    See citations under working paper version above.
  35. Blake, David & Wright, Douglas & Zhang, Yumeng, 2014. "Age-dependent investing: Optimal funding and investment strategies in defined contribution pension plans when members are rational life cycle financial planners," Journal of Economic Dynamics and Control, Elsevier, vol. 38(C), pages 105-124.
    See citations under working paper version above.
  36. Blake, David & Caulfield, Tristan & Ioannidis, Christos & Tonks, Ian, 2014. "Improved inference in the evaluation of mutual fund performance using panel bootstrap methods," Journal of Econometrics, Elsevier, vol. 183(2), pages 202-210.

    Cited by:

    1. Emmanuel Mamatzakis & Mike G. Tsionas, 2021. "Testing for persistence in US mutual funds’ performance: a Bayesian dynamic panel model," Annals of Operations Research, Springer, vol. 299(1), pages 1203-1233, April.
    2. Jiti Gao & Bin Peng & Yayi Yan, 2023. "Higher-order Expansions and Inference for Panel Data Models," Monash Econometrics and Business Statistics Working Papers 15/23, Monash University, Department of Econometrics and Business Statistics.
    3. Christiansen, Charlotte & Grønborg, Niels S. & Nielsen, Ole L., 2020. "Mutual fund selection for realistically short samples," Journal of Empirical Finance, Elsevier, vol. 55(C), pages 218-240.
    4. Wolfgang Bessler & David Blake & Peter Lückoff & Ian Tonks, 2018. "Fund Flows, Manager Changes, and Performance Persistence [Does motivation matter when assessing trade performance? An analysis of mutual funds]," Review of Finance, European Finance Association, vol. 22(5), pages 1911-1947.
    5. Abramov, Alexander (Абрамов, Александр) & Akshentseva, Kseniya (Акшенцева, Ксения) & Radygin, Alexander (Радыгин, Александр), 2015. "The effectiveness of mutual funds: theoretical approaches and the experience of Russia [Эффективность Паевых Инвестиционных Фондов: Теоретические Подходы И Опыт России]," Ekonomicheskaya Politika / Economic Policy, Russian Presidential Academy of National Economy and Public Administration, vol. 4, pages 60-86.
    6. Artamonov, Nikita & Voronina, Anna & Emelyanov, Nikita & Kurbatskii, Aleksei, 2020. "Estimation of interest rates’ impact on mutual funds’ performance in the USA," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 58, pages 55-75.
    7. Cai, Biqing & Cheng, Tingting & Yan, Cheng, 2018. "Time-varying skills (versus luck) in U.S. active mutual funds and hedge funds," Journal of Empirical Finance, Elsevier, vol. 49(C), pages 81-106.
    8. Lazzarino, Marco & Berrill, Jenny & Šević, Aleksandar, 2022. "The importance of distinguishing between precious and industrial metals when investing in mining stocks," Resources Policy, Elsevier, vol. 78(C).
    9. Cheng, Tingting & Yan, Cheng & Yan, Yayi, 2021. "Improved inference for fund alphas using high-dimensional cross-sectional tests," Journal of Empirical Finance, Elsevier, vol. 61(C), pages 57-81.
    10. Emmanuel Mamatzakis & Mike Tsionas, 2018. "A Bayesian dynamic model to test persistence in funds' performance," Working Paper series 18-23, Rimini Centre for Economic Analysis.
    11. Jiti Gao & Bin Peng & Yayi Yan, 2022. "A Simple Bootstrap Method for Panel Data Inferences," Monash Econometrics and Business Statistics Working Papers 7/22, Monash University, Department of Econometrics and Business Statistics.
    12. Cheng, Tingting & Yan, Cheng, 2017. "Evaluating the size of the bootstrap method for fund performance evaluation," Economics Letters, Elsevier, vol. 156(C), pages 36-41.

  37. Andrew Hunt & David Blake, 2014. "A General Procedure for Constructing Mortality Models," North American Actuarial Journal, Taylor & Francis Journals, vol. 18(1), pages 116-138.

    Cited by:

    1. Graziani, Rebecca & NIGRI, ANDREA, 2023. "An Age–Period–Cohort Model in a Dirichlet Framework: A Coherent Causes of Death Estimation," SocArXiv 856yw, Center for Open Science.
    2. Chong It Tan & Jackie Li & Johnny Siu-Hang Li & Uditha Balasooriya, 2016. "Stochastic modelling of the hybrid survival curve," Journal of Population Research, Springer, vol. 33(4), pages 307-331, December.
    3. Karim Barigou & Stéphane Loisel & Yahia Salhi, 2020. "Parsimonious Predictive Mortality Modeling by Regularization and Cross-Validation with and without Covid-Type Effect," Risks, MDPI, vol. 9(1), pages 1-18, December.
    4. Gary Venter, 2018. "Regularized Age-Period-Cohort Modeling of Opioid Mortality Rates," Applied Economics and Finance, Redfame publishing, vol. 5(4), pages 12-23, July.
    5. David Blake & Nicole El Karoui & Stéphane Loisel & Richard Macminn, 2018. "Longevity risk and capital markets: The 2015–16 update," Post-Print hal-01995778, HAL.
    6. I. A. Lakman & R. A. Askarov & V. B. Prudnikov & Z. F. Askarova & V. M. Timiryanova, 2021. "Predicting Mortality by Causes in the Republic of Bashkortostan Using the Lee–Carter Model," Studies on Russian Economic Development, Springer, vol. 32(5), pages 536-548, September.
    7. Hunt, Andrew & Blake, David, 2015. "Modelling longevity bonds: Analysing the Swiss Re Kortis bond," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 12-29.
    8. Sergio Alvares Maffra & John Armstrong & Teemu Pennanen, 2020. "Stochastic modeling of assets and liabilities with mortality risk," Papers 2005.09974, arXiv.org.
    9. Doukhan, P. & Pommeret, D. & Rynkiewicz, J. & Salhi, Y., 2017. "A class of random field memory models for mortality forecasting," Insurance: Mathematics and Economics, Elsevier, vol. 77(C), pages 97-110.
    10. Salvatore Scognamiglio & Mario Marino, 2023. "Backtesting stochastic mortality models by prediction interval-based metrics," Quality & Quantity: International Journal of Methodology, Springer, vol. 57(4), pages 3825-3847, August.
    11. Blake, David & Cairns, Andrew J.G., 2021. "Longevity risk and capital markets: The 2019-20 update," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 395-439.
    12. Bravo, Jorge M. & Ayuso, Mercedes & Holzmann, Robert & Palmer, Edward, 2021. "Addressing the life expectancy gap in pension policy," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 200-221.
    13. Schinzinger, Edo & Denuit, Michel M. & Christiansen, Marcus C., 2016. "A multivariate evolutionary credibility model for mortality improvement rates," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 70-81.
    14. Carfora, M.F. & Cutillo, L. & Orlando, A., 2017. "A quantitative comparison of stochastic mortality models on Italian population data," Computational Statistics & Data Analysis, Elsevier, vol. 112(C), pages 198-214.
    15. Börger, Matthias & Schupp, Johannes, 2018. "Modeling trend processes in parametric mortality models," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 369-380.
    16. Ufuk Beyaztas & Hanlin Shang, 2022. "Machine-Learning-Based Functional Time Series Forecasting: Application to Age-Specific Mortality Rates," Forecasting, MDPI, vol. 4(1), pages 1-15, March.
    17. Guibert, Quentin & Lopez, Olivier & Piette, Pierrick, 2019. "Forecasting mortality rate improvements with a high-dimensional VAR," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 255-272.
    18. David Atance & Ana Debón & Eliseo Navarro, 2020. "A Comparison of Forecasting Mortality Models Using Resampling Methods," Mathematics, MDPI, vol. 8(9), pages 1-21, September.
    19. Li, Johnny Siu-Hang & Zhou, Rui & Hardy, Mary, 2015. "A step-by-step guide to building two-population stochastic mortality models," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 121-134.
    20. Kevin Dowd & David Blake, 2022. "Projecting Mortality Rates to Extreme Old Age with the CBDX Model," Forecasting, MDPI, vol. 4(1), pages 1-11, February.
    21. Marcin Bartkowiak, 2018. "Mortality modelling. Model specification and mortality forecast accuracy," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 51, pages 13-36.
    22. Andrew J.G. Cairns & Malene Kallestrup-Lamb & Carsten P.T. Rosenskjold & David Blake & Kevin Dowd, 2016. "Modelling Socio-Economic Differences in the Mortality of Danish Males Using a New Affluence Index," CREATES Research Papers 2016-14, Department of Economics and Business Economics, Aarhus University.
    23. Redondo Lourés, Cristian & Cairns, Andrew J.G., 2021. "Cause of death specific cohort effects in U.S. mortality," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 190-199.
    24. Ka Kin Lam & Bo Wang, 2021. "Robust Non-Parametric Mortality and Fertility Modelling and Forecasting: Gaussian Process Regression Approaches," Forecasting, MDPI, vol. 3(1), pages 1-21, March.

  38. David Blake & Tom Boardman & Andrew Cairns, 2014. "Sharing Longevity Risk: Why Governments Should Issue Longevity Bonds," North American Actuarial Journal, Taylor & Francis Journals, vol. 18(1), pages 258-277.
    See citations under working paper version above.
  39. Andrew J.G. Cairns & Kevin Dowd & David Blake & Guy D. Coughlan, 2014. "Longevity hedge effectiveness: a decomposition," Quantitative Finance, Taylor & Francis Journals, vol. 14(2), pages 217-235, February.
    See citations under working paper version above.
  40. Blake, David & Wright, Douglas & Zhang, Yumeng, 2013. "Target-driven investing: Optimal investment strategies in defined contribution pension plans under loss aversion," Journal of Economic Dynamics and Control, Elsevier, vol. 37(1), pages 195-209.
    See citations under working paper version above.
  41. David Blake & Alberto G. Rossi & Allan Timmermann & Ian Tonks & Russ Wermers, 2013. "Decentralized Investment Management: Evidence from the Pension Fund Industry," Journal of Finance, American Finance Association, vol. 68(3), pages 1133-1178, June.
    See citations under working paper version above.
  42. David Blake & Andrew Cairns & Guy Coughlan & Kevin Dowd & Richard MacMinn, 2013. "The New Life Market," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(3), pages 501-558, September.

    Cited by:

    1. Liu, Yanxin & Li, Johnny Siu-Hang, 2016. "It’s all in the hidden states: A longevity hedging strategy with an explicit measure of population basis risk," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 301-319.
    2. Carmelo Giaccotto & Joseph Golec & Bryan P. Schmutz, 2017. "Measuring the Performance of the Secondary Market for Life Insurance Policies," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(1), pages 127-151, March.
    3. Tan, Chong It & Li, Jackie & Li, Johnny Siu-Hang & Balasooriya, Uditha, 2014. "Parametric mortality indexes: From index construction to hedging strategies," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 285-299.
    4. David Blake & Nicole El Karoui & Stéphane Loisel & Richard Macminn, 2018. "Longevity risk and capital markets: The 2015–16 update," Post-Print hal-01995778, HAL.
    5. David Blake & Marco Morales & Wenjun Zhu & Ken Seng Tan & Chou-Wen Wang, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 477-493, April.
    6. Kallestrup-Lamb, Malene & Søgaard Laursen, Nicolai, 2024. "Longevity hedge effectiveness using socioeconomic indices," Insurance: Mathematics and Economics, Elsevier, vol. 114(C), pages 242-251.
    7. Enrico Biffis & David Blake & Lorenzo Pitotti & Ariel Sun, 2016. "The Cost of Counterparty Risk and Collateralization in Longevity Swaps," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 83(2), pages 387-419, June.
    8. Liu, Yanxin & Li, Johnny Siu-Hang, 2018. "A strategy for hedging risks associated with period and cohort effects using q-forwards," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 267-285.
    9. Raj Kumari Bahl & Sotirios Sabanis, 2016. "Model-Independent Price Bounds for Catastrophic Mortality Bonds," Papers 1607.07108, arXiv.org, revised Dec 2020.
    10. Tat Wing Wong & Mei Choi Chiu & Hoi Ying Wong, 2017. "Managing Mortality Risk With Longevity Bonds When Mortality Rates Are Cointegrated," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(3), pages 987-1023, September.
    11. Hunt, Andrew & Blake, David, 2015. "Modelling longevity bonds: Analysing the Swiss Re Kortis bond," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 12-29.
    12. Kwok, Kai Yin & Chiu, Mei Choi & Wong, Hoi Ying, 2016. "Demand for longevity securities under relative performance concerns: Stochastic differential games with cointegration," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 353-366.
    13. Hanbali, Hamza & Denuit, Michel & Dhaene, Jan & Trufin, Julien, 2019. "A dynamic equivalence principle for systematic longevity risk management," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 158-167.
    14. Blake, David & Cairns, Andrew J.G., 2021. "Longevity risk and capital markets: The 2019-20 update," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 395-439.
    15. Li, Johnny Siu-Hang & Liu, Yanxin & Chan, Wai-Sum, 2023. "Hedging longevity risk under non-Gaussian state-space stochastic mortality models: A mean-variance-skewness-kurtosis approach," Insurance: Mathematics and Economics, Elsevier, vol. 113(C), pages 96-121.
    16. Hao, Xuemiao & Liang, Chunli & Wei, Linghua, 2017. "Evaluation of credit value adjustment in K-forward," Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 95-103.
    17. Wang, Zihe & Li, Johnny Siu-Hang, 2016. "A DCC-GARCH multi-population mortality model and its applications to pricing catastrophic mortality bonds," Finance Research Letters, Elsevier, vol. 16(C), pages 103-111.
    18. Balter, Anne G. & Kallestrup-Lamb, Malene & Rangvid, Jesper, 2021. "Macro longevity risk and the choice between annuity products: Evidence from Denmark," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 355-362.
    19. Liu, Yanxin & Li, Johnny Siu-Hang, 2015. "The age pattern of transitory mortality jumps and its impact on the pricing of catastrophic mortality bonds," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 135-150.
    20. Franca Glenzer & Bertrand Achou, 2019. "Annuities, long-term care insurance, and insurer solvency," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 44(2), pages 252-276, April.
    21. Li, Hong & Tan, Ken Seng & Tuljapurkar, Shripad & Zhu, Wenjun, 2021. "Gompertz law revisited: Forecasting mortality with a multi-factor exponential model," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 268-281.
    22. Man Chung Fung & Katja Ignatieva & Michael Sherris, 2019. "Managing Systematic Mortality Risk in Life Annuities: An Application of Longevity Derivatives," Risks, MDPI, vol. 7(1), pages 1-25, January.
    23. Zhou, Rui & Li, Johnny Siu-Hang & Tan, Ken Seng, 2015. "Modeling longevity risk transfers as Nash bargaining problems: Methodology and insights," Economic Modelling, Elsevier, vol. 51(C), pages 460-472.
    24. Johnny Siu-Hang Li & Wai-Sum Chan & Rui Zhou, 2017. "Semicoherent Multipopulation Mortality Modeling: The Impact on Longevity Risk Securitization," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(3), pages 1025-1065, September.
    25. Bahl, Raj Kumari & Sabanis, Sotirios, 2021. "Model-independent price bounds for Catastrophic Mortality Bonds," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 276-291.
    26. Tan, Ken Seng & Weng, Chengguo & Zhang, Jinggong, 2022. "Optimal dynamic longevity hedge with basis risk," European Journal of Operational Research, Elsevier, vol. 297(1), pages 325-337.
    27. de Kort, J. & Vellekoop, M.H., 2017. "Existence of optimal consumption strategies in markets with longevity risk," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 107-121.
    28. Hanbali, Hamza & Dhaene, Jan & Linders, Daniël, 2022. "Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables," Insurance: Mathematics and Economics, Elsevier, vol. 107(C), pages 22-37.
    29. Man Chung Fung & Katja Ignatieva & Michael Sherris, 2015. "Managing Systematic Mortality Risk in Life Annuities: An Application of Longevity Derivatives," Papers 1508.00090, arXiv.org.

  43. Enrico Biffis & David Blake, 2013. "Informed Intermediation of Longevity Exposures," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(3), pages 559-584, September.

    Cited by:

    1. Jevtić, Petar & Regis, Luca, 2015. "Assessing the solvency of insurance portfolios via a continuous-time cohort model," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 36-47.
    2. Maik Dehnert, 2020. "Sustaining the current or pursuing the new: incumbent digital transformation strategies in the financial service industry," Business Research, Springer;German Academic Association for Business Research, vol. 13(3), pages 1071-1113, November.
    3. Chen, An & Li, Hong & Schultze, Mark B., 2023. "Optimal longevity risk transfer under asymmetric information," Economic Modelling, Elsevier, vol. 120(C).
    4. David Blake & Nicole El Karoui & Stéphane Loisel & Richard Macminn, 2018. "Longevity risk and capital markets: The 2015–16 update," Post-Print hal-01995778, HAL.
    5. Davide Benedetti & Enrico Biffis & Fotis Chatzimichalakis & Luciano Lilloy Fedele & Ian Simm, 2021. "Climate change investment risk: optimal portfolio construction ahead of the transition to a lower-carbon economy," Annals of Operations Research, Springer, vol. 299(1), pages 847-871, April.
    6. David Blake & Marco Morales & Wenjun Zhu & Ken Seng Tan & Chou-Wen Wang, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 477-493, April.
    7. Enrico Biffis & David Blake & Lorenzo Pitotti & Ariel Sun, 2016. "The Cost of Counterparty Risk and Collateralization in Longevity Swaps," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 83(2), pages 387-419, June.
    8. Tat Wing Wong & Mei Choi Chiu & Hoi Ying Wong, 2017. "Managing Mortality Risk With Longevity Bonds When Mortality Rates Are Cointegrated," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(3), pages 987-1023, September.
    9. Enrico Biffis & Erik Chavez, 2017. "Satellite Data and Machine Learning for Weather Risk Management and Food Security," Risk Analysis, John Wiley & Sons, vol. 37(8), pages 1508-1521, August.
    10. Blake, David & Cairns, Andrew J.G., 2021. "Longevity risk and capital markets: The 2019-20 update," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 395-439.
    11. Enrico Biffis & David Blake, 2014. "Keeping Some Skin in the Game: How to Start a Capital Market in Longevity Risk Transfers," North American Actuarial Journal, Taylor & Francis Journals, vol. 18(1), pages 14-21.

  44. David Blake & Richard MacMinn & Raimond Maurer, 2013. "Longevity Risk and Capital Markets: The 2011–2012 Update," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(3), pages 495-500, September.

    Cited by:

    1. David Blake & Marco Morales & Wenjun Zhu & Ken Seng Tan & Chou-Wen Wang, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 477-493, April.
    2. Evgenia Prokopjeva, 2015. "Life Insurance In Russia: Features Of Regional Development," Economy of region, Centre for Economic Security, Institute of Economics of Ural Branch of Russian Academy of Sciences, vol. 1(1), pages 223-233.
    3. Bahl, Raj Kumari & Sabanis, Sotirios, 2021. "Model-independent price bounds for Catastrophic Mortality Bonds," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 276-291.

  45. Cairns, Andrew J.G. & Blake, David & Dowd, Kevin & Coughlan, Guy D. & Khalaf-Allah, Marwa, 2011. "Bayesian Stochastic Mortality Modelling for Two Populations," ASTIN Bulletin, Cambridge University Press, vol. 41(1), pages 29-59, May.

    Cited by:

    1. Kung, Ko-Lun & MacMinn, Richard D. & Kuo, Weiyu & Tsai, Chenghsien Jason, 2022. "Multi-population mortality modeling: When the data is too much and not enough," Insurance: Mathematics and Economics, Elsevier, vol. 103(C), pages 41-55.
    2. Liu, Yanxin & Li, Johnny Siu-Hang, 2016. "It’s all in the hidden states: A longevity hedging strategy with an explicit measure of population basis risk," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 301-319.
    3. Bozikas, Apostolos & Pitselis, Georgios, 2020. "Incorporating crossed classification credibility into the Lee–Carter model for multi-population mortality data," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 353-368.
    4. Uditha Balasooriya & Johnny Siu-Hang Li & Jackie Li, 2020. "The Impact of Model Uncertainty on Index-Based Longevity Hedging and Measurement of Longevity Basis Risk," Risks, MDPI, vol. 8(3), pages 1-27, August.
    5. Ungolo, Francesco & Kleinow, Torsten & Macdonald, Angus S., 2020. "A hierarchical model for the joint mortality analysis of pension scheme data with missing covariates," Insurance: Mathematics and Economics, Elsevier, vol. 91(C), pages 68-84.
    6. Tan, Chong It & Li, Jackie & Li, Johnny Siu-Hang & Balasooriya, Uditha, 2014. "Parametric mortality indexes: From index construction to hedging strategies," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 285-299.
    7. Hunt, Andrew & Blake, David, 2018. "Identifiability, cointegration and the gravity model," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 360-368.
    8. Ahbab Mohammad Fazle Rabbi & Stefano Mazzuco, 2021. "Mortality Forecasting with the Lee–Carter Method: Adjusting for Smoothing and Lifespan Disparity," European Journal of Population, Springer;European Association for Population Studies, vol. 37(1), pages 97-120, March.
    9. Katrien Antonio & Anastasios Bardoutsos & Wilbert Ouburg, 2015. "Bayesian Poisson log-bilinear models for mortality projections with multiple populations," BAFFI CAREFIN Working Papers 1505, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    10. David Blake & Nicole El Karoui & Stéphane Loisel & Richard Macminn, 2018. "Longevity risk and capital markets: The 2015–16 update," Post-Print hal-01995778, HAL.
    11. Jose M. Pavía & Josep Lledó, 2022. "Estimation of the combined effects of ageing and seasonality on mortality risk: An application to Spain," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 185(2), pages 471-497, April.
    12. Ahcan, Ales & Medved, Darko & Olivieri, Annamaria & Pitacco, Ermanno, 2014. "Forecasting mortality for small populations by mixing mortality data," Insurance: Mathematics and Economics, Elsevier, vol. 54(C), pages 12-27.
    13. Coughlan, Guy & Khalaf-Allah, Marwa & Ye, Yijing & Kumar, Sumit & Cairns, Andrew & Blake, David & Dowd, Kevin, 2011. "Longevity hedging 101: A framework for longevity basis risk analysis and hedge effectiveness," MPRA Paper 35743, University Library of Munich, Germany.
    14. Selin Ozen & c{S}ule c{S}ahin, 2021. "A Two-Population Mortality Model to Assess Longevity Basis Risk," Papers 2101.06690, arXiv.org.
    15. Zhou, Hongjuan & Zhou, Kenneth Q. & Li, Xianping, 2022. "Stochastic mortality dynamics driven by mixed fractional Brownian motion," Insurance: Mathematics and Economics, Elsevier, vol. 106(C), pages 218-238.
    16. Selin Özen & Şule Şahin, 2021. "A Two-Population Mortality Model to Assess Longevity Basis Risk," Risks, MDPI, vol. 9(2), pages 1-19, February.
    17. Barigou, Karim & Goffard, Pierre-Olivier & Loisel, Stéphane & Salhi, Yahia, 2023. "Bayesian model averaging for mortality forecasting using leave-future-out validation," International Journal of Forecasting, Elsevier, vol. 39(2), pages 674-690.
    18. Hunt, Andrew & Blake, David, 2015. "Modelling longevity bonds: Analysing the Swiss Re Kortis bond," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 12-29.
    19. Rui Zhou & Guangyu Xing & Min Ji, 2019. "Changes of Relation in Multi-Population Mortality Dependence: An Application of Threshold VECM," Risks, MDPI, vol. 7(1), pages 1-18, February.
    20. Hung-Tsung Hsiao & Chou-Wen Wang & I.-Chien Liu & Ko-Lun Kung, 2024. "Mortality improvement neural-network models with autoregressive effects," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 49(2), pages 363-383, April.
    21. Jaap Spreeuw & Iqbal Owadally & Muhammad Kashif, 2022. "Projecting Mortality Rates Using a Markov Chain," Mathematics, MDPI, vol. 10(7), pages 1-18, April.
    22. Yahia Salhi & Stéphane Loisel, 2017. "Basis risk modelling: a co-integration based approach," Post-Print hal-00746859, HAL.
    23. Cairns, Andrew J.G., 2011. "Modelling and management of longevity risk: Approximations to survivor functions and dynamic hedging," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 438-453.
    24. Wan, Cheng & Bertschi, Ljudmila, 2015. "Swiss coherent mortality model as a basis for developing longevity de-risking solutions for Swiss pension funds: A practical approach," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 66-75.
    25. Wang, Pengjie & Pantelous, Athanasios A. & Vahid, Farshid, 2023. "Multi-population mortality projection: The augmented common factor model with structural breaks," International Journal of Forecasting, Elsevier, vol. 39(1), pages 450-469.
    26. Yang Qiao & Chou-Wen Wang & Wenjun Zhu, 2024. "Machine learning in long-term mortality forecasting," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 49(2), pages 340-362, April.
    27. Tsai, Cary Chi-Liang & Wu, Adelaide Di, 2020. "Incorporating hierarchical credibility theory into modelling of multi-country mortality rates," Insurance: Mathematics and Economics, Elsevier, vol. 91(C), pages 37-54.
    28. Li, Han & Chen, Hua, 2024. "Hierarchical mortality forecasting with EVT tails: An application to solvency capital requirement," International Journal of Forecasting, Elsevier, vol. 40(2), pages 549-563.
    29. Kung, Ko-Lun & Liu, I-Chien & Wang, Chou-Wen, 2021. "Modeling and pricing longevity derivatives using Skellam distribution," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 341-354.
    30. Christina Bohk-Ewald & Marcus Ebeling & Roland Rau, 2017. "Lifespan Disparity as an Additional Indicator for Evaluating Mortality Forecasts," Demography, Springer;Population Association of America (PAA), vol. 54(4), pages 1559-1577, August.
    31. James Risk & Michael Ludkovski, 2015. "Statistical Emulators for Pricing and Hedging Longevity Risk Products," Papers 1508.00310, arXiv.org, revised Sep 2015.
    32. Doukhan, P. & Pommeret, D. & Rynkiewicz, J. & Salhi, Y., 2017. "A class of random field memory models for mortality forecasting," Insurance: Mathematics and Economics, Elsevier, vol. 77(C), pages 97-110.
    33. Simon Schnürch & Torsten Kleinow & Ralf Korn, 2021. "Clustering-Based Extensions of the Common Age Effect Multi-Population Mortality Model," Risks, MDPI, vol. 9(3), pages 1-32, March.
    34. Chen, Hua & MacMinn, Richard & Sun, Tao, 2015. "Multi-population mortality models: A factor copula approach," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 135-146.
    35. Snorre Jallbjørn & Søren Fiig Jarner, 2022. "Sex Differential Dynamics in Coherent Mortality Models," Forecasting, MDPI, vol. 4(4), pages 1-26, September.
    36. Blake, David & Cairns, Andrew J.G., 2021. "Longevity risk and capital markets: The 2019-20 update," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 395-439.
    37. Bravo, Jorge M. & Ayuso, Mercedes & Holzmann, Robert & Palmer, Edward, 2021. "Addressing the life expectancy gap in pension policy," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 200-221.
    38. Li, Jackie & Haberman, Steven, 2015. "On the effectiveness of natural hedging for insurance companies and pension plans," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 286-297.
    39. Li, Han & O’Hare, Colin, 2017. "Semi-parametric extensions of the Cairns–Blake–Dowd model: A one-dimensional kernel smoothing approach," Insurance: Mathematics and Economics, Elsevier, vol. 77(C), pages 166-176.
    40. Leung, Melvern & Fung, Man Chung & O’Hare, Colin, 2018. "A comparative study of pricing approaches for longevity instruments," Insurance: Mathematics and Economics, Elsevier, vol. 82(C), pages 95-116.
    41. Hong Li & Yang Lu, 2018. "A Bayesian non-parametric model for small population mortality," Post-Print hal-02419000, HAL.
    42. Risk, J. & Ludkovski, M., 2016. "Statistical emulators for pricing and hedging longevity risk products," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 45-60.
    43. Guibert, Quentin & Lopez, Olivier & Piette, Pierrick, 2019. "Forecasting mortality rate improvements with a high-dimensional VAR," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 255-272.
    44. Feng, Lingbing & Shi, Yanlin & Chang, Le, 2021. "Forecasting mortality with a hyperbolic spatial temporal VAR model," International Journal of Forecasting, Elsevier, vol. 37(1), pages 255-273.
    45. Li, Hong & De Waegenaere, Anja & Melenberg, Bertrand, 2015. "The choice of sample size for mortality forecasting: A Bayesian learning approach," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 153-168.
    46. Hong Li & Yang Lu, 2016. "Coherent Forecasting Of Mortality Rates: A Sparse Vector-Autoregression Approach," Post-Print halshs-02418954, HAL.
    47. Liu, Yanxin & Li, Johnny Siu-Hang, 2015. "The age pattern of transitory mortality jumps and its impact on the pricing of catastrophic mortality bonds," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 135-150.
    48. Ekheden, Erland & Hössjer, Ola, 2015. "Multivariate time series modeling, estimation and prediction of mortalities," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 156-171.
    49. Jarner, Søren F. & Jallbjørn, Snorre, 2020. "Pitfalls and merits of cointegration-based mortality models," Insurance: Mathematics and Economics, Elsevier, vol. 90(C), pages 80-93.
    50. Li, Hong & Tan, Ken Seng & Tuljapurkar, Shripad & Zhu, Wenjun, 2021. "Gompertz law revisited: Forecasting mortality with a multi-factor exponential model," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 268-281.
    51. Man Chung Fung & Gareth W. Peters & Pavel V. Shevchenko, 2016. "A unified approach to mortality modelling using state-space framework: characterisation, identification, estimation and forecasting," Papers 1605.09484, arXiv.org.
    52. Shang, Han Lin & Haberman, Steven & Xu, Ruofan, 2022. "Multi-population modelling and forecasting life-table death counts," Insurance: Mathematics and Economics, Elsevier, vol. 106(C), pages 239-253.
    53. Jackie Li & Atsuyuki Kogure, 2021. "Bayesian Mixture Modelling for Mortality Projection," Risks, MDPI, vol. 9(4), pages 1-12, April.
    54. Zhou, Rui & Ji, Min, 2021. "Modelling mortality dependence: An application of dynamic vine copula," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 241-255.
    55. Minkun Kim & David Lindberg & Martin Crane & Marija Bezbradica, 2023. "Dirichlet Process Log Skew-Normal Mixture with a Missing-at-Random-Covariate in Insurance Claim Analysis," Econometrics, MDPI, vol. 11(4), pages 1-32, October.
    56. Ahmadi, Seyed Saeed & Li, Johnny Siu-Hang, 2014. "Coherent mortality forecasting with generalized linear models: A modified time-transformation approach," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 194-221.
    57. Tim J. Boonen & Hong Li, 2017. "Modeling and Forecasting Mortality With Economic Growth: A Multipopulation Approach," Demography, Springer;Population Association of America (PAA), vol. 54(5), pages 1921-1946, October.
    58. Zhou, Rui & Li, Johnny Siu-Hang & Tan, Ken Seng, 2015. "Modeling longevity risk transfers as Nash bargaining problems: Methodology and insights," Economic Modelling, Elsevier, vol. 51(C), pages 460-472.
    59. Cadena, Meitner & Denuit, Michel, 2016. "Semi-parametric accelerated hazard relational models with applications to mortality projections," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 1-16.
    60. Wang, Hsin-Chung & Yue, Ching-Syang Jack & Chong, Chen-Tai, 2018. "Mortality models and longevity risk for small populations," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 351-359.
    61. Kira Henshaw & Waleed Hana & Corina Constantinescu & Dalia Khalil, 2023. "Dependence Modelling of Lifetimes in Egyptian Families," Risks, MDPI, vol. 11(1), pages 1-25, January.
    62. Dowd, Kevin & Cairns, Andrew & Blake, David & Coughlan, Guy & Khalaf-Allah, Marwa, 2011. "A gravity model of mortality rates for two related populations," MPRA Paper 35738, University Library of Munich, Germany.
    63. Andrew J.G. Cairns & Malene Kallestrup-Lamb & Carsten P.T. Rosenskjold & David Blake & Kevin Dowd, 2016. "Modelling Socio-Economic Differences in the Mortality of Danish Males Using a New Affluence Index," CREATES Research Papers 2016-14, Department of Economics and Business Economics, Aarhus University.
    64. Redondo Lourés, Cristian & Cairns, Andrew J.G., 2021. "Cause of death specific cohort effects in U.S. mortality," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 190-199.
    65. de Jong, Piet & Tickle, Leonie & Xu, Jianhui, 2016. "Coherent modeling of male and female mortality using Lee–Carter in a complex number framework," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 130-137.
    66. Péter Vékás, 2020. "Rotation of the age pattern of mortality improvements in the European Union," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 28(3), pages 1031-1048, September.
    67. Lledó, Josep & Pavía, Jose M. & Morillas-Jurado, Francisco G., 2019. "Incorporating big microdata in life table construction: A hypothesis-free estimator," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 138-150.

  46. Guy Coughlan & Marwa Khalaf-Allah & Yijing Ye & Sumit Kumar & Andrew Cairns & David Blake & Kevin Dowd, 2011. "Longevity Hedging 101," North American Actuarial Journal, Taylor & Francis Journals, vol. 15(2), pages 150-176.

    Cited by:

    1. Edouard Debonneuil & Stéphane Loisel & Frédéric Planchet, 2015. "Do actuaries believe in longevity deceleration?," Working Papers hal-01219270, HAL.
    2. Liu, Yanxin & Li, Johnny Siu-Hang, 2016. "It’s all in the hidden states: A longevity hedging strategy with an explicit measure of population basis risk," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 301-319.
    3. Peter Jevtic & Luca Regis, 2016. "A continuous-time stochastic model for the mortality surface of multiple populations," Working Papers 03/2016, IMT School for Advanced Studies Lucca, revised Jul 2016.
    4. Uditha Balasooriya & Johnny Siu-Hang Li & Jackie Li, 2020. "The Impact of Model Uncertainty on Index-Based Longevity Hedging and Measurement of Longevity Basis Risk," Risks, MDPI, vol. 8(3), pages 1-27, August.
    5. Frank Bosserhoff & Mitja Stadje, 2019. "Mean-variance hedging of unit linked life insurance contracts in a jump-diffusion model," Papers 1908.05534, arXiv.org.
    6. Tan, Chong It & Li, Jackie & Li, Johnny Siu-Hang & Balasooriya, Uditha, 2014. "Parametric mortality indexes: From index construction to hedging strategies," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 285-299.
    7. Hunt, Andrew & Blake, David, 2018. "Identifiability, cointegration and the gravity model," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 360-368.
    8. Harry Bensusan & Nicole El Karoui & Stéphane Loisel & Yahia Salhi, 2016. "Partial Splitting of Longevity and Financial Risks: The Longevity Nominal Choosing Swaptions," Post-Print hal-00768526, HAL.
    9. Clemente De Rosa & Elisa Luciano & Luca Regis, 2017. "Basis risk in static versus dynamic longevity-risk hedging," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2017(4), pages 343-365, April.
    10. Danesi, Ivan Luciano & Haberman, Steven & Millossovich, Pietro, 2015. "Forecasting mortality in subpopulations using Lee–Carter type models: A comparison," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 151-161.
    11. Alvarez, Jesús-Adrián & Kallestrup-Lamb, Malene & Kjærgaard, Søren, 2021. "Linking retirement age to life expectancy does not lessen the demographic implications of unequal lifespans," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 363-375.
    12. Rihab Bedoui & Islem Kedidi, 2018. "Modeling Longevity Risk using Consistent Dynamics Affine Mortality Models," Working Papers hal-01678050, HAL.
    13. Bosserhoff, Frank & Stadje, Mitja, 2021. "Time-consistent mean-variance investment with unit linked life insurance contracts in a jump-diffusion setting," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 130-146.
    14. David Blake & Nicole El Karoui & Stéphane Loisel & Richard Macminn, 2018. "Longevity risk and capital markets: The 2015–16 update," Post-Print hal-01995778, HAL.
    15. Schmeck, Maren Diane & Schmidli, Hanspeter, 2021. "Mortality options: The point of view of an insurer," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 98-115.
    16. Malene Kallestrup-Lamb & Søren Kjærgaard & Carsten P. T. Rosenskjold, 2019. "Insight into Stagnating Life Expectancy: Analysing Cause of Death Patterns across Socio-economic Groups," CREATES Research Papers 2019-20, Department of Economics and Business Economics, Aarhus University.
    17. Selin Ozen & c{S}ule c{S}ahin, 2021. "A Two-Population Mortality Model to Assess Longevity Basis Risk," Papers 2101.06690, arXiv.org.
    18. Enrico Biffis & David Blake & Lorenzo Pitotti & Ariel Sun, 2016. "The Cost of Counterparty Risk and Collateralization in Longevity Swaps," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 83(2), pages 387-419, June.
    19. McCarthy, David G. & Wang, Po-Lin, 2021. "Pooling mortality risk in Eurozone state pension liabilities: An application of a Bayesian coherent multi-population cohort-based mortality model," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 459-485.
    20. Liu, Yanxin & Li, Johnny Siu-Hang, 2018. "A strategy for hedging risks associated with period and cohort effects using q-forwards," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 267-285.
    21. Ankush Agarwal & Christian-Oliver Ewald & Yongjie Wang, 2020. "Sharing of longevity basis risk in pension schemes with income-drawdown guarantees," Working Papers 2020_18, Business School - Economics, University of Glasgow.
    22. Selin Özen & Şule Şahin, 2021. "A Two-Population Mortality Model to Assess Longevity Basis Risk," Risks, MDPI, vol. 9(2), pages 1-19, February.
    23. Lin, Tzuling & Tsai, Cary Chi-Liang, 2013. "On the mortality/longevity risk hedging with mortality immunization," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 580-596.
    24. Malene Kallestrup‐Lamb & Søren Kjærgaard & Carsten P. T. Rosenskjold, 2020. "Insight into stagnating adult life expectancy: Analyzing cause of death patterns across socioeconomic groups," Health Economics, John Wiley & Sons, Ltd., vol. 29(12), pages 1728-1743, December.
    25. Fadoua Zeddouk & Pierre Devolder, 2020. "Longevity Modelling and Pricing under a Dependent Multi-Cohort Framework," Risks, MDPI, vol. 8(4), pages 1-23, November.
    26. Zhang, Jingong & Tan, Ken Seng & Weng, Chengguo, 2017. "Optimal hedging with basis risk under mean–variance criterion," Insurance: Mathematics and Economics, Elsevier, vol. 75(C), pages 1-15.
    27. James Risk & Michael Ludkovski, 2015. "Statistical Emulators for Pricing and Hedging Longevity Risk Products," Papers 1508.00310, arXiv.org, revised Sep 2015.
    28. Blake, David & Cairns, Andrew J.G., 2021. "Longevity risk and capital markets: The 2019-20 update," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 395-439.
    29. Li, Jackie & Haberman, Steven, 2015. "On the effectiveness of natural hedging for insurance companies and pension plans," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 286-297.
    30. Blake, David & Courbage, Christophe & MacMinn, Richard & Sherris, Michael, 2011. "Longevity risks and capital markets: The 2010-2011 update," MPRA Paper 34279, University Library of Munich, Germany.
    31. Enrico Biffis & David Blake, 2014. "Keeping Some Skin in the Game: How to Start a Capital Market in Longevity Risk Transfers," North American Actuarial Journal, Taylor & Francis Journals, vol. 18(1), pages 14-21.
    32. Risk, J. & Ludkovski, M., 2016. "Statistical emulators for pricing and hedging longevity risk products," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 45-60.
    33. Jesús-Adrián Álvarez & Malene Kallestrup-Lamb & Søren Kjærgaard, 2020. "Linking retirement age to life expectancy does not lessen the demographic implications of unequal lifespans," CREATES Research Papers 2020-17, Department of Economics and Business Economics, Aarhus University.
    34. Yang Chang & Michael Sherris, 2018. "Longevity Risk Management and the Development of a Value-Based Longevity Index," Risks, MDPI, vol. 6(1), pages 1-20, February.
    35. Wong, Tat Wing & Chiu, Mei Choi & Wong, Hoi Ying, 2014. "Time-consistent mean–variance hedging of longevity risk: Effect of cointegration," Insurance: Mathematics and Economics, Elsevier, vol. 56(C), pages 56-67.
    36. Börger, Matthias & Freimann, Arne & Ruß, Jochen, 2021. "A combined analysis of hedge effectiveness and capital efficiency in longevity hedging," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 309-326.
    37. Wang, Chou-Wen & Yang, Sharon S. & Huang, Hong-Chih, 2015. "Modeling multi-country mortality dependence and its application in pricing survivor index swaps—A dynamic copula approach," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 30-39.
    38. Blake, David, 2009. "NDC v FDC: Pros, cons and replication," MPRA Paper 33752, University Library of Munich, Germany.
    39. Li, Johnny Siu-Hang & Liu, Yanxin, 2021. "Recent declines in life expectancy: Implication on longevity risk hedging," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 376-394.
    40. Zhou, Rui & Li, Johnny Siu-Hang & Tan, Ken Seng, 2015. "Modeling longevity risk transfers as Nash bargaining problems: Methodology and insights," Economic Modelling, Elsevier, vol. 51(C), pages 460-472.
    41. Zhou, Kenneth Q. & Li, Johnny Siu-Hang, 2019. "Delta-hedging longevity risk under the M7–M5 model: The impact of cohort effect uncertainty and population basis risk," Insurance: Mathematics and Economics, Elsevier, vol. 84(C), pages 1-21.
    42. Tan, Ken Seng & Weng, Chengguo & Zhang, Jinggong, 2022. "Optimal dynamic longevity hedge with basis risk," European Journal of Operational Research, Elsevier, vol. 297(1), pages 325-337.
    43. Dowd, Kevin & Cairns, Andrew & Blake, David & Coughlan, Guy & Khalaf-Allah, Marwa, 2011. "A gravity model of mortality rates for two related populations," MPRA Paper 35738, University Library of Munich, Germany.
    44. Andrew J.G. Cairns & Malene Kallestrup-Lamb & Carsten P.T. Rosenskjold & David Blake & Kevin Dowd, 2016. "Modelling Socio-Economic Differences in the Mortality of Danish Males Using a New Affluence Index," CREATES Research Papers 2016-14, Department of Economics and Business Economics, Aarhus University.
    45. Andrew J.G. Cairns & Kevin Dowd & David Blake & Guy D. Coughlan, 2014. "Longevity hedge effectiveness: a decomposition," Quantitative Finance, Taylor & Francis Journals, vol. 14(2), pages 217-235, February.

  47. Kevin Dowd & David Blake & Andrew Cairns, 2011. "A Computationally Efficient Algorithm for Estimating the Distribution of Future Annuity Values Under Interest-Rate and Longevity Risks," North American Actuarial Journal, Taylor & Francis Journals, vol. 15(2), pages 237-247.

    Cited by:

    1. David Blake & Nicole El Karoui & Stéphane Loisel & Richard Macminn, 2018. "Longevity risk and capital markets: The 2015–16 update," Post-Print hal-01995778, HAL.
    2. Andreas Niemeyer, 2015. "Safety Margins for Systematic Biometric and Financial Risk in a Semi-Markov Life Insurance Framework," Risks, MDPI, vol. 3(1), pages 1-26, January.
    3. Srichander Ramaswamy, 2012. "The sustainability of pension schemes," BIS Working Papers 368, Bank for International Settlements.
    4. Blake, David & Cairns, Andrew J.G., 2021. "Longevity risk and capital markets: The 2019-20 update," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 395-439.
    5. Blake, David & Courbage, Christophe & MacMinn, Richard & Sherris, Michael, 2011. "Longevity risks and capital markets: The 2010-2011 update," MPRA Paper 34279, University Library of Munich, Germany.
    6. Feng, Ben Mingbin & Li, Johnny Siu-Hang & Zhou, Kenneth Q., 2022. "Green nested simulation via likelihood ratio: Applications to longevity risk management," Insurance: Mathematics and Economics, Elsevier, vol. 106(C), pages 285-301.

  48. David Blake & Christophe Courbage & Richard MacMinn & Michael Sherris, 2011. "Longevity Risk and Capital Markets: The 2010–2011 Update," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 36(4), pages 489-500, October.
    See citations under working paper version above.
  49. Kevin Dowd & Andrew Cairns & David Blake & Guy Coughlan & Marwa Khalaf-Allah, 2011. "A Gravity Model of Mortality Rates for Two Related Populations," North American Actuarial Journal, Taylor & Francis Journals, vol. 15(2), pages 334-356.
    See citations under working paper version above.
  50. Cairns, Andrew J.G. & Blake, David & Dowd, Kevin & Coughlan, Guy D. & Epstein, David & Khalaf-Allah, Marwa, 2011. "Mortality density forecasts: An analysis of six stochastic mortality models," Insurance: Mathematics and Economics, Elsevier, vol. 48(3), pages 355-367, May.

    Cited by:

    1. Rob Hyndman & Heather Booth & Farah Yasmeen, 2013. "Coherent Mortality Forecasting: The Product-Ratio Method With Functional Time Series Models," Demography, Springer;Population Association of America (PAA), vol. 50(1), pages 261-283, February.
    2. Edouard Debonneuil & Stéphane Loisel & Frédéric Planchet, 2015. "Do actuaries believe in longevity deceleration?," Working Papers hal-01219270, HAL.
    3. David Blake & Andrew Cairns & Guy Coughlan & Kevin Dowd & Richard MacMinn, 2013. "The New Life Market," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(3), pages 501-558, September.
    4. David McCarthy, 2021. "80 will be the new 70: Old‐age mortality postponement in the United States and its likely effect on the finances of the OASI program," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 88(2), pages 381-412, June.
    5. Huaxiong Huang & Moshe A. Milevsky & Thomas S. Salisbury, 2018. "Retirement spending and biological age," Papers 1811.09921, arXiv.org.
    6. Chong It Tan & Jackie Li & Johnny Siu-Hang Li & Uditha Balasooriya, 2016. "Stochastic modelling of the hybrid survival curve," Journal of Population Research, Springer, vol. 33(4), pages 307-331, December.
    7. Karim Barigou & Stéphane Loisel & Yahia Salhi, 2020. "Parsimonious Predictive Mortality Modeling by Regularization and Cross-Validation with and without Covid-Type Effect," Risks, MDPI, vol. 9(1), pages 1-18, December.
    8. Cannon, Edmund & Tonks, Ian, 2016. "Cohort mortality risk or adverse selection in annuity markets?," Journal of Public Economics, Elsevier, vol. 141(C), pages 68-81.
    9. de Jong, Piet & Tickle, Leonie & Xu, Jianhui, 2020. "A more meaningful parameterization of the Lee–Carter model," Insurance: Mathematics and Economics, Elsevier, vol. 94(C), pages 1-8.
    10. Carlo Favero & Marco Giacoletti, 2011. "Progress in Medicine, Limits to Life and Forecasting Mortality," Working Papers 406, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    11. Michael Ludkovski & James Risk, 2017. "Sequential Design and Spatial Modeling for Portfolio Tail Risk Measurement," Papers 1710.05204, arXiv.org, revised May 2018.
    12. Tan, Chong It & Li, Jackie & Li, Johnny Siu-Hang & Balasooriya, Uditha, 2014. "Parametric mortality indexes: From index construction to hedging strategies," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 285-299.
    13. Fanny Janssen & Leo Wissen & Anton Kunst, 2013. "Including the Smoking Epidemic in Internationally Coherent Mortality Projections," Demography, Springer;Population Association of America (PAA), vol. 50(4), pages 1341-1362, August.
    14. O'Hare, Colin & Li, Youwei, 2016. "Modelling mortality: Are we heading in the right direction?," MPRA Paper 71392, University Library of Munich, Germany.
    15. David Atance & Alejandro Balbás & Eliseo Navarro, 2020. "Constructing dynamic life tables with a single-factor model," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 43(2), pages 787-825, December.
    16. David Blake & Nicole El Karoui & Stéphane Loisel & Richard Macminn, 2018. "Longevity risk and capital markets: The 2015–16 update," Post-Print hal-01995778, HAL.
    17. Leng, Xuan & Peng, Liang, 2016. "Inference pitfalls in Lee–Carter model for forecasting mortality," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 58-65.
    18. David Blake & Marco Morales & Wenjun Zhu & Ken Seng Tan & Chou-Wen Wang, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 477-493, April.
    19. Han Li & Colin O’Hare, 2019. "Mortality Forecasting: How Far Back Should We Look in Time?," Risks, MDPI, vol. 7(1), pages 1-15, February.
    20. Enrico Biffis & David Blake & Lorenzo Pitotti & Ariel Sun, 2016. "The Cost of Counterparty Risk and Collateralization in Longevity Swaps," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 83(2), pages 387-419, June.
    21. Liu, Yanxin & Li, Johnny Siu-Hang, 2018. "A strategy for hedging risks associated with period and cohort effects using q-forwards," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 267-285.
    22. Basellini, Ugofilippo & Camarda, Carlo Giovanni & Booth, Heather, 2022. "Thirty years on: A review of the Lee-Carter method for forecasting mortality," SocArXiv 8u34d, Center for Open Science.
    23. Edouard Debonneuil, 2010. "A simple model of mortality trends aiming at universality: Lee Carter + Cohort," Papers 1003.1802, arXiv.org.
    24. Broeders, Dirk & Mehlkopf, Roel & van Ool, Annick, 2021. "The economics of sharing macro-longevity risk," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 440-458.
    25. Barigou, Karim & Goffard, Pierre-Olivier & Loisel, Stéphane & Salhi, Yahia, 2023. "Bayesian model averaging for mortality forecasting using leave-future-out validation," International Journal of Forecasting, Elsevier, vol. 39(2), pages 674-690.
    26. Hunt, Andrew & Villegas, Andrés M., 2015. "Robustness and convergence in the Lee–Carter model with cohort effects," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 186-202.
    27. Hunt, Andrew & Blake, David, 2015. "Modelling longevity bonds: Analysing the Swiss Re Kortis bond," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 12-29.
    28. Apostolos Bozikas & Georgios Pitselis, 2018. "An Empirical Study on Stochastic Mortality Modelling under the Age-Period-Cohort Framework: The Case of Greece with Applications to Insurance Pricing," Risks, MDPI, vol. 6(2), pages 1-34, April.
    29. Anja De Waegenaere & Bertrand Melenberg & Ralph Stevens, 2010. "Longevity Risk," De Economist, Springer, vol. 158(2), pages 151-192, June.
    30. Colin O’hare & Youwei Li, 2017. "Models of mortality rates – analysing the residuals," Applied Economics, Taylor & Francis Journals, vol. 49(52), pages 5309-5323, November.
    31. Rui Zhou & Johnny Siu-Hang Li & Ken Seng Tan, 2013. "Pricing Standardized Mortality Securitizations: A Two-Population Model With Transitory Jump Effects," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(3), pages 733-774, September.
    32. Jaap Spreeuw & Iqbal Owadally & Muhammad Kashif, 2022. "Projecting Mortality Rates Using a Markov Chain," Mathematics, MDPI, vol. 10(7), pages 1-18, April.
    33. Wolfgang Reichmuth & Samad Sarferaz, 2008. "Bayesian Demographic Modeling and Forecasting: An Application to U.S. Mortality," SFB 649 Discussion Papers SFB649DP2008-052, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    34. Wan, Cheng & Bertschi, Ljudmila, 2015. "Swiss coherent mortality model as a basis for developing longevity de-risking solutions for Swiss pension funds: A practical approach," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 66-75.
    35. Sergio Alvares Maffra & John Armstrong & Teemu Pennanen, 2020. "Stochastic modeling of assets and liabilities with mortality risk," Papers 2005.09974, arXiv.org.
    36. Flici, Farrid, 2016. "Projection des taux de mortalité par âges pour la population algérienne [Forecasting The Age Specific Mortality Rates For The Algerian Population]," MPRA Paper 98784, University Library of Munich, Germany, revised Dec 2016.
    37. Shang, Han Lin & Smith, Peter W.F. & Bijak, Jakub & Wiśniowski, Arkadiusz, 2016. "A multilevel functional data method for forecasting population, with an application to the United Kingdom," International Journal of Forecasting, Elsevier, vol. 32(3), pages 629-649.
    38. Buckner, Dean & Dowd, Kevin, 2018. "Equity Release: Another Equitable in the Making," Studies in Applied Economics 129, The Johns Hopkins Institute for Applied Economics, Global Health, and the Study of Business Enterprise.
    39. Christina Bohk-Ewald & Marcus Ebeling & Roland Rau, 2017. "Lifespan Disparity as an Additional Indicator for Evaluating Mortality Forecasts," Demography, Springer;Population Association of America (PAA), vol. 54(4), pages 1559-1577, August.
    40. Joab Odhiambo & Patrick Weke & Philip Ngare, 2021. "A Deep Learning Integrated Cairns-Blake-Dowd (CBD) Sytematic Mortality Risk Model," JRFM, MDPI, vol. 14(6), pages 1-12, June.
    41. James Risk & Michael Ludkovski, 2015. "Statistical Emulators for Pricing and Hedging Longevity Risk Products," Papers 1508.00310, arXiv.org, revised Sep 2015.
    42. O'Hare, Colin & Li, Youwei, 2014. "Identifying structural breaks in stochastic mortality models," MPRA Paper 62994, University Library of Munich, Germany.
    43. Salvatore Scognamiglio & Mario Marino, 2023. "Backtesting stochastic mortality models by prediction interval-based metrics," Quality & Quantity: International Journal of Methodology, Springer, vol. 57(4), pages 3825-3847, August.
    44. Blake, David & Cairns, Andrew J.G., 2021. "Longevity risk and capital markets: The 2019-20 update," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 395-439.
    45. FLICI, Farid, 2016. "The future of longevity and life annuities pricing in Algeria: comparison of mortality models," SocArXiv 2tdgm, Center for Open Science.
    46. Bruszas, Sandy & Kaschützke, Barbara & Maurer, Raimond & Siegelin, Ivonne, 2018. "Unisex pricing of German participating life annuities—Boon or bane for customer and insurance company?," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 230-245.
    47. Li, Han & O’Hare, Colin, 2017. "Semi-parametric extensions of the Cairns–Blake–Dowd model: A one-dimensional kernel smoothing approach," Insurance: Mathematics and Economics, Elsevier, vol. 77(C), pages 166-176.
    48. Yang, Bowen & Li, Jackie & Balasooriya, Uditha, 2015. "Using bootstrapping to incorporate model error for risk-neutral pricing of longevity risk," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 16-27.
    49. Søren Kjærgaard & Yunus Emre Ergemen & Marie-Pier Bergeron Boucher & Jim Oeppen & Malene Kallestrup-Lamb, 2019. "Longevity forecasting by socio-economic groups using compositional data analysis," CREATES Research Papers 2019-08, Department of Economics and Business Economics, Aarhus University.
    50. Blake, David & Courbage, Christophe & MacMinn, Richard & Sherris, Michael, 2011. "Longevity risks and capital markets: The 2010-2011 update," MPRA Paper 34279, University Library of Munich, Germany.
    51. Hong Li & Yang Lu, 2018. "A Bayesian non-parametric model for small population mortality," Post-Print hal-02419000, HAL.
    52. Carfora, M.F. & Cutillo, L. & Orlando, A., 2017. "A quantitative comparison of stochastic mortality models on Italian population data," Computational Statistics & Data Analysis, Elsevier, vol. 112(C), pages 198-214.
    53. Risk, J. & Ludkovski, M., 2016. "Statistical emulators for pricing and hedging longevity risk products," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 45-60.
    54. Cuixia Liu & Yanlin Shi, 2023. "Extensions of the Lee–Carter model to project the data‐driven rotation of age‐specific mortality decline and forecast coherent mortality rates," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(4), pages 813-834, July.
    55. Mitchell, Daniel & Brockett, Patrick & Mendoza-Arriaga, Rafael & Muthuraman, Kumar, 2013. "Modeling and forecasting mortality rates," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 275-285.
    56. Lydia Dutton & Athanasios A. Pantelous & Malgorzata Seklecka, 2020. "The impact of economic growth in mortality modelling for selected OECD countries," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(3), pages 533-550, April.
    57. Norkhairunnisa Redzwan & Rozita Ramli, 2022. "A Bibliometric Analysis of Research on Stochastic Mortality Modelling and Forecasting," Risks, MDPI, vol. 10(10), pages 1-17, October.
    58. Hao, Xuemiao & Liang, Chunli & Wei, Linghua, 2017. "Evaluation of credit value adjustment in K-forward," Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 95-103.
    59. Blake, David & Brockett, Patrick & Cox, Samuel & MacMinn, Richard, 2011. "Longevity risk and capital markets: The 2009-2010 update," MPRA Paper 28868, University Library of Munich, Germany.
    60. Boonen, Tim J. & De Waegenaere, Anja & Norde, Henk, 2017. "Redistribution of longevity risk: The effect of heterogeneous mortality beliefs," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 175-188.
    61. Goecke, Oskar, 2015. "Asset Liability-Management in einem selbstfinanzierenden Pensionsfonds," Forschung am ivwKöln 9/2015, Technische Hochschule Köln – University of Applied Sciences, Institute for Insurance Studies.
    62. Dowd, Kevin & Buckner, Dean & Blake, David & Fry, John, 2019. "The valuation of no-negative equity guarantees and equity release mortgages," Economics Letters, Elsevier, vol. 184(C).
    63. Li, Hong & De Waegenaere, Anja & Melenberg, Bertrand, 2015. "The choice of sample size for mortality forecasting: A Bayesian learning approach," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 153-168.
    64. Li, Han & Liu, Haibo & Tang, Qihe & Yuan, Zhongyi, 2023. "Pricing extreme mortality risk in the wake of the COVID-19 pandemic," Insurance: Mathematics and Economics, Elsevier, vol. 108(C), pages 84-106.
    65. Kyle J. Foreman & Guangquan Li & Nicky Best & Majid Ezzati, 2017. "Small area forecasts of cause-specific mortality: application of a Bayesian hierarchical model to US vital registration data," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 66(1), pages 121-139, January.
    66. Basellini, Ugofilippo & Camarda, Carlo Giovanni & Booth, Heather, 2023. "Thirty years on: A review of the Lee–Carter method for forecasting mortality," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1033-1049.
    67. Francesco Billari & Rebecca Graziani & Eugenio Melilli, 2014. "Stochastic Population Forecasting Based on Combinations of Expert Evaluations Within the Bayesian Paradigm," Demography, Springer;Population Association of America (PAA), vol. 51(5), pages 1933-1954, October.
    68. Claus Baumgart & Johannes Krebs & Robert Lempertseder & Oliver Pfaffel, 2019. "Quantifying Life Insurance Risk using Least-Squares Monte Carlo," Papers 1910.03951, arXiv.org.
    69. Alexandros E. Milionis & Nikolaos G. Galanopoulos & Peter Hatzopoulos & Aliki Sagianou, 2022. "Forecasting actuarial time series: a practical study of the effect of statistical pre-adjustments," Working Papers 297, Bank of Greece.
    70. Li, Hong & Tan, Ken Seng & Tuljapurkar, Shripad & Zhu, Wenjun, 2021. "Gompertz law revisited: Forecasting mortality with a multi-factor exponential model," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 268-281.
    71. Helena Chuliá & Montserrat Guillén & Jorge M. Uribe, 2015. "Mortality and Longevity Risks in the United Kingdom: Dynamic Factor Models and Copula-Functions," Working Papers 2015-03, Universitat de Barcelona, UB Riskcenter.
    72. Li, Hong & Shi, Yanlin, 2021. "Forecasting mortality with international linkages: A global vector-autoregression approach," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 59-75.
    73. Li, Johnny Siu-Hang & Zhou, Rui & Hardy, Mary, 2015. "A step-by-step guide to building two-population stochastic mortality models," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 121-134.
    74. Hainaut, Donatien, 2022. "A calendar year mortality model in continuous time," LIDAM Discussion Papers ISBA 2022019, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    75. Li, Johnny Siu-Hang & Liu, Yanxin, 2021. "Recent declines in life expectancy: Implication on longevity risk hedging," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 376-394.
    76. Ahmadi, Seyed Saeed & Li, Johnny Siu-Hang, 2014. "Coherent mortality forecasting with generalized linear models: A modified time-transformation approach," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 194-221.
    77. Tim J. Boonen & Hong Li, 2017. "Modeling and Forecasting Mortality With Economic Growth: A Multipopulation Approach," Demography, Springer;Population Association of America (PAA), vol. 54(5), pages 1921-1946, October.
    78. S⊘ren Kjærgaard & Yunus Emre Ergemen & Marie‐Pier Bergeron‐Boucher & Jim Oeppen & Malene Kallestrup‐Lamb, 2020. "Longevity forecasting by socio‐economic groups using compositional data analysis," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 183(3), pages 1167-1187, June.
    79. O’Hare, Colin & Li, Youwei, 2012. "Explaining young mortality," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 12-25.
    80. Dowd, Kevin & Cairns, Andrew & Blake, David & Coughlan, Guy & Khalaf-Allah, Marwa, 2011. "A gravity model of mortality rates for two related populations," MPRA Paper 35738, University Library of Munich, Germany.
    81. de Jong, Piet & Tickle, Leonie & Xu, Jianhui, 2016. "Coherent modeling of male and female mortality using Lee–Carter in a complex number framework," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 130-137.
    82. Andrew J.G. Cairns & Kevin Dowd & David Blake & Guy D. Coughlan, 2014. "Longevity hedge effectiveness: a decomposition," Quantitative Finance, Taylor & Francis Journals, vol. 14(2), pages 217-235, February.
    83. Ana Debón & Steven Haberman & Francisco Montes & Edoardo Otranto, 2021. "Do Different Models Induce Changes in Mortality Indicators? That Is a Key Question for Extending the Lee-Carter Model," IJERPH, MDPI, vol. 18(4), pages 1-16, February.
    84. Liang, Zongxia & Sheng, Wenlong, 2016. "Valuing inflation-linked death benefits under a stochastic volatility framework," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 45-58.

  51. Paul Dawson & Kevin Dowd & Andrew J. G. Cairns & David Blake, 2010. "Survivor Derivatives: A Consistent Pricing Framework," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 77(3), pages 579-596, September.

    Cited by:

    1. Bravo, Jorge Miguel & El Mekkaoui de Freitas, Najat, 2018. "Valuation of longevity-linked life annuities," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 212-229.
    2. David Blake & Andrew Cairns & Guy Coughlan & Kevin Dowd & Richard MacMinn, 2013. "The New Life Market," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(3), pages 501-558, September.
    3. Yang, Sharon S. & Wang, Chou-Wen, 2013. "Pricing and securitization of multi-country longevity risk with mortality dependence," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 157-169.
    4. Bravo, Jorge M. & Nunes, João Pedro Vidal, 2021. "Pricing longevity derivatives via Fourier transforms," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 81-97.
    5. Chen, An & Li, Hong & Schultze, Mark B., 2023. "Optimal longevity risk transfer under asymmetric information," Economic Modelling, Elsevier, vol. 120(C).
    6. David Blake & Nicole El Karoui & Stéphane Loisel & Richard Macminn, 2018. "Longevity risk and capital markets: The 2015–16 update," Post-Print hal-01995778, HAL.
    7. David Blake & Marco Morales & Wenjun Zhu & Ken Seng Tan & Chou-Wen Wang, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 477-493, April.
    8. Tat Wing Wong & Mei Choi Chiu & Hoi Ying Wong, 2017. "Managing Mortality Risk With Longevity Bonds When Mortality Rates Are Cointegrated," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(3), pages 987-1023, September.
    9. Kung, Ko-Lun & Liu, I-Chien & Wang, Chou-Wen, 2021. "Modeling and pricing longevity derivatives using Skellam distribution," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 341-354.
    10. Chen, An & Li, Hong & Schultze, Mark, 2022. "Collective longevity swap: A novel longevity risk transfer solution and its economic pricing," Journal of Economic Behavior & Organization, Elsevier, vol. 201(C), pages 227-249.
    11. Blake, David & Cairns, Andrew J.G., 2021. "Longevity risk and capital markets: The 2019-20 update," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 395-439.
    12. Blake, David & Courbage, Christophe & MacMinn, Richard & Sherris, Michael, 2011. "Longevity risks and capital markets: The 2010-2011 update," MPRA Paper 34279, University Library of Munich, Germany.
    13. Chou-Wen Wang & Sharon S. Yang, 2013. "Pricing Survivor Derivatives With Cohort Mortality Dependence Under the Lee–Carter Framework," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(4), pages 1027-1056, December.
    14. Wong, Tat Wing & Chiu, Mei Choi & Wong, Hoi Ying, 2014. "Time-consistent mean–variance hedging of longevity risk: Effect of cointegration," Insurance: Mathematics and Economics, Elsevier, vol. 56(C), pages 56-67.
    15. Blake, David & Brockett, Patrick & Cox, Samuel & MacMinn, Richard, 2011. "Longevity risk and capital markets: The 2009-2010 update," MPRA Paper 28868, University Library of Munich, Germany.
    16. M. Martin Boyer & Lars Stentoft, 2012. "If we can simulate it, we can insure it: An application to longevity risk management," CIRANO Working Papers 2012s-08, CIRANO.
    17. Huaxiong Huang & Moshe A. Milevsky & Thomas S. Salisbury, 2012. "Valuation and hedging of the ruin-contingent life annuity (RCLA)," Papers 1205.3686, arXiv.org.
    18. Narat Charupat & Mark J. Kamstra & Moshe A. Milevsky, 2016. "The Sluggish and Asymmetric Reaction of Life Annuity Prices to Changes in Interest Rates," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 83(3), pages 519-555, September.
    19. Wang, Chou-Wen & Yang, Sharon S. & Huang, Hong-Chih, 2015. "Modeling multi-country mortality dependence and its application in pricing survivor index swaps—A dynamic copula approach," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 30-39.
    20. Chou-Wen Wang & Hong-Chih Huang & I-Chien Liu, 2013. "Mortality Modeling With Non-Gaussian Innovations and Applications to the Valuation of Longevity Swaps," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(3), pages 775-798, September.

  52. Blake, David & De Waegenaere, Anja & MacMinn, Richard & Nijman, Theo, 2010. "Longevity risk and capital markets: The 2008-2009 update," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 135-138, February.

    Cited by:

    1. Elisa Luciano & Luca Regis & Elena Vigna, 2011. "Delta and Gamma hedging of mortality and interest rate risk," ICER Working Papers - Applied Mathematics Series 01-2011, ICER - International Centre for Economic Research.
    2. Luciano, Elisa & Regis, Luca & Vigna, Elena, 2012. "Delta–Gamma hedging of mortality and interest rate risk," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 402-412.

  53. Kevin Dowd & David Blake & Andrew Cairns, 2010. "Facing up to uncertain life expectancy: The longevity fan charts," Demography, Springer;Population Association of America (PAA), vol. 47(1), pages 67-78, February.

    Cited by:

    1. Adrian Raftery & Jennifer Chunn & Patrick Gerland & Hana Ševčíková, 2013. "Bayesian Probabilistic Projections of Life Expectancy for All Countries," Demography, Springer;Population Association of America (PAA), vol. 50(3), pages 777-801, June.
    2. David Blake & Andrew Cairns & Guy Coughlan & Kevin Dowd & Richard MacMinn, 2013. "The New Life Market," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(3), pages 501-558, September.
    3. David Blake, 2018. "Longevity: a new asset class," Journal of Asset Management, Palgrave Macmillan, vol. 19(5), pages 278-300, September.
    4. David Blake & Nicole El Karoui & Stéphane Loisel & Richard Macminn, 2018. "Longevity risk and capital markets: The 2015–16 update," Post-Print hal-01995778, HAL.
    5. Anja De Waegenaere & Bertrand Melenberg & Ralph Stevens, 2010. "Longevity Risk," De Economist, Springer, vol. 158(2), pages 151-192, June.
    6. Cesa-Bianchi, Ambrogio & Harrison, Richard & Sajedi, Rana, 2022. "Decomposing the drivers of Global R," Bank of England working papers 990, Bank of England.
    7. Dunstan Kim & Ball Christopher, 2016. "Demographic Projections: User and Producer Experiences of Adopting a Stochastic Approach," Journal of Official Statistics, Sciendo, vol. 32(4), pages 947-962, December.
    8. Willis, Graham & Cave, Siôn & Kunc, Martin, 2018. "Strategic workforce planning in healthcare: A multi-methodology approach," European Journal of Operational Research, Elsevier, vol. 267(1), pages 250-263.
    9. Kevin Dowd & David Blake & Andrew J. G. Cairns, 2016. "The Myth of Methuselah and the Uncertainty of Death: The Mortality Fan Charts," Risks, MDPI, vol. 4(3), pages 1-7, July.
    10. Gabay, Daniel & Grasselli, Martino, 2012. "Fair demographic risk sharing in defined contribution pension systems," Journal of Economic Dynamics and Control, Elsevier, vol. 36(4), pages 657-669.
    11. Li, J.S.H. & Ng, A.C.Y. & Chan, W.S., 2013. "Stochastic life table forecasting: A time-simultaneous fan chart application," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 93(C), pages 98-107.
    12. Istvan Majer & Ralph Stevens & Wilma Nusselder & Johan Mackenbach & Pieter Baal, 2013. "Modeling and Forecasting Health Expectancy: Theoretical Framework and Application," Demography, Springer;Population Association of America (PAA), vol. 50(2), pages 673-697, April.
    13. Andrew J. G. Cairns, 2013. "Robust Hedging of Longevity Risk," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(3), pages 621-648, September.

  54. Biffis, Enrico & Blake, David, 2010. "Securitizing and tranching longevity exposures," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 186-197, February.

    Cited by:

    1. David Blake & Andrew Cairns & Guy Coughlan & Kevin Dowd & Richard MacMinn, 2013. "The New Life Market," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(3), pages 501-558, September.
    2. Chen, An & Li, Hong & Schultze, Mark B., 2023. "Optimal longevity risk transfer under asymmetric information," Economic Modelling, Elsevier, vol. 120(C).
    3. Mrad, Fatma & Hamdi, Haykel & Naoui, Kamel & Abid, Ilyes, 2023. "The GMWB guarantee embedded in Life Insurance Contracts: Fair Value Pricing Problem," Finance Research Letters, Elsevier, vol. 51(C).
    4. David Blake & Nicole El Karoui & Stéphane Loisel & Richard Macminn, 2018. "Longevity risk and capital markets: The 2015–16 update," Post-Print hal-01995778, HAL.
    5. David Blake & Marco Morales & Wenjun Zhu & Ken Seng Tan & Chou-Wen Wang, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 477-493, April.
    6. Enrico Biffis & David Blake & Lorenzo Pitotti & Ariel Sun, 2016. "The Cost of Counterparty Risk and Collateralization in Longevity Swaps," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 83(2), pages 387-419, June.
    7. Emilio Bisetti & Carlo A. Favero & Giacomo Nocera & Claudio Tebaldi, 2013. "A Multivariate Model of Strategic Asset Allocation with Longevity Risk," Working Papers 503, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    8. Tat Wing Wong & Mei Choi Chiu & Hoi Ying Wong, 2017. "Managing Mortality Risk With Longevity Bonds When Mortality Rates Are Cointegrated," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(3), pages 987-1023, September.
    9. Anja De Waegenaere & Bertrand Melenberg & Ralph Stevens, 2010. "Longevity Risk," De Economist, Springer, vol. 158(2), pages 151-192, June.
    10. Stevens, R.S.P. & De Waegenaere, A.M.B. & Melenberg, B., 2011. "Longevity Risk and Natural Hedge Potential in Portfolios Of Life Insurance Products : The Effect of Investment Risk," Other publications TiSEM a3e07689-4b6b-4987-852c-3, Tilburg University, School of Economics and Management.
    11. Luciano, Elisa & Regis, Luca, 2014. "Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 68-77.
    12. Enrico Biffis & Erik Chavez, 2017. "Satellite Data and Machine Learning for Weather Risk Management and Food Security," Risk Analysis, John Wiley & Sons, vol. 37(8), pages 1508-1521, August.
    13. Blake, David & Cairns, Andrew J.G., 2021. "Longevity risk and capital markets: The 2019-20 update," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 395-439.
    14. Blake, David & Courbage, Christophe & MacMinn, Richard & Sherris, Michael, 2011. "Longevity risks and capital markets: The 2010-2011 update," MPRA Paper 34279, University Library of Munich, Germany.
    15. Enrico Biffis & David Blake, 2014. "Keeping Some Skin in the Game: How to Start a Capital Market in Longevity Risk Transfers," North American Actuarial Journal, Taylor & Francis Journals, vol. 18(1), pages 14-21.
    16. M. Martin Boyer & Théodora Dupont-Courtade, 2013. "The Market for Reinsurance," CIRANO Working Papers 2013s-06, CIRANO.
    17. Wong, Tat Wing & Chiu, Mei Choi & Wong, Hoi Ying, 2014. "Time-consistent mean–variance hedging of longevity risk: Effect of cointegration," Insurance: Mathematics and Economics, Elsevier, vol. 56(C), pages 56-67.
    18. Blake, David & Brockett, Patrick & Cox, Samuel & MacMinn, Richard, 2011. "Longevity risk and capital markets: The 2009-2010 update," MPRA Paper 28868, University Library of Munich, Germany.
    19. Stevens, R.S.P. & De Waegenaere, A.M.B. & Melenberg, B., 2011. "Longevity Risk and Natural Hedge Potential in Portfolios Of Life Insurance Products : The Effect of Investment Risk," Discussion Paper 2011-036, Tilburg University, Center for Economic Research.

  55. Dowd, Kevin & Cairns, Andrew J.G. & Blake, David & Coughlan, Guy D. & Epstein, David & Khalaf-Allah, Marwa, 2010. "Evaluating the goodness of fit of stochastic mortality models," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 255-265, December.

    Cited by:

    1. Cairns, Andrew J.G. & Blake, David & Dowd, Kevin & Coughlan, Guy D. & Epstein, David & Khalaf-Allah, Marwa, 2011. "Mortality density forecasts: An analysis of six stochastic mortality models," Insurance: Mathematics and Economics, Elsevier, vol. 48(3), pages 355-367, May.
    2. Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022. "Forecasting: theory and practice," International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
      • Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
    3. O'Hare, Colin & Li, Youwei, 2014. "Is mortality spatial or social?," Economic Modelling, Elsevier, vol. 42(C), pages 198-207.
    4. Cannon, Edmund & Tonks, Ian, 2016. "Cohort mortality risk or adverse selection in annuity markets?," Journal of Public Economics, Elsevier, vol. 141(C), pages 68-81.
    5. Boonen, T.J. & De Waegenaere, A.M.B. & Norde, H.W., 2012. "Bargaining for Over-The Counter Risk Redistributions : The Case of Longevity Risk," Discussion Paper 2012-090, Tilburg University, Center for Economic Research.
    6. Valeria D’Amato & Emilia Di Lorenzo & Steven Haberman & Maria Russolillo & Marilena Sibillo, 2011. "The Poisson Log-Bilinear Lee-Carter Model," North American Actuarial Journal, Taylor & Francis Journals, vol. 15(2), pages 315-333.
    7. F. Peters & J. P. Mackenbach & W. J. Nusselder, 2016. "Does the Impact of the Tobacco Epidemic Explain Structural Changes in the Decline of Mortality?," European Journal of Population, Springer;European Association for Population Studies, vol. 32(5), pages 687-702, December.
    8. David Blake & Nicole El Karoui & Stéphane Loisel & Richard Macminn, 2018. "Longevity risk and capital markets: The 2015–16 update," Post-Print hal-01995778, HAL.
    9. Fabrice Balland & Alexandre Boumezoued & Laurent Devineau & Marine Habart & Tom Popa, 2018. "Mortality data reliability in an internal model," Working Papers hal-01719216, HAL.
    10. Boonen, T.J. & De Waegenaere, A.M.B. & Norde, H.W., 2012. "Bargaining for Over-The Counter Risk Redistributions : The Case of Longevity Risk," Other publications TiSEM 666aa6f1-2d07-413c-90da-a, Tilburg University, School of Economics and Management.
    11. Anastasia Novokreshchenova, 2016. "Predicting Human Mortality: Quantitative Evaluation of Four Stochastic Models," Risks, MDPI, vol. 4(4), pages 1-28, December.
    12. Han Li & Colin O’Hare, 2019. "Mortality Forecasting: How Far Back Should We Look in Time?," Risks, MDPI, vol. 7(1), pages 1-15, February.
    13. Enrico Biffis & David Blake & Lorenzo Pitotti & Ariel Sun, 2016. "The Cost of Counterparty Risk and Collateralization in Longevity Swaps," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 83(2), pages 387-419, June.
    14. Liu, Yanxin & Li, Johnny Siu-Hang, 2018. "A strategy for hedging risks associated with period and cohort effects using q-forwards," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 267-285.
    15. Leung, Melvern & Li, Youwei & Pantelous, Athanasios A. & Vigne, Samuel A., 2021. "Bayesian Value-at-Risk backtesting: The case of annuity pricing," European Journal of Operational Research, Elsevier, vol. 293(2), pages 786-801.
    16. Fabrice Balland & Alexandre Boumezoued & Laurent Devineau & Marine Habart & Tom Popa, 2018. "Mortality data reliability in an internal model," Papers 1803.00464, arXiv.org.
    17. Anja De Waegenaere & Bertrand Melenberg & Ralph Stevens, 2010. "Longevity Risk," De Economist, Springer, vol. 158(2), pages 151-192, June.
    18. Jaap Spreeuw & Iqbal Owadally & Muhammad Kashif, 2022. "Projecting Mortality Rates Using a Markov Chain," Mathematics, MDPI, vol. 10(7), pages 1-18, April.
    19. Li, Han & O’Hare, Colin & Zhang, Xibin, 2015. "A semiparametric panel approach to mortality modeling," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 264-270.
    20. Shang, Han Lin & Smith, Peter W.F. & Bijak, Jakub & Wiśniowski, Arkadiusz, 2016. "A multilevel functional data method for forecasting population, with an application to the United Kingdom," International Journal of Forecasting, Elsevier, vol. 32(3), pages 629-649.
    21. Buckner, Dean & Dowd, Kevin, 2018. "Equity Release: Another Equitable in the Making," Studies in Applied Economics 129, The Johns Hopkins Institute for Applied Economics, Global Health, and the Study of Business Enterprise.
    22. Christina Bohk-Ewald & Marcus Ebeling & Roland Rau, 2017. "Lifespan Disparity as an Additional Indicator for Evaluating Mortality Forecasts," Demography, Springer;Population Association of America (PAA), vol. 54(4), pages 1559-1577, August.
    23. Blake, David & Cairns, Andrew J.G., 2021. "Longevity risk and capital markets: The 2019-20 update," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 395-439.
    24. Paul Doukhan & Joseph Rynkiewicz & Yahia Salhi, 2021. "Optimal Neighborhood Selection for AR-ARCH Random Fields with Application to Mortality," Stats, MDPI, vol. 5(1), pages 1-26, December.
    25. Bruszas, Sandy & Kaschützke, Barbara & Maurer, Raimond & Siegelin, Ivonne, 2018. "Unisex pricing of German participating life annuities—Boon or bane for customer and insurance company?," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 230-245.
    26. Li, Han & O’Hare, Colin, 2017. "Semi-parametric extensions of the Cairns–Blake–Dowd model: A one-dimensional kernel smoothing approach," Insurance: Mathematics and Economics, Elsevier, vol. 77(C), pages 166-176.
    27. Leung, Melvern & Fung, Man Chung & O’Hare, Colin, 2018. "A comparative study of pricing approaches for longevity instruments," Insurance: Mathematics and Economics, Elsevier, vol. 82(C), pages 95-116.
    28. Carfora, M.F. & Cutillo, L. & Orlando, A., 2017. "A quantitative comparison of stochastic mortality models on Italian population data," Computational Statistics & Data Analysis, Elsevier, vol. 112(C), pages 198-214.
    29. Rúben Pereira Carlos & Onofre Simões, 2012. "Hedging The Longevity Risk For The Portuguese Population In The Bond Market," Portuguese Journal of Management Studies, ISEG, Universidade de Lisboa, vol. 0(1), pages 63-82.
    30. Haberman, Steven & Renshaw, Arthur, 2012. "Parametric mortality improvement rate modelling and projecting," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 309-333.
    31. Boonen, Tim J. & De Waegenaere, Anja & Norde, Henk, 2017. "Redistribution of longevity risk: The effect of heterogeneous mortality beliefs," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 175-188.
    32. Dowd, Kevin & Buckner, Dean & Blake, David & Fry, John, 2019. "The valuation of no-negative equity guarantees and equity release mortgages," Economics Letters, Elsevier, vol. 184(C).
    33. Man Chung Fung & Gareth W. Peters & Pavel V. Shevchenko, 2017. "Cohort effects in mortality modelling: a Bayesian state-space approach," Papers 1703.08282, arXiv.org.
    34. Man Chung Fung & Gareth W. Peters & Pavel V. Shevchenko, 2016. "A unified approach to mortality modelling using state-space framework: characterisation, identification, estimation and forecasting," Papers 1605.09484, arXiv.org.
    35. Li, Johnny Siu-Hang & Zhou, Rui & Hardy, Mary, 2015. "A step-by-step guide to building two-population stochastic mortality models," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 121-134.
    36. Li, Johnny Siu-Hang & Liu, Yanxin, 2021. "Recent declines in life expectancy: Implication on longevity risk hedging," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 376-394.
    37. Ahmadi, Seyed Saeed & Li, Johnny Siu-Hang, 2014. "Coherent mortality forecasting with generalized linear models: A modified time-transformation approach," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 194-221.
    38. Heinemann, A., 2013. "Sieve bootstrapping in the Lee-Carter model," Research Memorandum 069, Maastricht University, Graduate School of Business and Economics (GSBE).
    39. O’Hare, Colin & Li, Youwei, 2012. "Explaining young mortality," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 12-25.
    40. Li, J.S.H. & Ng, A.C.Y. & Chan, W.S., 2013. "Stochastic life table forecasting: A time-simultaneous fan chart application," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 93(C), pages 98-107.
    41. Chou-Wen Wang & Hong-Chih Huang & I-Chien Liu, 2013. "Mortality Modeling With Non-Gaussian Innovations and Applications to the Valuation of Longevity Swaps," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(3), pages 775-798, September.
    42. Andrew J.G. Cairns & Kevin Dowd & David Blake & Guy D. Coughlan, 2014. "Longevity hedge effectiveness: a decomposition," Quantitative Finance, Taylor & Francis Journals, vol. 14(2), pages 217-235, February.
    43. Feng, Ben Mingbin & Li, Johnny Siu-Hang & Zhou, Kenneth Q., 2022. "Green nested simulation via likelihood ratio: Applications to longevity risk management," Insurance: Mathematics and Economics, Elsevier, vol. 106(C), pages 285-301.

  56. Kevin Dowd & Andrew Cairns & David Blake & Guy Coughlan & David Epstein & Marwa Khalaf-Allah, 2010. "Backtesting Stochastic Mortality Models," North American Actuarial Journal, Taylor & Francis Journals, vol. 14(3), pages 281-298.

    Cited by:

    1. Cairns, Andrew J.G. & Blake, David & Dowd, Kevin & Coughlan, Guy D. & Epstein, David & Khalaf-Allah, Marwa, 2011. "Mortality density forecasts: An analysis of six stochastic mortality models," Insurance: Mathematics and Economics, Elsevier, vol. 48(3), pages 355-367, May.
    2. Franco Peracchi & Valeria Perotti, 2010. "Subjective survival probabilities and life tables: Evidence from Europe," EIEF Working Papers Series 1016, Einaudi Institute for Economics and Finance (EIEF), revised Nov 2011.
    3. Tan, Chong It & Li, Jackie & Li, Johnny Siu-Hang & Balasooriya, Uditha, 2014. "Parametric mortality indexes: From index construction to hedging strategies," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 285-299.
    4. David Blake & Nicole El Karoui & Stéphane Loisel & Richard Macminn, 2018. "Longevity risk and capital markets: The 2015–16 update," Post-Print hal-01995778, HAL.
    5. Haberman, Steven & Renshaw, Arthur, 2013. "Modelling and projecting mortality improvement rates using a cohort perspective," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 150-168.
    6. Anastasia Novokreshchenova, 2016. "Predicting Human Mortality: Quantitative Evaluation of Four Stochastic Models," Risks, MDPI, vol. 4(4), pages 1-28, December.
    7. Liu, Yanxin & Li, Johnny Siu-Hang, 2018. "A strategy for hedging risks associated with period and cohort effects using q-forwards," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 267-285.
    8. Paola Biffi & Gian Clemente, 2014. "Selecting stochastic mortality models for the Italian population," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 37(2), pages 255-286, October.
    9. Hunt, Andrew & Villegas, Andrés M., 2015. "Robustness and convergence in the Lee–Carter model with cohort effects," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 186-202.
    10. Colin O’hare & Youwei Li, 2017. "Models of mortality rates – analysing the residuals," Applied Economics, Taylor & Francis Journals, vol. 49(52), pages 5309-5323, November.
    11. Jaap Spreeuw & Iqbal Owadally & Muhammad Kashif, 2022. "Projecting Mortality Rates Using a Markov Chain," Mathematics, MDPI, vol. 10(7), pages 1-18, April.
    12. Buckner, Dean & Dowd, Kevin, 2018. "Equity Release: Another Equitable in the Making," Studies in Applied Economics 129, The Johns Hopkins Institute for Applied Economics, Global Health, and the Study of Business Enterprise.
    13. Blake, David & Cairns, Andrew J.G., 2021. "Longevity risk and capital markets: The 2019-20 update," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 395-439.
    14. Bravo, Jorge M. & Ayuso, Mercedes & Holzmann, Robert & Palmer, Edward, 2021. "Addressing the life expectancy gap in pension policy," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 200-221.
    15. Kevin Dowd & David Blake, 2022. "Good Practice Principles in Modelling Defined Contribution Pension Plans," JRFM, MDPI, vol. 15(3), pages 1-21, February.
    16. Leung, Melvern & Fung, Man Chung & O’Hare, Colin, 2018. "A comparative study of pricing approaches for longevity instruments," Insurance: Mathematics and Economics, Elsevier, vol. 82(C), pages 95-116.
    17. Blake, David & Courbage, Christophe & MacMinn, Richard & Sherris, Michael, 2011. "Longevity risks and capital markets: The 2010-2011 update," MPRA Paper 34279, University Library of Munich, Germany.
    18. Benchimol, Andrés Gustavo & Albarrán Lozano, Irene & Marín Díazaraque, Juan Miguel & Alonso, Pablo J., 2015. "Hierarchical Lee-Carter model estimation through data cloning applied to demographically linked countries," DES - Working Papers. Statistics and Econometrics. WS ws1510, Universidad Carlos III de Madrid. Departamento de Estadística.
    19. Hao, Xuemiao & Liang, Chunli & Wei, Linghua, 2017. "Evaluation of credit value adjustment in K-forward," Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 95-103.
    20. Igawa Takayuki, 2013. "Analysis of the Residual Structure of the Lee–Carter Model: The Case of Japanese Mortality," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 7(2), pages 53-80, July.
    21. Blake, David & Brockett, Patrick & Cox, Samuel & MacMinn, Richard, 2011. "Longevity risk and capital markets: The 2009-2010 update," MPRA Paper 28868, University Library of Munich, Germany.
    22. Li, Johnny Siu-Hang & Zhou, Rui & Hardy, Mary, 2015. "A step-by-step guide to building two-population stochastic mortality models," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 121-134.
    23. Li, Johnny Siu-Hang & Liu, Yanxin, 2021. "Recent declines in life expectancy: Implication on longevity risk hedging," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 376-394.
    24. Ahmadi, Seyed Saeed & Li, Johnny Siu-Hang, 2014. "Coherent mortality forecasting with generalized linear models: A modified time-transformation approach," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 194-221.
    25. Sixian Tang & Jackie Li & Leonie Tickle, 2022. "A New Fourier Approach under the Lee-Carter Model for Incorporating Time-Varying Age Patterns of Structural Changes," Risks, MDPI, vol. 10(8), pages 1-24, July.
    26. D. Th. Vezeris & C. J. Schinas & Th. S. Kyrgos & V. A. Bizergianidou & I. P. Karkanis, 2020. "Optimization of Backtesting Techniques in Automated High Frequency Trading Systems Using the d-Backtest PS Method," Computational Economics, Springer;Society for Computational Economics, vol. 56(4), pages 975-1054, December.
    27. O’Hare, Colin & Li, Youwei, 2012. "Explaining young mortality," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 12-25.
    28. Li, J.S.H. & Ng, A.C.Y. & Chan, W.S., 2013. "Stochastic life table forecasting: A time-simultaneous fan chart application," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 93(C), pages 98-107.

  57. Alistair Byrne & David Blake & Graham Mannion, 2010. "Pension Plan Decisions," Review of Behavioral Finance, Emerald Group Publishing Limited, vol. 2(1), pages 19-36, April.

    Cited by:

    1. Francesco, MENONCIN, 2003. "Optimal Real Consumption and Asset Allocation for a HARA Investor with Labour Income," LIDAM Discussion Papers IRES 2003015, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    2. Seth, Himanshu & Talwar, Shalini & Bhatia, Anuj & Saxena, Akanksha & Dhir, Amandeep, 2020. "Consumer resistance and inertia of retail investors: Development of the resistance adoption inertia continuance (RAIC) framework," Journal of Retailing and Consumer Services, Elsevier, vol. 55(C).

  58. Andrew Cairns & David Blake & Kevin Dowd & Guy Coughlan & David Epstein & Alen Ong & Igor Balevich, 2009. "A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States," North American Actuarial Journal, Taylor & Francis Journals, vol. 13(1), pages 1-35.

    Cited by:

    1. Cairns, Andrew J.G. & Blake, David & Dowd, Kevin & Coughlan, Guy D. & Epstein, David & Khalaf-Allah, Marwa, 2011. "Mortality density forecasts: An analysis of six stochastic mortality models," Insurance: Mathematics and Economics, Elsevier, vol. 48(3), pages 355-367, May.
    2. Alois Pichler & Dana Uhlig, 2021. "Mortality in Germany during the Covid-19 pandemic," Papers 2107.12899, arXiv.org, revised Apr 2022.
    3. Emilio Bisetti & Carlo Favero, 2014. "Measuring the Impact of Longevity Risk on Pension Systems: The Case of Italy," North American Actuarial Journal, Taylor & Francis Journals, vol. 18(1), pages 87-103.
    4. Jonas Hirz & Uwe Schmock & Pavel V. Shevchenko, 2017. "Actuarial Applications and Estimation of Extended CreditRisk+," Risks, MDPI, vol. 5(2), pages 1-29, March.
    5. Bohm, Thomas & Waldvogel, Felix, 2012. "Etablierung eines außerbörslichen Kapitalmarktes für das Langlebigkeitsrisiko," Bayreuth Working Papers on Finance, Accounting and Taxation (FAcT-Papers) 2012-02, University of Bayreuth, Chair of Finance and Banking.
    6. Stephen Richards, 2010. "Author's response," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 173(4), pages 920-924, October.
    7. Dorota Toczydlowska & Gareth W. Peters & Man Chung Fung & Pavel V. Shevchenko, 2017. "Stochastic Period and Cohort Effect State-Space Mortality Models Incorporating Demographic Factors via Probabilistic Robust Principal Components," Risks, MDPI, vol. 5(3), pages 1-77, July.
    8. Uditha Balasooriya & Johnny Siu-Hang Li & Jackie Li, 2020. "The Impact of Model Uncertainty on Index-Based Longevity Hedging and Measurement of Longevity Basis Risk," Risks, MDPI, vol. 8(3), pages 1-27, August.
    9. Rokas Gylys & Jonas Šiaulys, 2019. "Revisiting Calibration of the Solvency II Standard Formula for Mortality Risk: Does the Standard Stress Scenario Provide an Adequate Approximation of Value-at-Risk?," Risks, MDPI, vol. 7(2), pages 1-24, May.
    10. David McCarthy, 2021. "80 will be the new 70: Old‐age mortality postponement in the United States and its likely effect on the finances of the OASI program," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 88(2), pages 381-412, June.
    11. Lei He & Tianquan Zhong & Zhenqi Wang, 2023. "Assessing Delayed Retirement Policies Linked to Dynamic Life Expectancy with Stochastic Dynamic Mortality," Mathematics, MDPI, vol. 11(24), pages 1-16, December.
    12. Graziani, Rebecca & NIGRI, ANDREA, 2023. "An Age–Period–Cohort Model in a Dirichlet Framework: A Coherent Causes of Death Estimation," SocArXiv 856yw, Center for Open Science.
    13. Gao, Huan & Mamon, Rogemar & Liu, Xiaoming & Tenyakov, Anton, 2015. "Mortality modelling with regime-switching for the valuation of a guaranteed annuity option," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 108-120.
    14. Chong It Tan & Jackie Li & Johnny Siu-Hang Li & Uditha Balasooriya, 2016. "Stochastic modelling of the hybrid survival curve," Journal of Population Research, Springer, vol. 33(4), pages 307-331, December.
    15. Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022. "Forecasting: theory and practice," International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
      • Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
    16. Karim Barigou & Stéphane Loisel & Yahia Salhi, 2020. "Parsimonious Predictive Mortality Modeling by Regularization and Cross-Validation with and without Covid-Type Effect," Risks, MDPI, vol. 9(1), pages 1-18, December.
    17. Plat, Richard, 2011. "One-year Value-at-Risk for longevity and mortality," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 462-470.
    18. Carlo Favero & Marco Giacoletti, 2011. "Progress in Medicine, Limits to Life and Forecasting Mortality," Working Papers 406, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    19. David Blake, 2018. "Longevity: a new asset class," Journal of Asset Management, Palgrave Macmillan, vol. 19(5), pages 278-300, September.
    20. Cocco, João F. & Gomes, Francisco J., 2012. "Longevity risk, retirement savings, and financial innovation," Journal of Financial Economics, Elsevier, vol. 103(3), pages 507-529.
    21. Jorge Miguel Bravo & Mercedes Ayuso & Robert Holzmann & Edward Palmer, 2021. "Intergenerational Actuarial Fairness when Longevity Increases: Amending the Retirement Age," CESifo Working Paper Series 9408, CESifo.
    22. Yang, Sharon S. & Wang, Chou-Wen, 2013. "Pricing and securitization of multi-country longevity risk with mortality dependence," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 157-169.
    23. Tan, Chong It & Li, Jackie & Li, Johnny Siu-Hang & Balasooriya, Uditha, 2014. "Parametric mortality indexes: From index construction to hedging strategies," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 285-299.
    24. Hunt, Andrew & Blake, David, 2018. "Identifiability, cointegration and the gravity model," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 360-368.
    25. F. Peters & J. P. Mackenbach & W. J. Nusselder, 2016. "Does the Impact of the Tobacco Epidemic Explain Structural Changes in the Decline of Mortality?," European Journal of Population, Springer;European Association for Population Studies, vol. 32(5), pages 687-702, December.
    26. Zhao, Yixing & Mamon, Rogemar, 2018. "An efficient algorithm for the valuation of a guaranteed annuity option with correlated financial and mortality risks," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 1-12.
    27. Johnny Siu‐Hang Li & Andrew Cheuk‐Yin Ng, 2011. "Canonical Valuation of Mortality‐Linked Securities," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 78(4), pages 853-884, December.
    28. Danesi, Ivan Luciano & Haberman, Steven & Millossovich, Pietro, 2015. "Forecasting mortality in subpopulations using Lee–Carter type models: A comparison," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 151-161.
    29. Li, Johnny Siu-Hang, 2010. "Pricing longevity risk with the parametric bootstrap: A maximum entropy approach," Insurance: Mathematics and Economics, Elsevier, vol. 47(2), pages 176-186, October.
    30. O'Hare, Colin & Li, Youwei, 2016. "Modelling mortality: Are we heading in the right direction?," MPRA Paper 71392, University Library of Munich, Germany.
    31. Katrien Antonio & Anastasios Bardoutsos & Wilbert Ouburg, 2015. "Bayesian Poisson log-bilinear models for mortality projections with multiple populations," BAFFI CAREFIN Working Papers 1505, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    32. Yang, Sharon S. & Yue, Jack C. & Huang, Hong-Chih, 2010. "Modeling longevity risks using a principal component approach: A comparison with existing stochastic mortality models," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 254-270, February.
    33. David Atance & Alejandro Balbás & Eliseo Navarro, 2020. "Constructing dynamic life tables with a single-factor model," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 43(2), pages 787-825, December.
    34. David Blake & Nicole El Karoui & Stéphane Loisel & Richard Macminn, 2018. "Longevity risk and capital markets: The 2015–16 update," Post-Print hal-01995778, HAL.
    35. Fabrice Balland & Alexandre Boumezoued & Laurent Devineau & Marine Habart & Tom Popa, 2018. "Mortality data reliability in an internal model," Working Papers hal-01719216, HAL.
    36. Hatzopoulos, P. & Haberman, S., 2013. "Common mortality modeling and coherent forecasts. An empirical analysis of worldwide mortality data," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 320-337.
    37. Buckner, Dean & Dowd, Kevin, 2020. "How profitable are Equity Release Mortgages?," Economics Letters, Elsevier, vol. 197(C).
    38. Anastasia Novokreshchenova, 2016. "Predicting Human Mortality: Quantitative Evaluation of Four Stochastic Models," Risks, MDPI, vol. 4(4), pages 1-28, December.
    39. D’Amato, Valeria & Di Lorenzo, Emilia & Haberman, Steven & Sagoo, Pretty & Sibillo, Marilena, 2018. "De-risking strategy: Longevity spread buy-in," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 124-136.
    40. Han Li & Colin O’Hare, 2019. "Mortality Forecasting: How Far Back Should We Look in Time?," Risks, MDPI, vol. 7(1), pages 1-15, February.
    41. Zhou, Hongjuan & Zhou, Kenneth Q. & Li, Xianping, 2022. "Stochastic mortality dynamics driven by mixed fractional Brownian motion," Insurance: Mathematics and Economics, Elsevier, vol. 106(C), pages 218-238.
    42. Enrico Biffis & David Blake & Lorenzo Pitotti & Ariel Sun, 2016. "The Cost of Counterparty Risk and Collateralization in Longevity Swaps," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 83(2), pages 387-419, June.
    43. McCarthy, David G. & Wang, Po-Lin, 2021. "Pooling mortality risk in Eurozone state pension liabilities: An application of a Bayesian coherent multi-population cohort-based mortality model," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 459-485.
    44. Liu, Yanxin & Li, Johnny Siu-Hang, 2018. "A strategy for hedging risks associated with period and cohort effects using q-forwards," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 267-285.
    45. Basellini, Ugofilippo & Camarda, Carlo Giovanni & Booth, Heather, 2022. "Thirty years on: A review of the Lee-Carter method for forecasting mortality," SocArXiv 8u34d, Center for Open Science.
    46. Samuel Asante Gyamerah & Janet Arthur & Saviour Worlanyo Akuamoah & Yethu Sithole, 2023. "Measurement and Impact of Longevity Risk in Portfolios of Pension Annuity: The Case in Sub Saharan Africa," FinTech, MDPI, vol. 2(1), pages 1-20, January.
    47. Paola Biffi & Gian Clemente, 2014. "Selecting stochastic mortality models for the Italian population," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 37(2), pages 255-286, October.
    48. Edouard Debonneuil, 2010. "A simple model of mortality trends aiming at universality: Lee Carter + Cohort," Papers 1003.1802, arXiv.org.
    49. Barigou, Karim & Goffard, Pierre-Olivier & Loisel, Stéphane & Salhi, Yahia, 2023. "Bayesian model averaging for mortality forecasting using leave-future-out validation," International Journal of Forecasting, Elsevier, vol. 39(2), pages 674-690.
    50. Shang, Zhaoning & Goovaerts, Marc & Dhaene, Jan, 2011. "A recursive approach to mortality-linked derivative pricing," Insurance: Mathematics and Economics, Elsevier, vol. 49(2), pages 240-248, September.
    51. Jens Robben & Katrien Antonio & Sander Devriendt, 2021. "Assessing the impact of the COVID-19 shock on a stochastic multi-population mortality model," Papers 2111.10164, arXiv.org.
    52. Leung, Melvern & Li, Youwei & Pantelous, Athanasios A. & Vigne, Samuel A., 2021. "Bayesian Value-at-Risk backtesting: The case of annuity pricing," European Journal of Operational Research, Elsevier, vol. 293(2), pages 786-801.
    53. Alois Pichler & Dana Uhlig, 2023. "Mortality in Germany during the COVID-19 Pandemic," IJERPH, MDPI, vol. 20(20), pages 1-11, October.
    54. Boumezoued, Alexandre & Elfassihi, Amal, 2021. "Mortality data correction in the absence of monthly fertility records," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 486-508.
    55. Hunt, Andrew & Villegas, Andrés M., 2015. "Robustness and convergence in the Lee–Carter model with cohort effects," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 186-202.
    56. Hunt, Andrew & Blake, David, 2015. "Modelling longevity bonds: Analysing the Swiss Re Kortis bond," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 12-29.
    57. Fabrice Balland & Alexandre Boumezoued & Laurent Devineau & Marine Habart & Tom Popa, 2018. "Mortality data reliability in an internal model," Papers 1803.00464, arXiv.org.
    58. Wang, Chou-Wen & Huang, Hong-Chih & Hong, De-Chuan, 2013. "A feasible natural hedging strategy for insurance companies," Insurance: Mathematics and Economics, Elsevier, vol. 52(3), pages 532-541.
    59. Levantesi, Susanna & Menzietti, Massimiliano, 2012. "Managing longevity and disability risks in life annuities with long term care," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 391-401.
    60. Apostolos Bozikas & Georgios Pitselis, 2018. "An Empirical Study on Stochastic Mortality Modelling under the Age-Period-Cohort Framework: The Case of Greece with Applications to Insurance Pricing," Risks, MDPI, vol. 6(2), pages 1-34, April.
    61. Hung-Tsung Hsiao & Chou-Wen Wang & I.-Chien Liu & Ko-Lun Kung, 2024. "Mortality improvement neural-network models with autoregressive effects," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 49(2), pages 363-383, April.
    62. Anja De Waegenaere & Bertrand Melenberg & Ralph Stevens, 2010. "Longevity Risk," De Economist, Springer, vol. 158(2), pages 151-192, June.
    63. FLICI, Farid & SENOUCI, Khadidja & HANNANI, Yasmine, 2017. "Tables de mortalité d’expérience incorporant une échelle de projection : adaptation aux cas des retraités en Algérie [Experience life tables incorporating a projection scale : adaptation to the cas," MPRA Paper 91918, University Library of Munich, Germany.
    64. Corsaro, Stefania & Marino, Zelda & Scognamiglio, Salvatore, 2024. "Quantile mortality modelling of multiple populations via neural networks," Insurance: Mathematics and Economics, Elsevier, vol. 116(C), pages 114-133.
    65. Zoe Gibbs & Chris Groendyke & Brian Hartman & Robert Richardson, 2020. "Modeling County-Level Spatio-Temporal Mortality Rates Using Dynamic Linear Models," Risks, MDPI, vol. 8(4), pages 1-15, November.
    66. Colin O’hare & Youwei Li, 2017. "Models of mortality rates – analysing the residuals," Applied Economics, Taylor & Francis Journals, vol. 49(52), pages 5309-5323, November.
    67. Jaap Spreeuw & Iqbal Owadally & Muhammad Kashif, 2022. "Projecting Mortality Rates Using a Markov Chain," Mathematics, MDPI, vol. 10(7), pages 1-18, April.
    68. Wolfgang Reichmuth & Samad Sarferaz, 2008. "Bayesian Demographic Modeling and Forecasting: An Application to U.S. Mortality," SFB 649 Discussion Papers SFB649DP2008-052, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    69. Cairns, Andrew J.G., 2011. "Modelling and management of longevity risk: Approximations to survivor functions and dynamic hedging," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 438-453.
    70. Wan, Cheng & Bertschi, Ljudmila, 2015. "Swiss coherent mortality model as a basis for developing longevity de-risking solutions for Swiss pension funds: A practical approach," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 66-75.
    71. Li, Han & O’Hare, Colin & Zhang, Xibin, 2015. "A semiparametric panel approach to mortality modeling," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 264-270.
    72. Kevin Dowd & David Blake & Andrew Cairns, 2010. "Facing up to uncertain life expectancy: The longevity fan charts," Demography, Springer;Population Association of America (PAA), vol. 47(1), pages 67-78, February.
    73. Hatzopoulos, P. & Haberman, S., 2011. "A dynamic parameterization modeling for the age-period-cohort mortality," Insurance: Mathematics and Economics, Elsevier, vol. 49(2), pages 155-174, September.
    74. Stevens, R.S.P. & De Waegenaere, A.M.B. & Melenberg, B., 2011. "Longevity Risk and Natural Hedge Potential in Portfolios Of Life Insurance Products : The Effect of Investment Risk," Other publications TiSEM a3e07689-4b6b-4987-852c-3, Tilburg University, School of Economics and Management.
    75. Flici, Farrid, 2016. "Projection des taux de mortalité par âges pour la population algérienne [Forecasting The Age Specific Mortality Rates For The Algerian Population]," MPRA Paper 98784, University Library of Munich, Germany, revised Dec 2016.
    76. Jonas Hirz & Uwe Schmock & Pavel V. Shevchenko, 2015. "Actuarial Applications and Estimation of Extended~CreditRisk$^+$," Papers 1505.04757, arXiv.org, revised Apr 2017.
    77. Yang Qiao & Chou-Wen Wang & Wenjun Zhu, 2024. "Machine learning in long-term mortality forecasting," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 49(2), pages 340-362, April.
    78. Fanny Janssen & Shady El Gewily & Anastasios Bardoutsos & Sergi Trias-Llimós, 2020. "Past and Future Alcohol-Attributable Mortality in Europe," IJERPH, MDPI, vol. 17(23), pages 1-21, December.
    79. Tsai, Cary Chi-Liang & Wu, Adelaide Di, 2020. "Incorporating hierarchical credibility theory into modelling of multi-country mortality rates," Insurance: Mathematics and Economics, Elsevier, vol. 91(C), pages 37-54.
    80. Kwong Koon-Shing & Chan Wai-Sum & Siu-Hang Li Johnny, 2020. "Actuarial Modeling and Analysis of the Hong Kong Life Annuity Scheme," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 14(1), pages 1-12, January.
    81. Haberman, Steven & Renshaw, Arthur, 2011. "A comparative study of parametric mortality projection models," Insurance: Mathematics and Economics, Elsevier, vol. 48(1), pages 35-55, January.
    82. James Risk & Michael Ludkovski, 2015. "Statistical Emulators for Pricing and Hedging Longevity Risk Products," Papers 1508.00310, arXiv.org, revised Sep 2015.
    83. Ševčíková Hana & Raftery Adrian E., 2021. "Probabilistic Projection of Subnational Life Expectancy," Journal of Official Statistics, Sciendo, vol. 37(3), pages 591-610, September.
    84. O'Hare, Colin & Li, Youwei, 2014. "Identifying structural breaks in stochastic mortality models," MPRA Paper 62994, University Library of Munich, Germany.
    85. Doukhan, P. & Pommeret, D. & Rynkiewicz, J. & Salhi, Y., 2017. "A class of random field memory models for mortality forecasting," Insurance: Mathematics and Economics, Elsevier, vol. 77(C), pages 97-110.
    86. Dowd, Kevin & Cairns, Andrew J.G. & Blake, David & Coughlan, Guy D. & Epstein, David & Khalaf-Allah, Marwa, 2010. "Evaluating the goodness of fit of stochastic mortality models," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 255-265, December.
    87. Yassmin Ali & Ming Fang & Pablo A. Arrutia Sota & Stephen Taylor & Xun Wang, 2019. "Social Security Benefit Valuation, Risk, and Optimal Retirement," Risks, MDPI, vol. 7(4), pages 1-31, December.
    88. Simon Schnürch & Torsten Kleinow & Ralf Korn, 2021. "Clustering-Based Extensions of the Common Age Effect Multi-Population Mortality Model," Risks, MDPI, vol. 9(3), pages 1-32, March.
    89. Biffis, Enrico & Blake, David, 2010. "Securitizing and tranching longevity exposures," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 186-197, February.
    90. Salvatore Scognamiglio & Mario Marino, 2023. "Backtesting stochastic mortality models by prediction interval-based metrics," Quality & Quantity: International Journal of Methodology, Springer, vol. 57(4), pages 3825-3847, August.
    91. Han Lin Shang & Steven Haberman, 2020. "Retiree Mortality Forecasting: A Partial Age-Range or a Full Age-Range Model?," Risks, MDPI, vol. 8(3), pages 1-11, July.
    92. Blake, David & Cairns, Andrew J.G., 2021. "Longevity risk and capital markets: The 2019-20 update," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 395-439.
    93. Luca De Mori & Pietro Millossovich & Rui Zhu & Steven Haberman, 2024. "Two-Population Mortality Forecasting: An Approach Based on Model Averaging," Risks, MDPI, vol. 12(4), pages 1-17, March.
    94. Bravo, Jorge M. & Ayuso, Mercedes & Holzmann, Robert & Palmer, Edward, 2021. "Addressing the life expectancy gap in pension policy," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 200-221.
    95. Paul Doukhan & Joseph Rynkiewicz & Yahia Salhi, 2021. "Optimal Neighborhood Selection for AR-ARCH Random Fields with Application to Mortality," Stats, MDPI, vol. 5(1), pages 1-26, December.
    96. Li, Johnny Siu-Hang & Liu, Yanxin & Chan, Wai-Sum, 2023. "Hedging longevity risk under non-Gaussian state-space stochastic mortality models: A mean-variance-skewness-kurtosis approach," Insurance: Mathematics and Economics, Elsevier, vol. 113(C), pages 96-121.
    97. FLICI, Farid, 2016. "The future of longevity and life annuities pricing in Algeria: comparison of mortality models," SocArXiv 2tdgm, Center for Open Science.
    98. Li, Han & O’Hare, Colin, 2017. "Semi-parametric extensions of the Cairns–Blake–Dowd model: A one-dimensional kernel smoothing approach," Insurance: Mathematics and Economics, Elsevier, vol. 77(C), pages 166-176.
    99. Ayuso, Mercedes & Bravo, Jorge M. & Holzmann, Robert, 2021. "Getting life expectancy estimates right for pension policy: period versus cohort approach," Journal of Pension Economics and Finance, Cambridge University Press, vol. 20(2), pages 212-231, April.
    100. Frank van Berkum & Katrien Antonio & Michel Vellekoop, 2021. "Quantifying longevity gaps using micro‐level lifetime data," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 184(2), pages 548-570, April.
    101. Yang, Bowen & Li, Jackie & Balasooriya, Uditha, 2015. "Using bootstrapping to incorporate model error for risk-neutral pricing of longevity risk," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 16-27.
    102. Dean Buckner & Kevin Dowd & Hardy Hulley, 2024. "How suitable are equity release mortgages as investments for pension funds?," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 49(2), pages 259-269, April.
    103. Leung, Melvern & Fung, Man Chung & O’Hare, Colin, 2018. "A comparative study of pricing approaches for longevity instruments," Insurance: Mathematics and Economics, Elsevier, vol. 82(C), pages 95-116.
    104. Søren Kjærgaard & Yunus Emre Ergemen & Marie-Pier Bergeron Boucher & Jim Oeppen & Malene Kallestrup-Lamb, 2019. "Longevity forecasting by socio-economic groups using compositional data analysis," CREATES Research Papers 2019-08, Department of Economics and Business Economics, Aarhus University.
    105. Blake, David & Courbage, Christophe & MacMinn, Richard & Sherris, Michael, 2011. "Longevity risks and capital markets: The 2010-2011 update," MPRA Paper 34279, University Library of Munich, Germany.
    106. Tsai, Cary Chi-Liang & Cheng, Echo Sihan, 2021. "Incorporating statistical clustering methods into mortality models to improve forecasting performances," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 42-62.
    107. Carfora, M.F. & Cutillo, L. & Orlando, A., 2017. "A quantitative comparison of stochastic mortality models on Italian population data," Computational Statistics & Data Analysis, Elsevier, vol. 112(C), pages 198-214.
    108. Risk, J. & Ludkovski, M., 2016. "Statistical emulators for pricing and hedging longevity risk products," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 45-60.
    109. Susanna Levantesi & Virginia Pizzorusso, 2019. "Application of Machine Learning to Mortality Modeling and Forecasting," Risks, MDPI, vol. 7(1), pages 1-19, February.
    110. Carlo Maccheroni & Samuel Nocito, 2017. "Backtesting the Lee–Carter and the Cairns–Blake–Dowd Stochastic Mortality Models on Italian Death Rates," Risks, MDPI, vol. 5(3), pages 1-23, July.
    111. Benchimol, Andrés Gustavo & Albarrán Lozano, Irene & Marín Díazaraque, Juan Miguel & Alonso, Pablo J., 2015. "Hierarchical Lee-Carter model estimation through data cloning applied to demographically linked countries," DES - Working Papers. Statistics and Econometrics. WS ws1510, Universidad Carlos III de Madrid. Departamento de Estadística.
    112. Ufuk Beyaztas & Hanlin Shang, 2022. "Machine-Learning-Based Functional Time Series Forecasting: Application to Age-Specific Mortality Rates," Forecasting, MDPI, vol. 4(1), pages 1-15, March.
    113. Lydia Dutton & Athanasios A. Pantelous & Malgorzata Seklecka, 2020. "The impact of economic growth in mortality modelling for selected OECD countries," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(3), pages 533-550, April.
    114. Norkhairunnisa Redzwan & Rozita Ramli, 2022. "A Bibliometric Analysis of Research on Stochastic Mortality Modelling and Forecasting," Risks, MDPI, vol. 10(10), pages 1-17, October.
    115. Pavel V. Shevchenko & Xiaolin Luo, 2016. "A Unified Pricing of Variable Annuity Guarantees under the Optimal Stochastic Control Framework," Risks, MDPI, vol. 4(3), pages 1-31, July.
    116. Igawa Takayuki, 2013. "Analysis of the Residual Structure of the Lee–Carter Model: The Case of Japanese Mortality," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 7(2), pages 53-80, July.
    117. FLICI, Farid, 2015. "Provisionnement des rentes viagères en Algérie entre approche statique et approche prospective [Life Annuities Reserving in Algeria between static approach and prospective approach]," MPRA Paper 91917, University Library of Munich, Germany.
    118. Haberman, Steven & Renshaw, Arthur, 2012. "Parametric mortality improvement rate modelling and projecting," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 309-333.
    119. Zoë Fannon & B. Nielsen, 2018. "Age-period cohort models," Economics Papers 2018-W04, Economics Group, Nuffield College, University of Oxford.
    120. Guibert, Quentin & Lopez, Olivier & Piette, Pierrick, 2019. "Forecasting mortality rate improvements with a high-dimensional VAR," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 255-272.
    121. Fabrizio Culotta, 2021. "Life Expectancy Heterogeneity and Pension Fairness: An Italian North-South Divide," Risks, MDPI, vol. 9(3), pages 1-22, March.
    122. Blake, David & Brockett, Patrick & Cox, Samuel & MacMinn, Richard, 2011. "Longevity risk and capital markets: The 2009-2010 update," MPRA Paper 28868, University Library of Munich, Germany.
    123. Goecke, Oskar, 2015. "Asset Liability-Management in einem selbstfinanzierenden Pensionsfonds," Forschung am ivwKöln 9/2015, Technische Hochschule Köln – University of Applied Sciences, Institute for Insurance Studies.
    124. Dowd, Kevin & Buckner, Dean & Blake, David & Fry, John, 2019. "The valuation of no-negative equity guarantees and equity release mortgages," Economics Letters, Elsevier, vol. 184(C).
    125. Li, Hong & De Waegenaere, Anja & Melenberg, Bertrand, 2015. "The choice of sample size for mortality forecasting: A Bayesian learning approach," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 153-168.
    126. Hong Li & Yang Lu, 2016. "Coherent Forecasting Of Mortality Rates: A Sparse Vector-Autoregression Approach," Post-Print halshs-02418954, HAL.
    127. Yue, Jack C. & Wang, Hsin-Chung & Leong, Yin-Yee & Su, Wei-Ping, 2018. "Using Taiwan National Health Insurance Database to model cancer incidence and mortality rates," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 316-324.
    128. Man Chung Fung & Gareth W. Peters & Pavel V. Shevchenko, 2017. "Cohort effects in mortality modelling: a Bayesian state-space approach," Papers 1703.08282, arXiv.org.
    129. Basellini, Ugofilippo & Camarda, Carlo Giovanni & Booth, Heather, 2023. "Thirty years on: A review of the Lee–Carter method for forecasting mortality," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1033-1049.
    130. Ekheden, Erland & Hössjer, Ola, 2015. "Multivariate time series modeling, estimation and prediction of mortalities," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 156-171.
    131. Elisa Luciano & Jaap Spreeuw & Elena Vigna, 2012. "Evolution of coupled lives' dependency across generations and pricing impact," Carlo Alberto Notebooks 258, Collegio Carlo Alberto.
    132. Ugofilippo Basellini & Søren Kjærgaard & Carlo Giovanni Camarda, 2020. "An age-at-death distribution approach to forecast cohort mortality," Working Papers axafx5_3agsuwaphvlfk, French Institute for Demographic Studies.
    133. Li, Hong & Tan, Ken Seng & Tuljapurkar, Shripad & Zhu, Wenjun, 2021. "Gompertz law revisited: Forecasting mortality with a multi-factor exponential model," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 268-281.
    134. Man Chung Fung & Gareth W. Peters & Pavel V. Shevchenko, 2016. "A unified approach to mortality modelling using state-space framework: characterisation, identification, estimation and forecasting," Papers 1605.09484, arXiv.org.
    135. Helena Chuliá & Montserrat Guillén & Jorge M. Uribe, 2015. "Mortality and Longevity Risks in the United Kingdom: Dynamic Factor Models and Copula-Functions," Working Papers 2015-03, Universitat de Barcelona, UB Riskcenter.
    136. Alexandre Boumezoued & Amal Elfassihi, 2020. "Mortality data correction in the absence of monthly fertility records," Working Papers hal-02634631, HAL.
    137. Tickle Leonie & Booth Heather, 2014. "The Longevity Prospects of Australian Seniors: An Evaluation of Forecast Method and Outcome," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 8(2), pages 259-292, July.
    138. Jackie Li & Atsuyuki Kogure, 2021. "Bayesian Mixture Modelling for Mortality Projection," Risks, MDPI, vol. 9(4), pages 1-12, April.
    139. Zhou, Rui & Ji, Min, 2021. "Modelling mortality dependence: An application of dynamic vine copula," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 241-255.
    140. David Atance & Ana Debón & Eliseo Navarro, 2020. "A Comparison of Forecasting Mortality Models Using Resampling Methods," Mathematics, MDPI, vol. 8(9), pages 1-21, September.
    141. Apostolos Bozikas & Georgios Pitselis, 2019. "Credible Regression Approaches to Forecast Mortality for Populations with Limited Data," Risks, MDPI, vol. 7(1), pages 1-22, February.
    142. Mercedes Ayuso & Jorge M. Bravo & Robert Holzmann & Edward Palmer, 2021. "Automatic Indexation of the Pension Age to Life Expectancy: When Policy Design Matters," Risks, MDPI, vol. 9(5), pages 1-28, May.
    143. Rachel WINGENBACH & Jong-Min KIM & Hojin JUNG, 2020. "Living Longer in High Longevity Risk," JODE - Journal of Demographic Economics, Cambridge University Press, vol. 86(1), pages 47-86, March.
    144. He, Lingyu & Huang, Fei & Shi, Jianjie & Yang, Yanrong, 2021. "Mortality forecasting using factor models: Time-varying or time-invariant factor loadings?," Insurance: Mathematics and Economics, Elsevier, vol. 98(C), pages 14-34.
    145. Li, Johnny Siu-Hang & Zhou, Rui & Hardy, Mary, 2015. "A step-by-step guide to building two-population stochastic mortality models," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 121-134.
    146. Karabey, Uǧur & Kleinow, Torsten & Cairns, Andrew J.G., 2014. "Factor risk quantification in annuity models," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 34-45.
    147. Søren Kjærgaard & Yunus Emre Ergemen & Malene Kallestrup-Lamb & Jim Oeppen & Rune Lindahl-Jacobsen, 2019. "Forecasting Causes of Death using Compositional Data Analysis: the Case of Cancer Deaths," CREATES Research Papers 2019-07, Department of Economics and Business Economics, Aarhus University.
    148. Zhang, Xuanming & Huang, Fei & Hui, Francis K.C. & Haberman, Steven, 2023. "Cause-of-death mortality forecasting using adaptive penalized tensor decompositions," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 193-213.
    149. Li, Johnny Siu-Hang & Liu, Yanxin, 2021. "Recent declines in life expectancy: Implication on longevity risk hedging," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 376-394.
    150. Ahmadi, Seyed Saeed & Li, Johnny Siu-Hang, 2014. "Coherent mortality forecasting with generalized linear models: A modified time-transformation approach," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 194-221.
    151. Beutner, Eric & Reese, Simon & Urbain, Jean-Pierre, 2017. "Identifiability issues of age–period and age–period–cohort models of the Lee–Carter type," Insurance: Mathematics and Economics, Elsevier, vol. 75(C), pages 117-125.
    152. Tsai, Cary Chi-Liang & Kim, Seyeon, 2022. "Model mortality rates using property and casualty insurance reserving methods," Insurance: Mathematics and Economics, Elsevier, vol. 106(C), pages 326-340.
    153. Massimiliano Menzietti & Maria Francesca Morabito & Manuela Stranges, 2019. "Mortality Projections for Small Populations: An Application to the Maltese Elderly," Risks, MDPI, vol. 7(2), pages 1-25, March.
    154. Lee, Yung-Tsung & Wang, Chou-Wen & Huang, Hong-Chih, 2012. "On the valuation of reverse mortgages with regular tenure payments," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 430-441.
    155. Kevin Dowd & David Blake, 2022. "Projecting Mortality Rates to Extreme Old Age with the CBDX Model," Forecasting, MDPI, vol. 4(1), pages 1-11, February.
    156. Rizzi, Silvia & Kjærgaard, Søren & Bergeron Boucher, Marie-Pier & Camarda, Carlo Giovanni & Lindahl-Jacobsen, Rune & Vaupel, James W., 2021. "Killing off cohorts: Forecasting mortality of non-extinct cohorts with the penalized composite link model," International Journal of Forecasting, Elsevier, vol. 37(1), pages 95-104.
    157. Hwang Yawen & Huang Hong-Chih, 2012. "Modified Logistic Model for Mortality Forecasting and the Application of Mortality-Linked Securities," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 6(1), pages 1-20, February.
    158. S⊘ren Kjærgaard & Yunus Emre Ergemen & Marie‐Pier Bergeron‐Boucher & Jim Oeppen & Malene Kallestrup‐Lamb, 2020. "Longevity forecasting by socio‐economic groups using compositional data analysis," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 183(3), pages 1167-1187, June.
    159. Zhou, Kenneth Q. & Li, Johnny Siu-Hang, 2019. "Delta-hedging longevity risk under the M7–M5 model: The impact of cohort effect uncertainty and population basis risk," Insurance: Mathematics and Economics, Elsevier, vol. 84(C), pages 1-21.
    160. Haberman, Steven & Renshaw, Arthur, 2009. "On age-period-cohort parametric mortality rate projections," Insurance: Mathematics and Economics, Elsevier, vol. 45(2), pages 255-270, October.
    161. O’Hare, Colin & Li, Youwei, 2012. "Explaining young mortality," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 12-25.
    162. Susanna Levantesi & Massimiliano Menzietti, 2017. "Maximum Market Price of Longevity Risk under Solvency Regimes: The Case of Solvency II," Risks, MDPI, vol. 5(2), pages 1-21, May.
    163. Yanxin Liu & Johnny Siu-Hang Li, 2023. "Disentangling Trend Risk and Basis Risk with Functional Time Series," Risks, MDPI, vol. 11(12), pages 1-18, November.
    164. Kira Henshaw & Waleed Hana & Corina Constantinescu & Dalia Khalil, 2023. "Dependence Modelling of Lifetimes in Egyptian Families," Risks, MDPI, vol. 11(1), pages 1-25, January.
    165. Marcin Bartkowiak, 2018. "Mortality modelling. Model specification and mortality forecast accuracy," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 51, pages 13-36.
    166. Li, Johnny Siu-Hang & Liu, Yanxin, 2020. "The heat wave model for constructing two-dimensional mortality improvement scales with measures of uncertainty," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 1-26.
    167. Dowd, Kevin & Cairns, Andrew & Blake, David & Coughlan, Guy & Khalaf-Allah, Marwa, 2011. "A gravity model of mortality rates for two related populations," MPRA Paper 35738, University Library of Munich, Germany.
    168. Andrew J.G. Cairns & Malene Kallestrup-Lamb & Carsten P.T. Rosenskjold & David Blake & Kevin Dowd, 2016. "Modelling Socio-Economic Differences in the Mortality of Danish Males Using a New Affluence Index," CREATES Research Papers 2016-14, Department of Economics and Business Economics, Aarhus University.
    169. Redondo Lourés, Cristian & Cairns, Andrew J.G., 2021. "Cause of death specific cohort effects in U.S. mortality," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 190-199.
    170. Li, J.S.H. & Ng, A.C.Y. & Chan, W.S., 2013. "Stochastic life table forecasting: A time-simultaneous fan chart application," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 93(C), pages 98-107.
    171. Ornelas, Arelly & Guillén, Montserrat, 2013. "A Comparison between General Population Mortality and Life Tables for Insurance in Mexico under Gender Proportion Inequality || Una comparación entre la mortalidad de la población general y las tablas," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 16(1), pages 47-67, December.
    172. Andrew J.G. Cairns & Kevin Dowd & David Blake & Guy D. Coughlan, 2014. "Longevity hedge effectiveness: a decomposition," Quantitative Finance, Taylor & Francis Journals, vol. 14(2), pages 217-235, February.
    173. Wang, Hong & Koo, Bonsoo & O'Hare, Colin, 2016. "Retirement planning in the light of changing demographics," Economic Modelling, Elsevier, vol. 52(PB), pages 749-763.
    174. Ana Debón & Steven Haberman & Francisco Montes & Edoardo Otranto, 2021. "Do Different Models Induce Changes in Mortality Indicators? That Is a Key Question for Extending the Lee-Carter Model," IJERPH, MDPI, vol. 18(4), pages 1-16, February.
    175. Kenneth Wong & Jackie Li & Sixian Tang, 2020. "A modified common factor model for modelling mortality jointly for both sexes," Journal of Population Research, Springer, vol. 37(2), pages 181-212, June.
    176. Liang, Zongxia & Sheng, Wenlong, 2016. "Valuing inflation-linked death benefits under a stochastic volatility framework," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 45-58.
    177. Feng, Ben Mingbin & Li, Johnny Siu-Hang & Zhou, Kenneth Q., 2022. "Green nested simulation via likelihood ratio: Applications to longevity risk management," Insurance: Mathematics and Economics, Elsevier, vol. 106(C), pages 285-301.
    178. Farid Flici & Frédéric Planchet, 2019. "Experience Prospective Life-Tables for the Algerian Retirees," Risks, MDPI, vol. 7(2), pages 1-21, April.
    179. Jonas Hirz & Uwe Schmock & Pavel V. Shevchenko, 2016. "Crunching Mortality and Life Insurance Portfolios with extended CreditRisk+," Papers 1601.04557, arXiv.org, revised Nov 2016.
    180. Basellini, Ugofilippo & Kjærgaard, Søren & Camarda, Carlo Giovanni, 2020. "An age-at-death distribution approach to forecast cohort mortality," Insurance: Mathematics and Economics, Elsevier, vol. 91(C), pages 129-143.
    181. Jacie Jia Liu, 2021. "A Study on Link Functions for Modelling and Forecasting Old-Age Survival Probabilities of Australia and New Zealand," Risks, MDPI, vol. 9(1), pages 1-18, January.

  59. Paul Dawson & Kevin Dowd & Andrew J. G. Cairns & David Blake, 2009. "Options on normal underlyings with an application to the pricing of survivor swaptions," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 29(8), pages 757-774, August.

    Cited by:

    1. Bravo, Jorge M. & Nunes, João Pedro Vidal, 2021. "Pricing longevity derivatives via Fourier transforms," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 81-97.
    2. Tzuling Lin & Cary Chi‐Liang Tsai, 2023. "A new option for mortality–interest rates," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(2), pages 273-293, February.
    3. Blake, David & Cairns, Andrew J.G., 2021. "Longevity risk and capital markets: The 2019-20 update," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 395-439.
    4. Paul Dawson & Kevin Dowd & Andrew J. G. Cairns & David Blake, 2010. "Survivor Derivatives: A Consistent Pricing Framework," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 77(3), pages 579-596, September.

  60. Andrew Cairns & David Blake & Kevin Dowd, 2008. "Modelling and management of mortality risk: a review," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2008(2-3), pages 79-113.

    Cited by:

    1. Lei He & Tianquan Zhong & Zhenqi Wang, 2023. "Assessing Delayed Retirement Policies Linked to Dynamic Life Expectancy with Stochastic Dynamic Mortality," Mathematics, MDPI, vol. 11(24), pages 1-16, December.
    2. Basellini, Ugofilippo & Camarda, Carlo Giovanni & Booth, Heather, 2022. "Thirty years on: A review of the Lee-Carter method for forecasting mortality," SocArXiv 8u34d, Center for Open Science.
    3. FLICI, Farid, 2016. "The future of longevity and life annuities pricing in Algeria: comparison of mortality models," SocArXiv 2tdgm, Center for Open Science.
    4. Basellini, Ugofilippo & Camarda, Carlo Giovanni & Booth, Heather, 2023. "Thirty years on: A review of the Lee–Carter method for forecasting mortality," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1033-1049.

  61. Alistair Byrne & Debbie Harrison & David Blake, 2008. "Defined contribution pensions: dealing with the reluctant investor," Journal of Financial Regulation and Compliance, Emerald Group Publishing Limited, vol. 16(3), pages 206-219, July.

    Cited by:

    1. Kaifala, Gabriel B. & Paisey, Catriona & Paisey, Nicholas J., 2021. "The UK pensions landscape – A critique of the role of accountants and accounting technologies in the treatment of social and societal risks," CRITICAL PERSPECTIVES ON ACCOUNTING, Elsevier, vol. 75(C).

  62. MacMinn Richard & Wang Jennifer & Blake David, 2008. "Longevity Risk and Capital Markets: The 2007-2008 Update," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 3(1), pages 1-6, September.

    Cited by:

    1. Elisa Luciano & Jaap Spreeuw & Elena Vigna, 2016. "Spouses’ Dependence across Generations and Pricing Impact on Reversionary Annuities," Risks, MDPI, vol. 4(2), pages 1-18, May.

  63. David Blake, 2008. "What is a Promise from the Government Worth? Quantifying Political Risk in State and Personal Pension Schemes in the United Kingdom," Economica, London School of Economics and Political Science, vol. 75(298), pages 342-361, May.

    Cited by:

    1. Luciano Fanti, 2012. "PAYG pensions and fertility drop: some (pleasant) arithmetic," Discussion Papers 2012/147, Dipartimento di Economia e Management (DEM), University of Pisa, Pisa, Italy.
    2. Erzo F.P. Luttmer & Andrew A. Samwick, 2015. "The Welfare Cost of Perceived Policy Uncertainty: Evidence from Social Security," NBER Working Papers 21818, National Bureau of Economic Research, Inc.

  64. Blake David & Cairns Andrew & Dowd Kevin, 2008. "The Birth of the Life Market," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 3(1), pages 1-32, September.

    Cited by:

    1. David Blake & Andrew Cairns & Guy Coughlan & Kevin Dowd & Richard MacMinn, 2013. "The New Life Market," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(3), pages 501-558, September.
    2. O'Hare, Colin & Li, Youwei, 2014. "Is mortality spatial or social?," Economic Modelling, Elsevier, vol. 42(C), pages 198-207.
    3. Chen, Fen-Ying & Yang, Sharon S. & Huang, Hong-Chih, 2022. "Modeling pandemic mortality risk and its application to mortality-linked security pricing," Insurance: Mathematics and Economics, Elsevier, vol. 106(C), pages 341-363.
    4. Tahir Choulli & Catherine Daveloose & Mich`ele Vanmaele, 2018. "Mortality/longevity Risk-Minimization with or without securitization," Papers 1805.11844, arXiv.org.
    5. David Blake & Marco Morales & Wenjun Zhu & Ken Seng Tan & Chou-Wen Wang, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 477-493, April.
    6. Ashby H.B. Monk, 2009. "Pension Buyouts: What Can We Learn From the UK Experience?," Issues in Brief ib2009-9-21, Center for Retirement Research, revised Oct 2009.
    7. Raj Kumari Bahl & Sotirios Sabanis, 2016. "Model-Independent Price Bounds for Catastrophic Mortality Bonds," Papers 1607.07108, arXiv.org, revised Dec 2020.
    8. Fang, H., 2016. "Insurance Markets for the Elderly," Handbook of the Economics of Population Aging, in: Piggott, John & Woodland, Alan (ed.), Handbook of the Economics of Population Aging, edition 1, volume 1, chapter 0, pages 237-309, Elsevier.
    9. Anja De Waegenaere & Bertrand Melenberg & Ralph Stevens, 2010. "Longevity Risk," De Economist, Springer, vol. 158(2), pages 151-192, June.
    10. Ashby H. B. Monk, 2009. "Pension Buyouts: What Can We Learn From The UK Experience?," Working Papers, Center for Retirement Research at Boston College wp2009-19, Center for Retirement Research, revised Sep 2009.
    11. Biffis, Enrico & Blake, David, 2010. "Securitizing and tranching longevity exposures," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 186-197, February.
    12. Andy Wong & Michael Sherris & Ralph Stevens, 2017. "Natural Hedging Strategies for Life Insurers: Impact of Product Design and Risk Measure," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(1), pages 153-175, March.
    13. Tahir Choulli & Catherine Daveloose & Michèle Vanmaele, 2021. "Mortality/Longevity Risk-Minimization with or without Securitization," Mathematics, MDPI, vol. 9(14), pages 1-27, July.
    14. Francesca Biagini & Andreas Groll & Jan Widenmann, 2016. "Risk Minimization for Insurance Products via F-Doubly Stochastic Markov Chains," Risks, MDPI, vol. 4(3), pages 1-26, July.
    15. Bahl, Raj Kumari & Sabanis, Sotirios, 2021. "Model-independent price bounds for Catastrophic Mortality Bonds," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 276-291.
    16. Paul Dawson & Kevin Dowd & Andrew J. G. Cairns & David Blake, 2010. "Survivor Derivatives: A Consistent Pricing Framework," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 77(3), pages 579-596, September.
    17. Ngai, Andrew & Sherris, Michael, 2011. "Longevity risk management for life and variable annuities: The effectiveness of static hedging using longevity bonds and derivatives," Insurance: Mathematics and Economics, Elsevier, vol. 49(1), pages 100-114, July.

  65. Blake, David & Dowd, Kevin & Cairns, Andrew J.G., 2008. "Longevity risk and the Grim Reaper's toxic tail: The survivor fan charts," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 1062-1066, June.

    Cited by:

    1. Blake David & Cairns Andrew & Dowd Kevin, 2008. "The Birth of the Life Market," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 3(1), pages 1-32, September.
    2. Olivia S. Mitchell, 2018. "Enhancing risk management for an aging world," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 43(2), pages 115-136, September.
    3. Bohm, Thomas & Waldvogel, Felix, 2012. "Etablierung eines außerbörslichen Kapitalmarktes für das Langlebigkeitsrisiko," Bayreuth Working Papers on Finance, Accounting and Taxation (FAcT-Papers) 2012-02, University of Bayreuth, Chair of Finance and Banking.
    4. David Blake & Andrew Cairns & Guy Coughlan & Kevin Dowd & Richard MacMinn, 2013. "The New Life Market," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(3), pages 501-558, September.
    5. Cannon, Edmund & Tonks, Ian, 2016. "Cohort mortality risk or adverse selection in annuity markets?," Journal of Public Economics, Elsevier, vol. 141(C), pages 68-81.
    6. David Blake, 2018. "Longevity: a new asset class," Journal of Asset Management, Palgrave Macmillan, vol. 19(5), pages 278-300, September.
    7. Yang, Sharon S. & Wang, Chou-Wen, 2013. "Pricing and securitization of multi-country longevity risk with mortality dependence," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 157-169.
    8. David Blake & Tom Boardman & Andrew Cairns, 2014. "Sharing Longevity Risk: Why Governments Should Issue Longevity Bonds," North American Actuarial Journal, Taylor & Francis Journals, vol. 18(1), pages 258-277.
    9. David Blake & Nicole El Karoui & Stéphane Loisel & Richard Macminn, 2018. "Longevity risk and capital markets: The 2015–16 update," Post-Print hal-01995778, HAL.
    10. Tomas Cipra, 2010. "Securitization of Longevity and Mortality Risk," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 60(6), pages 545-560, December.
    11. Vasily Kartashov & Raimond Maurer & Olivia S. Mitchell & Ralph Rogalla, 2011. "Lifecycle Portfolio Choice with Systematic Longevity Risk and Variable Investment-Linked Deferred Annuities," NBER Working Papers 17505, National Bureau of Economic Research, Inc.
    12. Blake, David & Cairns, Andrew & Dowd, Kevin, 2008. "Turning pension plans into pension planes: What investment strategy designers of defined contribution pension plans can learn from commercial aircraft designers," MPRA Paper 33749, University Library of Munich, Germany.
    13. Fujisawa Yosuke & Li Johnny Siu-Hang, 2011. "IFRS Convergence: The Role of Stochastic Mortality Models in the Disclosure of Longevity Risk for Defined Benefit Plans," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 5(1), pages 1-27, March.
    14. Kogure, Atsuyuki & Kurachi, Yoshiyuki, 2010. "A Bayesian approach to pricing longevity risk based on risk-neutral predictive distributions," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 162-172, February.
    15. Blake, David & Cairns, Andrew J.G., 2021. "Longevity risk and capital markets: The 2019-20 update," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 395-439.
    16. Blake, David & Courbage, Christophe & MacMinn, Richard & Sherris, Michael, 2011. "Longevity risks and capital markets: The 2010-2011 update," MPRA Paper 34279, University Library of Munich, Germany.
    17. Blake, David & Brockett, Patrick & Cox, Samuel & MacMinn, Richard, 2011. "Longevity risk and capital markets: The 2009-2010 update," MPRA Paper 28868, University Library of Munich, Germany.
    18. Li, Johnny Siu-Hang & Chan, Wai-Sum, 2011. "Time-simultaneous prediction bands: A new look at the uncertainty involved in forecasting mortality," Insurance: Mathematics and Economics, Elsevier, vol. 49(1), pages 81-88, July.
    19. Lin, Tzuling & Tzeng, Larry Y., 2010. "An additive stochastic model of mortality rates: An application to longevity risk in reserve evaluation," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 423-435, April.
    20. Kevin Dowd & David Blake & Andrew J. G. Cairns, 2016. "The Myth of Methuselah and the Uncertainty of Death: The Mortality Fan Charts," Risks, MDPI, vol. 4(3), pages 1-7, July.
    21. Li, J.S.H. & Ng, A.C.Y. & Chan, W.S., 2013. "Stochastic life table forecasting: A time-simultaneous fan chart application," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 93(C), pages 98-107.

  66. David Blake & Andrew Cairns & Kevin Dowd, 2007. "The Impact of Occupation and Gender on Pensions from Defined Contribution Plans," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 32(4), pages 458-482, October.

    Cited by:

    1. Blake, David & Cairns, Andrew & Dowd, Kevin, 2008. "Turning pension plans into pension planes: What investment strategy designers of defined contribution pension plans can learn from commercial aircraft designers," MPRA Paper 33749, University Library of Munich, Germany.
    2. Blake, David & Wright, Douglas & Zhang, Yumeng, 2011. "Target-driven investing: Optimal investment strategies in defined contribution pension plans under loss aversion," MPRA Paper 34278, University Library of Munich, Germany.
    3. Gregorio Impavido & Esperanza Lasagabaster & Manuel Garcia-Huitron, 2010. "New Policies for Mandatory Defined Contribution Pensions : Industrial Organization Models and Investment Products," World Bank Publications - Books, The World Bank Group, number 2462, December.
    4. Blake, David & Wright, Douglas & Zhang, Yumeng, 2014. "Age-dependent investing: Optimal funding and investment strategies in defined contribution pension plans when members are rational life cycle financial planners," Journal of Economic Dynamics and Control, Elsevier, vol. 38(C), pages 105-124.
    5. Owadally, Iqbal & Jang, Chul & Clare, Andrew, 2021. "Optimal investment for a retirement plan with deferred annuities allowing for inflation and labour income risk," European Journal of Operational Research, Elsevier, vol. 295(3), pages 1132-1146.

  67. Kevin Dowd & David Blake, 2006. "After VaR: The Theory, Estimation, and Insurance Applications of Quantile‐Based Risk Measures," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 73(2), pages 193-229, June.

    Cited by:

    1. Hartz, Christoph & Mittnik, Stefan & Paolella, Marc, 2006. "Accurate value-at-risk forecasting based on the normal-GARCH model," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2295-2312, December.
    2. Basu, Anup & Drew, Michael, 2006. "Appropriateness of Default Investment Options in Defined Contribution Plans: The Australian Evidence," MPRA Paper 3314, University Library of Munich, Germany, revised 02 Nov 2006.
    3. Bolancé, Catalina & Bahraoui, Zuhair & Artís, Manuel, 2014. "Quantifying the risk using copulae with nonparametric marginals," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 46-56.
    4. Massimiliano AMARANTE, 2013. "A Representation of Risk Measures," Cahiers de recherche 11-2013, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    5. Zoia, Maria Grazia & Biffi, Paola & Nicolussi, Federica, 2018. "Value at risk and expected shortfall based on Gram-Charlier-like expansions," Journal of Banking & Finance, Elsevier, vol. 93(C), pages 92-104.
    6. Guillermo Benavides, 2021. "Asymmetric Volatility Relevance in Risk Management: An Empirical Analysis using Stock Index Futures," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(TNEA), pages 1-18, Septiembr.
    7. Mitra, Sovan, 2013. "Operational risk of option hedging," Economic Modelling, Elsevier, vol. 33(C), pages 194-203.
    8. Griselda Deelstra & Michèle Vanmaele & David Vyncke, 2010. "Minimizing the Risk of a Financial Product Using a Put Option," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 77(4), pages 767-800, December.
    9. Mario Brandtner, 2016. "Spektrale Risikomaße: Konzeption, betriebswirtschaftliche Anwendungen und Fallstricke," Management Review Quarterly, Springer, vol. 66(2), pages 75-115, April.
    10. Woodard, Joshua D. & Garcia, Philip, 2008. "Weather Derivatives, Spatial Aggregation, and Systemic Risk: Implications for Reinsurance Hedging," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 33(1), pages 1-18, April.
    11. Arthur Charpentier & Abder Oulidi, 2009. "Estimating allocations for Value-at-Risk portfolio optimization," Post-Print halshs-00347250, HAL.
    12. Annette Hofmann & Nicos A. Scordis, 2018. "Challenges in Applying Risk Management Concepts in Practice: A Perspective," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 21(2), pages 309-333, September.
    13. Fernandes, Gláucia & Gomes, Leonardo & Vasconcelos, Gabriel & Brandão, Luiz, 2016. "Mitigating wind exposure with zero-cost collar insurance," Renewable Energy, Elsevier, vol. 99(C), pages 336-346.
    14. Gyöngyi Bugár & Anita Ratting, 2016. "Revision of the quantification of market risk in the Basel III regulatory framework," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), vol. 15(1), pages 33-50.
    15. Hartz, Christoph & Mittnik, Stefan & Paolella, Marc S., 2006. "Accurate Value-at-Risk forecast with the (good old) normal-GARCH model," CFS Working Paper Series 2006/23, Center for Financial Studies (CFS).
    16. Brandtner, Mario & Kürsten, Wolfgang, 2014. "Decision making with Conditional Value-at-Risk and spectral risk measures: The problem of comparative risk aversion," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100615, Verein für Socialpolitik / German Economic Association.
    17. Jasman Tuyon & Zamri Ahmada, 2016. "Behavioural finance perspectives on Malaysian stock market efficiency," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 16(1), pages 43-61, March.
    18. David Blake & John Cotter & Kevin Dowd, 2011. "Financial Risks and the Pension Protection Fund: Can it Survive Them?," Papers 1103.5978, arXiv.org.
    19. Hayette Gatfaoui, 2018. "Diversifying portfolios of U.S. stocks with crude oil and natural gas: A regime-dependent optimization with several risk measures," Papers 1811.02382, arXiv.org.
    20. Brandtner, Mario & Kürsten, Wolfgang, 2015. "Decision making with Expected Shortfall and spectral risk measures: The problem of comparative risk aversion," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 268-280.
    21. Ramon Alemany & Catalina Bolance & Montserrat Guillen, 2014. "Accounting for severity of risk when pricing insurance products," Working Papers 2014-05, Universitat de Barcelona, UB Riskcenter.
    22. Takashi Kato, 2017. "Asymptotic Analysis for Spectral Risk Measures Parameterized by Confidence Level," Papers 1711.07335, arXiv.org.
    23. Brunner, Gregory & Hinz, Richard & Rocha, Roberto, 2008. "Risk-based supervision of pension funds : a review of international experience and preliminary assessment of the first outcomes," Policy Research Working Paper Series 4491, The World Bank.
    24. Frédéric Godin & Van Son Lai & Denis-Alexandre Trottier, 2019. "A General Class of Distortion Operators for Pricing Contingent Claims with Applications to CAT Bonds," Working Papers 2019-004, Department of Research, Ipag Business School.
    25. Matyska, Branka, 2021. "Salience, systemic risk and spectral risk measures as capital requirements," Journal of Economic Dynamics and Control, Elsevier, vol. 125(C).
    26. Chuancun Yin & Dan Zhu, 2015. "New class of distortion risk measures and their tail asymptotics with emphasis on VaR," Papers 1503.08586, arXiv.org, revised Mar 2016.
    27. Del Brio, Esther B. & Mora-Valencia, Andrés & Perote, Javier, 2014. "VaR performance during the subprime and sovereign debt crises: An application to emerging markets," Emerging Markets Review, Elsevier, vol. 20(C), pages 23-41.
    28. Jasman Tuyon & Zamri Ahmad, 2021. "Dynamic risk attributes in Malaysia stock markets: Behavioural finance insights," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5793-5814, October.
    29. Tsai, Jeffrey T. & Wang, Jennifer L. & Tzeng, Larry Y., 2010. "On the optimal product mix in life insurance companies using conditional value at risk," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 235-241, February.
    30. Li, Yunxian & Tang, Niansheng & Jiang, Xuejun, 2016. "Bayesian approaches for analyzing earthquake catastrophic risk," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 110-119.
    31. Stupfler, Gilles & Yang, Fan, 2018. "Analyzing And Predicting Cat Bond Premiums: A Financial Loss Premium Principle And Extreme Value Modeling," ASTIN Bulletin, Cambridge University Press, vol. 48(1), pages 375-411, January.
    32. Nieto, Maria Rosa & Ruiz, Esther, 2016. "Frontiers in VaR forecasting and backtesting," International Journal of Forecasting, Elsevier, vol. 32(2), pages 475-501.
    33. Suparna Biswas & Rituparna Sen, 2024. "Estimation of Spectral Risk Measure for Left Truncated and Right Censored Data," Papers 2402.14322, arXiv.org.
    34. James Ming Chen, 2018. "On Exactitude in Financial Regulation: Value-at-Risk, Expected Shortfall, and Expectiles," Risks, MDPI, vol. 6(2), pages 1-28, June.
    35. Hosseini, S. Davod & Verma, Manish, 2018. "Conditional value-at-risk (CVaR) methodology to optimal train configuration and routing of rail hazmat shipments," Transportation Research Part B: Methodological, Elsevier, vol. 110(C), pages 79-103.
    36. Valeria Bignozzi & Andreas Tsanakas, 2016. "Parameter Uncertainty and Residual Estimation Risk," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 83(4), pages 949-978, December.
    37. Best, Peter & Stone, Roger & Sosenko, Olena, 2007. "Climate risk management based on climate modes and indices - the potential in Australian agribusinesses," 101st Seminar, July 5-6, 2007, Berlin Germany 9257, European Association of Agricultural Economists.
    38. Del Brio, Esther B. & Mora-Valencia, Andrés & Perote, Javier, 2014. "Semi-nonparametric VaR forecasts for hedge funds during the recent crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 401(C), pages 330-343.
    39. El Methni, Jonathan & Stupfler, Gilles, 2018. "Improved estimators of extreme Wang distortion risk measures for very heavy-tailed distributions," Econometrics and Statistics, Elsevier, vol. 6(C), pages 129-148.
    40. Marcelo Brutti Righi & Paulo Sergio Ceretta, 2015. "Shortfall Deviation Risk: An alternative to risk measurement," Papers 1501.02007, arXiv.org, revised May 2016.
    41. Cheung, Ka Chun & Dhaene, Jan & Lo, Ambrose & Tang, Qihe, 2014. "Reducing risk by merging counter-monotonic risks," Insurance: Mathematics and Economics, Elsevier, vol. 54(C), pages 58-65.
    42. Joaquin, Domingo Castelo, 2009. "Value at risk: Is a theoretically consistent axiomatic formulation possible?," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(2), pages 725-729, May.
    43. Martin Eling & Denis Toplek, 2009. "Modeling and Management of Nonlinear Dependencies–Copulas in Dynamic Financial Analysis," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(3), pages 651-681, September.
    44. Cameron A. MacKenzie, 2014. "Summarizing Risk Using Risk Measures and Risk Indices," Risk Analysis, John Wiley & Sons, vol. 34(12), pages 2143-2162, December.
    45. Yucel, Eray, 2011. "A Review and Bibliography of Early Warning Models," MPRA Paper 32893, University Library of Munich, Germany.

  68. Andrew J. G. Cairns & David Blake & Kevin Dowd, 2006. "A Two‐Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 73(4), pages 687-718, December.

    Cited by:

    1. Maurer, Raimond & Mitchell, Olivia S. & Rogalla, Ralph & Siegelin, Ivonne, 2016. "Accounting and actuarial smoothing of retirement payouts in participating life annuities," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 268-283.
    2. Cairns, Andrew J.G. & Blake, David & Dowd, Kevin & Coughlan, Guy D. & Epstein, David & Khalaf-Allah, Marwa, 2011. "Mortality density forecasts: An analysis of six stochastic mortality models," Insurance: Mathematics and Economics, Elsevier, vol. 48(3), pages 355-367, May.
    3. Rob Hyndman & Heather Booth & Farah Yasmeen, 2013. "Coherent Mortality Forecasting: The Product-Ratio Method With Functional Time Series Models," Demography, Springer;Population Association of America (PAA), vol. 50(1), pages 261-283, February.
    4. Plat, Richard, 2009. "Stochastic portfolio specific mortality and the quantification of mortality basis risk," Insurance: Mathematics and Economics, Elsevier, vol. 45(1), pages 123-132, August.
    5. Patrick GAGLIARDINI & Christian GOURIEROUX, 2010. "Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk," Working Papers 2010-07, Center for Research in Economics and Statistics.
    6. Bauer, Daniel & Börger, Matthias & Ruß, Jochen, 2010. "On the pricing of longevity-linked securities," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 139-149, February.
    7. Emilio Bisetti & Carlo Favero, 2014. "Measuring the Impact of Longevity Risk on Pension Systems: The Case of Italy," North American Actuarial Journal, Taylor & Francis Journals, vol. 18(1), pages 87-103.
    8. Bravo, Jorge Miguel & El Mekkaoui de Freitas, Najat, 2018. "Valuation of longevity-linked life annuities," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 212-229.
    9. Goecke, Oskar, 2018. "Resilience and Intergenerational Fairness in Collective Defined Contribution Pension Funds," Forschung am ivwKöln 7/2018, Technische Hochschule Köln – University of Applied Sciences, Institute for Insurance Studies.
    10. Huang, Fei & Maller, Ross & Ning, Xu, 2020. "Modelling life tables with advanced ages: An extreme value theory approach," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 95-115.
    11. Bohm, Thomas & Waldvogel, Felix, 2012. "Etablierung eines außerbörslichen Kapitalmarktes für das Langlebigkeitsrisiko," Bayreuth Working Papers on Finance, Accounting and Taxation (FAcT-Papers) 2012-02, University of Bayreuth, Chair of Finance and Banking.
    12. Liu, Yanxin & Li, Johnny Siu-Hang, 2016. "It’s all in the hidden states: A longevity hedging strategy with an explicit measure of population basis risk," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 301-319.
    13. Bayraktar, Erhan & Milevsky, Moshe A. & David Promislow, S. & Young, Virginia R., 2009. "Valuation of mortality risk via the instantaneous Sharpe ratio: Applications to life annuities," Journal of Economic Dynamics and Control, Elsevier, vol. 33(3), pages 676-691, March.
    14. Bozikas, Apostolos & Pitselis, Georgios, 2020. "Incorporating crossed classification credibility into the Lee–Carter model for multi-population mortality data," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 353-368.
    15. Marius D. Pascariu & Ugofilippo Basellini & José Manuel Aburto & Vladimir Canudas-Romo, 2020. "The Linear Link: Deriving Age-Specific Death Rates from Life Expectancy," Risks, MDPI, vol. 8(4), pages 1-18, October.
    16. Horneff, Wolfram & Maurer, Raimond & Rogalla, Ralph, 2010. "Dynamic portfolio choice with deferred annuities," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2652-2664, November.
    17. Zeddouk, Fadoua & Devolder, Pierre, 2019. "Mean reversion in stochastic mortality : why and how?," LIDAM Discussion Papers ISBA 2019018, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    18. Kogure Atsuyuki & Fushimi Takahiro, 2018. "A Bayesian Pricing of Longevity Derivatives with Interest Rate Risks," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 12(1), pages 1-30, January.
    19. Uditha Balasooriya & Johnny Siu-Hang Li & Jackie Li, 2020. "The Impact of Model Uncertainty on Index-Based Longevity Hedging and Measurement of Longevity Basis Risk," Risks, MDPI, vol. 8(3), pages 1-27, August.
    20. Lei He & Tianquan Zhong & Zhenqi Wang, 2023. "Assessing Delayed Retirement Policies Linked to Dynamic Life Expectancy with Stochastic Dynamic Mortality," Mathematics, MDPI, vol. 11(24), pages 1-16, December.
    21. Li, Han & Hyndman, Rob J., 2021. "Assessing mortality inequality in the U.S.: What can be said about the future?," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 152-162.
    22. Huaxiong Huang & Moshe A. Milevsky & Thomas S. Salisbury, 2018. "Retirement spending and biological age," Papers 1811.09921, arXiv.org.
    23. O'Hare, Colin & Li, Youwei, 2014. "Is mortality spatial or social?," Economic Modelling, Elsevier, vol. 42(C), pages 198-207.
    24. Karim Barigou & Stéphane Loisel & Yahia Salhi, 2020. "Parsimonious Predictive Mortality Modeling by Regularization and Cross-Validation with and without Covid-Type Effect," Risks, MDPI, vol. 9(1), pages 1-18, December.
    25. Denuit, Michel & Lu, Yang, 2020. "Wishart-Gamma mixtures for multiperil experience ratemaking, frequency-severity experience rating and micro-loss reserving," LIDAM Discussion Papers ISBA 2020016, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    26. Michel Denuit & Yang Lu, 2021. "Wishart‐gamma random effects models with applications to nonlife insurance," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 88(2), pages 443-481, June.
    27. Jevtić, Petar & Regis, Luca, 2015. "Assessing the solvency of insurance portfolios via a continuous-time cohort model," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 36-47.
    28. Cannon, Edmund & Tonks, Ian, 2016. "Cohort mortality risk or adverse selection in annuity markets?," Journal of Public Economics, Elsevier, vol. 141(C), pages 68-81.
    29. Plat, Richard, 2011. "One-year Value-at-Risk for longevity and mortality," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 462-470.
    30. M. Martin Boyer & Lars Stentoft, 2017. "Yes We Can (Price Derivatives on Survivor Indices)," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 20(1), pages 37-62, March.
    31. Carlo Favero & Marco Giacoletti, 2011. "Progress in Medicine, Limits to Life and Forecasting Mortality," Working Papers 406, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    32. David Blake, 2018. "Longevity: a new asset class," Journal of Asset Management, Palgrave Macmillan, vol. 19(5), pages 278-300, September.
    33. Friedberg Leora & Webb Anthony, 2007. "Life Is Cheap: Using Mortality Bonds to Hedge Aggregate Mortality Risk," The B.E. Journal of Economic Analysis & Policy, De Gruyter, vol. 7(1), pages 1-33, July.
    34. Hong Li & Yanlin Shi, 2021. "Mortality Forecasting with an Age-Coherent Sparse VAR Model," Risks, MDPI, vol. 9(2), pages 1-19, February.
    35. Cocco, João F. & Gomes, Francisco J., 2012. "Longevity risk, retirement savings, and financial innovation," Journal of Financial Economics, Elsevier, vol. 103(3), pages 507-529.
    36. Jorge Miguel Bravo & Mercedes Ayuso & Robert Holzmann & Edward Palmer, 2021. "Intergenerational Actuarial Fairness when Longevity Increases: Amending the Retirement Age," CESifo Working Paper Series 9408, CESifo.
    37. Yang, Sharon S. & Wang, Chou-Wen, 2013. "Pricing and securitization of multi-country longevity risk with mortality dependence," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 157-169.
    38. Geng Niu & Bertrand Melenberg, 2014. "Trends in Mortality Decrease and Economic Growth," Demography, Springer;Population Association of America (PAA), vol. 51(5), pages 1755-1773, October.
    39. Dushi, Irena & Friedberg, Leora & Webb, Tony, 2010. "The impact of aggregate mortality risk on defined benefit pension plans," Journal of Pension Economics and Finance, Cambridge University Press, vol. 9(4), pages 481-503, October.
    40. Boonen, T.J. & De Waegenaere, A.M.B. & Norde, H.W., 2012. "Bargaining for Over-The Counter Risk Redistributions : The Case of Longevity Risk," Discussion Paper 2012-090, Tilburg University, Center for Economic Research.
    41. Tan, Chong It & Li, Jackie & Li, Johnny Siu-Hang & Balasooriya, Uditha, 2014. "Parametric mortality indexes: From index construction to hedging strategies," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 285-299.
    42. Fabio Pammolli, 2013. "Demography, Sustainability, and Growth Notes on the future of the European "Social Market" Economy," Working Papers CERM 01-2013, Competitività, Regole, Mercati (CERM).
    43. Blake, David & Dowd, Kevin & Cairns, Andrew J.G., 2008. "Longevity risk and the Grim Reaper's toxic tail: The survivor fan charts," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 1062-1066, June.
    44. Bravo, Jorge M. & Nunes, João Pedro Vidal, 2021. "Pricing longevity derivatives via Fourier transforms," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 81-97.
    45. Harry Bensusan & Nicole El Karoui & Stéphane Loisel & Yahia Salhi, 2016. "Partial Splitting of Longevity and Financial Risks: The Longevity Nominal Choosing Swaptions," Post-Print hal-00768526, HAL.
    46. R. Giacometti & S. Ortobelli & M. Bertocchi, 2011. "A Stochastic Model for Mortality Rate on Italian Data," Journal of Optimization Theory and Applications, Springer, vol. 149(1), pages 216-228, April.
    47. Johnny Siu‐Hang Li & Andrew Cheuk‐Yin Ng, 2011. "Canonical Valuation of Mortality‐Linked Securities," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 78(4), pages 853-884, December.
    48. Francesca Perla & Salvatore Scognamiglio, 2023. "Locally-coherent multi-population mortality modelling via neural networks," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 46(1), pages 157-176, June.
    49. Mariarosaria Coppola & Maria Russolillo & Rosaria Simone, 2019. "An Indexation Mechanism for Retirement Age: Analysis of the Gender Gap," Risks, MDPI, vol. 7(1), pages 1-13, February.
    50. Li, Johnny Siu-Hang, 2010. "Pricing longevity risk with the parametric bootstrap: A maximum entropy approach," Insurance: Mathematics and Economics, Elsevier, vol. 47(2), pages 176-186, October.
    51. O'Hare, Colin & Li, Youwei, 2016. "Modelling mortality: Are we heading in the right direction?," MPRA Paper 71392, University Library of Munich, Germany.
    52. Camille Delbrouck & Jennifer Alonso-García, 2024. "COVID-19 and Excess Mortality: An Actuarial Study," Risks, MDPI, vol. 12(4), pages 1-27, March.
    53. Katrien Antonio & Anastasios Bardoutsos & Wilbert Ouburg, 2015. "Bayesian Poisson log-bilinear models for mortality projections with multiple populations," BAFFI CAREFIN Working Papers 1505, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    54. Yang, Sharon S. & Yue, Jack C. & Huang, Hong-Chih, 2010. "Modeling longevity risks using a principal component approach: A comparison with existing stochastic mortality models," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 254-270, February.
    55. David Atance & Alejandro Balbás & Eliseo Navarro, 2020. "Constructing dynamic life tables with a single-factor model," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 43(2), pages 787-825, December.
    56. Rihab Bedoui & Islem Kedidi, 2018. "Modeling Longevity Risk using Consistent Dynamics Affine Mortality Models," Working Papers hal-01678050, HAL.
    57. David Blake & Tom Boardman & Andrew Cairns, 2014. "Sharing Longevity Risk: Why Governments Should Issue Longevity Bonds," North American Actuarial Journal, Taylor & Francis Journals, vol. 18(1), pages 258-277.
    58. Cupido, Kyran & Jevtić, Petar & Paez, Antonio, 2020. "Spatial patterns of mortality in the United States: A spatial filtering approach," Insurance: Mathematics and Economics, Elsevier, vol. 95(C), pages 28-38.
    59. David Blake & Nicole El Karoui & Stéphane Loisel & Richard Macminn, 2018. "Longevity risk and capital markets: The 2015–16 update," Post-Print hal-01995778, HAL.
    60. Alexandre Boumezoued & Nicole El Karoui & Stéphane Loisel, 2015. "Measuring mortality heterogeneity with multi-state models and interval-censored data," Working Papers hal-01215350, HAL.
    61. Boonen, T.J. & De Waegenaere, A.M.B. & Norde, H.W., 2012. "Bargaining for Over-The Counter Risk Redistributions : The Case of Longevity Risk," Other publications TiSEM 666aa6f1-2d07-413c-90da-a, Tilburg University, School of Economics and Management.
    62. Ronkainen, Vesa, 2012. "Stochastic modeling of financing longevity risk in pension insurance," Bank of Finland Scientific Monographs, Bank of Finland, volume 0, number sm2012_044, October.
    63. Yajing Xu & Michael Sherris & Jonathan Ziveyi, 2020. "Market Price of Longevity Risk for a Multi‐Cohort Mortality Model With Application to Longevity Bond Option Pricing," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 87(3), pages 571-595, September.
    64. Michel Denuit, 2009. "Life Anuities with Stochastic Survival Probabilities: A Review," Methodology and Computing in Applied Probability, Springer, vol. 11(3), pages 463-489, September.
    65. Anastasia Novokreshchenova, 2016. "Predicting Human Mortality: Quantitative Evaluation of Four Stochastic Models," Risks, MDPI, vol. 4(4), pages 1-28, December.
    66. D’Amato, Valeria & Di Lorenzo, Emilia & Haberman, Steven & Sagoo, Pretty & Sibillo, Marilena, 2018. "De-risking strategy: Longevity spread buy-in," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 124-136.
    67. Wang, Ting & Young, Virginia R., 2016. "Hedging pure endowments with mortality derivatives," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 238-255.
    68. Selin Ozen & c{S}ule c{S}ahin, 2021. "A Two-Population Mortality Model to Assess Longevity Basis Risk," Papers 2101.06690, arXiv.org.
    69. Jevtić, Petar & Luciano, Elisa & Vigna, Elena, 2013. "Mortality surface by means of continuous time cohort models," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 122-133.
    70. MacMinn Richard & Wang Jennifer & Blake David, 2008. "Longevity Risk and Capital Markets: The 2007-2008 Update," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 3(1), pages 1-6, September.
    71. Vasily Kartashov & Raimond Maurer & Olivia S. Mitchell & Ralph Rogalla, 2011. "Lifecycle Portfolio Choice with Systematic Longevity Risk and Variable Investment-Linked Deferred Annuities," NBER Working Papers 17505, National Bureau of Economic Research, Inc.
    72. Bauer, Daniel & Weber, Frederik, 2007. "Assessing Investment and Longevity Risks within Immediate Annuities," Discussion Papers in Business Administration 1982, University of Munich, Munich School of Management.
    73. Kallestrup-Lamb, Malene & Søgaard Laursen, Nicolai, 2024. "Longevity hedge effectiveness using socioeconomic indices," Insurance: Mathematics and Economics, Elsevier, vol. 114(C), pages 242-251.
    74. Han Li & Colin O’Hare, 2019. "Mortality Forecasting: How Far Back Should We Look in Time?," Risks, MDPI, vol. 7(1), pages 1-15, February.
    75. Zhou, Hongjuan & Zhou, Kenneth Q. & Li, Xianping, 2022. "Stochastic mortality dynamics driven by mixed fractional Brownian motion," Insurance: Mathematics and Economics, Elsevier, vol. 106(C), pages 218-238.
    76. Liu, Yanxin & Li, Johnny Siu-Hang, 2018. "A strategy for hedging risks associated with period and cohort effects using q-forwards," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 267-285.
    77. Emilio Bisetti & Carlo A. Favero & Giacomo Nocera & Claudio Tebaldi, 2013. "A Multivariate Model of Strategic Asset Allocation with Longevity Risk," Working Papers 503, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    78. Matheus R Grasselli & Sebastiano Silla, 2009. "A policyholder's utility indifference valuation model for the guaranteed annuity option," Papers 0908.3196, arXiv.org.
    79. Blake, David & Cairns, Andrew & Dowd, Kevin, 2008. "Turning pension plans into pension planes: What investment strategy designers of defined contribution pension plans can learn from commercial aircraft designers," MPRA Paper 33749, University Library of Munich, Germany.
    80. Basellini, Ugofilippo & Camarda, Carlo Giovanni & Booth, Heather, 2022. "Thirty years on: A review of the Lee-Carter method for forecasting mortality," SocArXiv 8u34d, Center for Open Science.
    81. Raj Kumari Bahl & Sotirios Sabanis, 2016. "Model-Independent Price Bounds for Catastrophic Mortality Bonds," Papers 1607.07108, arXiv.org, revised Dec 2020.
    82. Samuel Asante Gyamerah & Janet Arthur & Saviour Worlanyo Akuamoah & Yethu Sithole, 2023. "Measurement and Impact of Longevity Risk in Portfolios of Pension Annuity: The Case in Sub Saharan Africa," FinTech, MDPI, vol. 2(1), pages 1-20, January.
    83. Börger, Matthias & Russ, Jochen & Schupp, Johannes, 2021. "It takes two: Why mortality trend modeling is more than modeling one mortality trend," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 222-232.
    84. Fujisawa Yosuke & Li Johnny Siu-Hang, 2011. "IFRS Convergence: The Role of Stochastic Mortality Models in the Disclosure of Longevity Risk for Defined Benefit Plans," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 5(1), pages 1-27, March.
    85. Selin Özen & Şule Şahin, 2021. "A Two-Population Mortality Model to Assess Longevity Basis Risk," Risks, MDPI, vol. 9(2), pages 1-19, February.
    86. Paola Biffi & Gian Clemente, 2014. "Selecting stochastic mortality models for the Italian population," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 37(2), pages 255-286, October.
    87. Lin, Tzuling & Tsai, Cary Chi-Liang, 2013. "On the mortality/longevity risk hedging with mortality immunization," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 580-596.
    88. Gourieroux, C. & Monfort, A., 2008. "Quadratic stochastic intensity and prospective mortality tables," Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 174-184, August.
    89. Benedetta Frassi & Fabio Pammolli & Luca Regis, 2017. "The potential costs of Longevity Risk on Public Pensions. Evidence from Italian data," Working Papers 01/2017, IMT School for Advanced Studies Lucca, revised Jan 2017.
    90. Broeders, Dirk & Mehlkopf, Roel & van Ool, Annick, 2021. "The economics of sharing macro-longevity risk," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 440-458.
    91. Barigou, Karim & Goffard, Pierre-Olivier & Loisel, Stéphane & Salhi, Yahia, 2023. "Bayesian model averaging for mortality forecasting using leave-future-out validation," International Journal of Forecasting, Elsevier, vol. 39(2), pages 674-690.
    92. Shang, Zhaoning & Goovaerts, Marc & Dhaene, Jan, 2011. "A recursive approach to mortality-linked derivative pricing," Insurance: Mathematics and Economics, Elsevier, vol. 49(2), pages 240-248, September.
    93. Teresa Cardoso & Mónica Oliveira & Ana Barbosa-Póvoa & Stefan Nickel, 2012. "Modeling the demand for long-term care services under uncertain information," Health Care Management Science, Springer, vol. 15(4), pages 385-412, December.
    94. Leung, Melvern & Li, Youwei & Pantelous, Athanasios A. & Vigne, Samuel A., 2021. "Bayesian Value-at-Risk backtesting: The case of annuity pricing," European Journal of Operational Research, Elsevier, vol. 293(2), pages 786-801.
    95. Li, Jing & Szimayer, Alexander, 2010. "The Uncertain Mortality Intensity Framework: Pricing and Hedging Unit-Linked Life Insurance Contracts," Bonn Econ Discussion Papers 13/2010, University of Bonn, Bonn Graduate School of Economics (BGSE).
    96. Marcus Christiansen, 2012. "Multistate models in health insurance," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 96(2), pages 155-186, June.
    97. Boumezoued, Alexandre & Elfassihi, Amal, 2021. "Mortality data correction in the absence of monthly fertility records," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 486-508.
    98. Hunt, Andrew & Blake, David, 2015. "Modelling longevity bonds: Analysing the Swiss Re Kortis bond," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 12-29.
    99. Fabrice Balland & Alexandre Boumezoued & Laurent Devineau & Marine Habart & Tom Popa, 2018. "Mortality data reliability in an internal model," Papers 1803.00464, arXiv.org.
    100. Wang, Chou-Wen & Huang, Hong-Chih & Hong, De-Chuan, 2013. "A feasible natural hedging strategy for insurance companies," Insurance: Mathematics and Economics, Elsevier, vol. 52(3), pages 532-541.
    101. Levantesi, Susanna & Menzietti, Massimiliano, 2012. "Managing longevity and disability risks in life annuities with long term care," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 391-401.
    102. Apostolos Bozikas & Georgios Pitselis, 2018. "An Empirical Study on Stochastic Mortality Modelling under the Age-Period-Cohort Framework: The Case of Greece with Applications to Insurance Pricing," Risks, MDPI, vol. 6(2), pages 1-34, April.
    103. Anja De Waegenaere & Bertrand Melenberg & Ralph Stevens, 2010. "Longevity Risk," De Economist, Springer, vol. 158(2), pages 151-192, June.
    104. FLICI, Farid & SENOUCI, Khadidja & HANNANI, Yasmine, 2017. "Tables de mortalité d’expérience incorporant une échelle de projection : adaptation aux cas des retraités en Algérie [Experience life tables incorporating a projection scale : adaptation to the cas," MPRA Paper 91918, University Library of Munich, Germany.
    105. Huang, Huaxiong & Milevsky, Moshe A. & Salisbury, Thomas S., 2012. "Optimal retirement consumption with a stochastic force of mortality," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 282-291.
    106. Corsaro, Stefania & Marino, Zelda & Scognamiglio, Salvatore, 2024. "Quantile mortality modelling of multiple populations via neural networks," Insurance: Mathematics and Economics, Elsevier, vol. 116(C), pages 114-133.
    107. Zoe Gibbs & Chris Groendyke & Brian Hartman & Robert Richardson, 2020. "Modeling County-Level Spatio-Temporal Mortality Rates Using Dynamic Linear Models," Risks, MDPI, vol. 8(4), pages 1-15, November.
    108. Colin O’hare & Youwei Li, 2017. "Models of mortality rates – analysing the residuals," Applied Economics, Taylor & Francis Journals, vol. 49(52), pages 5309-5323, November.
    109. Jaap Spreeuw & Iqbal Owadally & Muhammad Kashif, 2022. "Projecting Mortality Rates Using a Markov Chain," Mathematics, MDPI, vol. 10(7), pages 1-18, April.
    110. Ting Wang & Virginia R. Young, 2010. "Hedging Pure Endowments with Mortality Derivatives," Papers 1011.0248, arXiv.org.
    111. Cairns, Andrew J.G., 2011. "Modelling and management of longevity risk: Approximations to survivor functions and dynamic hedging," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 438-453.
    112. Huang, Yu-Lieh & Tsai, Jeffrey Tzuhao & Yang, Sharon S. & Cheng, Hung-Wen, 2014. "Price bounds of mortality-linked security in incomplete insurance market," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 30-39.
    113. Yuan Gao & Han Lin Shang, 2017. "Multivariate Functional Time Series Forecasting: Application to Age-Specific Mortality Rates," Risks, MDPI, vol. 5(2), pages 1-18, March.
    114. Wan, Cheng & Bertschi, Ljudmila, 2015. "Swiss coherent mortality model as a basis for developing longevity de-risking solutions for Swiss pension funds: A practical approach," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 66-75.
    115. Li, Han & O’Hare, Colin & Zhang, Xibin, 2015. "A semiparametric panel approach to mortality modeling," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 264-270.
    116. Kevin Dowd & David Blake & Andrew Cairns, 2010. "Facing up to uncertain life expectancy: The longevity fan charts," Demography, Springer;Population Association of America (PAA), vol. 47(1), pages 67-78, February.
    117. Wang, Pengjie & Pantelous, Athanasios A. & Vahid, Farshid, 2023. "Multi-population mortality projection: The augmented common factor model with structural breaks," International Journal of Forecasting, Elsevier, vol. 39(1), pages 450-469.
    118. Stevens, R.S.P. & De Waegenaere, A.M.B. & Melenberg, B., 2011. "Longevity Risk and Natural Hedge Potential in Portfolios Of Life Insurance Products : The Effect of Investment Risk," Other publications TiSEM a3e07689-4b6b-4987-852c-3, Tilburg University, School of Economics and Management.
    119. Date, P. & Mamon, R. & Jalen, L. & Wang, I.C., 2010. "A linear algebraic method for pricing temporary life annuities and insurance policies," Insurance: Mathematics and Economics, Elsevier, vol. 47(1), pages 98-104, August.
    120. Jonas Hirz & Uwe Schmock & Pavel V. Shevchenko, 2015. "Actuarial Applications and Estimation of Extended~CreditRisk$^+$," Papers 1505.04757, arXiv.org, revised Apr 2017.
    121. Kogure, Atsuyuki & Kurachi, Yoshiyuki, 2010. "A Bayesian approach to pricing longevity risk based on risk-neutral predictive distributions," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 162-172, February.
    122. Yang Qiao & Chou-Wen Wang & Wenjun Zhu, 2024. "Machine learning in long-term mortality forecasting," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 49(2), pages 340-362, April.
    123. Homa Magdalena, 2020. "Mathematical Reserves vs Longevity Risk in Life Insurances," Econometrics. Advances in Applied Data Analysis, Sciendo, vol. 24(1), pages 23-38, March.
    124. Pauline Barrieu & Harry Bensusan & Nicole El Karoui & Caroline Hillairet & Stéphane Loisel & Claudia Ravanelli & Yahia Salhi, 2012. "Understanding, Modeling and Managing Longevity Risk: Key Issues and Main Challenges," Post-Print hal-00417800, HAL.
    125. Tsai, Cary Chi-Liang & Wu, Adelaide Di, 2020. "Incorporating hierarchical credibility theory into modelling of multi-country mortality rates," Insurance: Mathematics and Economics, Elsevier, vol. 91(C), pages 37-54.
    126. Kwong Koon-Shing & Chan Wai-Sum & Siu-Hang Li Johnny, 2020. "Actuarial Modeling and Analysis of the Hong Kong Life Annuity Scheme," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 14(1), pages 1-12, January.
    127. Joab Odhiambo & Patrick Weke & Philip Ngare, 2021. "A Deep Learning Integrated Cairns-Blake-Dowd (CBD) Sytematic Mortality Risk Model," JRFM, MDPI, vol. 14(6), pages 1-12, June.
    128. Haberman, Steven & Renshaw, Arthur, 2011. "A comparative study of parametric mortality projection models," Insurance: Mathematics and Economics, Elsevier, vol. 48(1), pages 35-55, January.
    129. Olivieri, Annamaria & Pitacco, Ermanno, 2008. "Assessing the cost of capital for longevity risk," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 1013-1021, June.
    130. Min Zheng, 2015. "Heterogeneous Expectations and Speculative Behavior in Insurance-Linked Securities," Discrete Dynamics in Nature and Society, Hindawi, vol. 2015, pages 1-12, March.
    131. James Risk & Michael Ludkovski, 2015. "Statistical Emulators for Pricing and Hedging Longevity Risk Products," Papers 1508.00310, arXiv.org, revised Sep 2015.
    132. Li, Jing & Szimayer, Alexander, 2011. "The uncertain mortality intensity framework: Pricing and hedging unit-linked life insurance contracts," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 471-486.
    133. Chen, An & Li, Hong & Schultze, Mark, 2022. "Collective longevity swap: A novel longevity risk transfer solution and its economic pricing," Journal of Economic Behavior & Organization, Elsevier, vol. 201(C), pages 227-249.
    134. O'Hare, Colin & Li, Youwei, 2014. "Identifying structural breaks in stochastic mortality models," MPRA Paper 62994, University Library of Munich, Germany.
    135. Doukhan, P. & Pommeret, D. & Rynkiewicz, J. & Salhi, Y., 2017. "A class of random field memory models for mortality forecasting," Insurance: Mathematics and Economics, Elsevier, vol. 77(C), pages 97-110.
    136. Dowd, Kevin & Cairns, Andrew J.G. & Blake, David & Coughlan, Guy D. & Epstein, David & Khalaf-Allah, Marwa, 2010. "Evaluating the goodness of fit of stochastic mortality models," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 255-265, December.
    137. Chen, Hua & MacMinn, Richard & Sun, Tao, 2015. "Multi-population mortality models: A factor copula approach," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 135-146.
    138. Shao, Adam W. & Hanewald, Katja & Sherris, Michael, 2015. "Reverse mortgage pricing and risk analysis allowing for idiosyncratic house price risk and longevity risk," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 76-90.
    139. Nolde, Natalia & Parker, Gary, 2014. "Stochastic analysis of life insurance surplus," Insurance: Mathematics and Economics, Elsevier, vol. 56(C), pages 1-13.
    140. Han Lin Shang & Steven Haberman, 2020. "Retiree Mortality Forecasting: A Partial Age-Range or a Full Age-Range Model?," Risks, MDPI, vol. 8(3), pages 1-11, July.
    141. Blake, David & Cairns, Andrew J.G., 2021. "Longevity risk and capital markets: The 2019-20 update," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 395-439.
    142. Luca De Mori & Pietro Millossovich & Rui Zhu & Steven Haberman, 2024. "Two-Population Mortality Forecasting: An Approach Based on Model Averaging," Risks, MDPI, vol. 12(4), pages 1-17, March.
    143. Wong, Jackie S.T. & Forster, Jonathan J. & Smith, Peter W.F., 2018. "Bayesian mortality forecasting with overdispersion," Insurance: Mathematics and Economics, Elsevier, vol. 83(C), pages 206-221.
    144. Bravo, Jorge M. & Ayuso, Mercedes & Holzmann, Robert & Palmer, Edward, 2021. "Addressing the life expectancy gap in pension policy," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 200-221.
    145. Li, Johnny Siu-Hang & Liu, Yanxin & Chan, Wai-Sum, 2023. "Hedging longevity risk under non-Gaussian state-space stochastic mortality models: A mean-variance-skewness-kurtosis approach," Insurance: Mathematics and Economics, Elsevier, vol. 113(C), pages 96-121.
    146. Bruszas, Sandy & Kaschützke, Barbara & Maurer, Raimond & Siegelin, Ivonne, 2018. "Unisex pricing of German participating life annuities—Boon or bane for customer and insurance company?," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 230-245.
    147. Meyricke, Ramona & Sherris, Michael, 2014. "Longevity risk, cost of capital and hedging for life insurers under Solvency II," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 147-155.
    148. Li, Han & O’Hare, Colin, 2017. "Semi-parametric extensions of the Cairns–Blake–Dowd model: A one-dimensional kernel smoothing approach," Insurance: Mathematics and Economics, Elsevier, vol. 77(C), pages 166-176.
    149. Ayuso, Mercedes & Bravo, Jorge M. & Holzmann, Robert, 2021. "Getting life expectancy estimates right for pension policy: period versus cohort approach," Journal of Pension Economics and Finance, Cambridge University Press, vol. 20(2), pages 212-231, April.
    150. Yang, Bowen & Li, Jackie & Balasooriya, Uditha, 2015. "Using bootstrapping to incorporate model error for risk-neutral pricing of longevity risk," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 16-27.
    151. Leung, Melvern & Fung, Man Chung & O’Hare, Colin, 2018. "A comparative study of pricing approaches for longevity instruments," Insurance: Mathematics and Economics, Elsevier, vol. 82(C), pages 95-116.
    152. Søren Kjærgaard & Yunus Emre Ergemen & Marie-Pier Bergeron Boucher & Jim Oeppen & Malene Kallestrup-Lamb, 2019. "Longevity forecasting by socio-economic groups using compositional data analysis," CREATES Research Papers 2019-08, Department of Economics and Business Economics, Aarhus University.
    153. Blake, David & Courbage, Christophe & MacMinn, Richard & Sherris, Michael, 2011. "Longevity risks and capital markets: The 2010-2011 update," MPRA Paper 34279, University Library of Munich, Germany.
    154. Hong Li & Yang Lu, 2018. "A Bayesian non-parametric model for small population mortality," Post-Print hal-02419000, HAL.
    155. Tsai, Cary Chi-Liang & Cheng, Echo Sihan, 2021. "Incorporating statistical clustering methods into mortality models to improve forecasting performances," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 42-62.
    156. Ewald, Christian-Oliver & Zhang, Aihua, 2017. "On the effects of changing mortality patterns on investment, labour and consumption under uncertainty," Insurance: Mathematics and Economics, Elsevier, vol. 73(C), pages 105-115.
    157. Maurer, Raimond & Mitchell, Olivia S. & Rogalla, Ralph & Siegelin, Ivonne, 2015. "Accounting-based asset return smoothing in participating life annuities: Implications for annuitants, insurers, and policymakers," CFS Working Paper Series 518, Center for Financial Studies (CFS).
    158. Risk, J. & Ludkovski, M., 2016. "Statistical emulators for pricing and hedging longevity risk products," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 45-60.
    159. Zhang Saisai & Li Johnny Siu-Hang, 2017. "Longevity Risk-Sharing Annuities: Partial Indexation in Mortality Experience," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 11(1), pages 1-30, January.
    160. Chen, Bingzheng & Zhang, Lihong & Zhao, Lin, 2010. "On the robustness of longevity risk pricing," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 358-373, December.
    161. Rúben Pereira Carlos & Onofre Simões, 2012. "Hedging The Longevity Risk For The Portuguese Population In The Bond Market," Portuguese Journal of Management Studies, ISEG, Universidade de Lisboa, vol. 0(1), pages 63-82.
    162. Niu, G., 2014. "Essays on subjective expectations and mortality trends," Other publications TiSEM b9f72836-d8ad-478b-adca-4, Tilburg University, School of Economics and Management.
    163. Börger, Matthias & Schupp, Johannes, 2018. "Modeling trend processes in parametric mortality models," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 369-380.
    164. Carlo Maccheroni & Samuel Nocito, 2017. "Backtesting the Lee–Carter and the Cairns–Blake–Dowd Stochastic Mortality Models on Italian Death Rates," Risks, MDPI, vol. 5(3), pages 1-23, July.
    165. Benchimol, Andrés Gustavo & Albarrán Lozano, Irene & Marín Díazaraque, Juan Miguel & Alonso, Pablo J., 2015. "Hierarchical Lee-Carter model estimation through data cloning applied to demographically linked countries," DES - Working Papers. Statistics and Econometrics. WS ws1510, Universidad Carlos III de Madrid. Departamento de Estadística.
    166. Ignatieva, Katja & Song, Andrew & Ziveyi, Jonathan, 2016. "Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 286-300.
    167. Pascariu, Marius D. & Canudas-Romo, Vladimir & Vaupel, James W., 2018. "The double-gap life expectancy forecasting model," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 339-350.
    168. Szymański Andrzej & Rossa Agnieszka, 2021. "The Complex-Number Mortality Model (CNMM) based on orthonormal expansion of membership functions," Statistics in Transition New Series, Polish Statistical Association, vol. 22(3), pages 31-57, September.
    169. Ufuk Beyaztas & Hanlin Shang, 2022. "Machine-Learning-Based Functional Time Series Forecasting: Application to Age-Specific Mortality Rates," Forecasting, MDPI, vol. 4(1), pages 1-15, March.
    170. Norkhairunnisa Redzwan & Rozita Ramli, 2022. "A Bibliometric Analysis of Research on Stochastic Mortality Modelling and Forecasting," Risks, MDPI, vol. 10(10), pages 1-17, October.
    171. Tsai, Jeffrey T. & Wang, Jennifer L. & Tzeng, Larry Y., 2010. "On the optimal product mix in life insurance companies using conditional value at risk," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 235-241, February.
    172. Hao, Xuemiao & Liang, Chunli & Wei, Linghua, 2017. "Evaluation of credit value adjustment in K-forward," Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 95-103.
    173. Guibert, Quentin & Lopez, Olivier & Piette, Pierrick, 2019. "Forecasting mortality rate improvements with a high-dimensional VAR," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 255-272.
    174. Blake, David & Brockett, Patrick & Cox, Samuel & MacMinn, Richard, 2011. "Longevity risk and capital markets: The 2009-2010 update," MPRA Paper 28868, University Library of Munich, Germany.
    175. Boonen, Tim J. & De Waegenaere, Anja & Norde, Henk, 2017. "Redistribution of longevity risk: The effect of heterogeneous mortality beliefs," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 175-188.
    176. Goecke, Oskar, 2015. "Asset Liability-Management in einem selbstfinanzierenden Pensionsfonds," Forschung am ivwKöln 9/2015, Technische Hochschule Köln – University of Applied Sciences, Institute for Insurance Studies.
    177. Li, Hong & De Waegenaere, Anja & Melenberg, Bertrand, 2015. "The choice of sample size for mortality forecasting: A Bayesian learning approach," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 153-168.
    178. Hong Li & Yang Lu, 2016. "Coherent Forecasting Of Mortality Rates: A Sparse Vector-Autoregression Approach," Post-Print halshs-02418954, HAL.
    179. Hua Chen & Michael Sherris & Tao Sun & Wenge Zhu, 2013. "Living With Ambiguity: Pricing Mortality-Linked Securities With Smooth Ambiguity Preferences," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(3), pages 705-732, September.
    180. Man Chung Fung & Gareth W. Peters & Pavel V. Shevchenko, 2017. "Cohort effects in mortality modelling: a Bayesian state-space approach," Papers 1703.08282, arXiv.org.
    181. M. Martin Boyer & Lars Stentoft, 2012. "If we can simulate it, we can insure it: An application to longevity risk management," CIRANO Working Papers 2012s-08, CIRANO.
    182. Jorge Bravo, 2011. "Pricing Longevity Bonds Using Affine-Jump Diffusion Models," CEFAGE-UE Working Papers 2011_29, University of Evora, CEFAGE-UE (Portugal).
    183. Liu, Yanxin & Li, Johnny Siu-Hang, 2015. "The age pattern of transitory mortality jumps and its impact on the pricing of catastrophic mortality bonds," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 135-150.
    184. Basellini, Ugofilippo & Camarda, Carlo Giovanni & Booth, Heather, 2023. "Thirty years on: A review of the Lee–Carter method for forecasting mortality," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1033-1049.
    185. Zeddouk, Fadoua & Devolder, Pierre, 2022. "Pricing and hedging of longevity basis risk through securitization," LIDAM Discussion Papers ISBA 2022038, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    186. Li, Johnny Siu-Hang & Chan, Wai-Sum, 2011. "Time-simultaneous prediction bands: A new look at the uncertainty involved in forecasting mortality," Insurance: Mathematics and Economics, Elsevier, vol. 49(1), pages 81-88, July.
    187. Francesco Billari & Rebecca Graziani & Eugenio Melilli, 2014. "Stochastic Population Forecasting Based on Combinations of Expert Evaluations Within the Bayesian Paradigm," Demography, Springer;Population Association of America (PAA), vol. 51(5), pages 1933-1954, October.
    188. Franca Glenzer & Bertrand Achou, 2019. "Annuities, long-term care insurance, and insurer solvency," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 44(2), pages 252-276, April.
    189. Ekheden, Erland & Hössjer, Ola, 2015. "Multivariate time series modeling, estimation and prediction of mortalities," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 156-171.
    190. Eckhard Platen, 2009. "Real World Pricing of Long Term Contracts," Research Paper Series 262, Quantitative Finance Research Centre, University of Technology, Sydney.
    191. Alexandros E. Milionis & Nikolaos G. Galanopoulos & Peter Hatzopoulos & Aliki Sagianou, 2022. "Forecasting actuarial time series: a practical study of the effect of statistical pre-adjustments," Working Papers 297, Bank of Greece.
    192. Jarner, Søren F. & Jallbjørn, Snorre, 2020. "Pitfalls and merits of cointegration-based mortality models," Insurance: Mathematics and Economics, Elsevier, vol. 90(C), pages 80-93.
    193. Ugofilippo Basellini & Søren Kjærgaard & Carlo Giovanni Camarda, 2020. "An age-at-death distribution approach to forecast cohort mortality," Working Papers axafx5_3agsuwaphvlfk, French Institute for Demographic Studies.
    194. Li, Hong & Tan, Ken Seng & Tuljapurkar, Shripad & Zhu, Wenjun, 2021. "Gompertz law revisited: Forecasting mortality with a multi-factor exponential model," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 268-281.
    195. Man Chung Fung & Gareth W. Peters & Pavel V. Shevchenko, 2016. "A unified approach to mortality modelling using state-space framework: characterisation, identification, estimation and forecasting," Papers 1605.09484, arXiv.org.
    196. Helena Chuliá & Montserrat Guillén & Jorge M. Uribe, 2015. "Mortality and Longevity Risks in the United Kingdom: Dynamic Factor Models and Copula-Functions," Working Papers 2015-03, Universitat de Barcelona, UB Riskcenter.
    197. Min Le & Xinrong Xiao & Dragan Pamučar & Qianling Liang, 2021. "A Study on Fiscal Risk of China’s Employees Basic Pension System under Longevity Risk," Sustainability, MDPI, vol. 13(10), pages 1-23, May.
    198. Li, Hong & Shi, Yanlin, 2021. "Forecasting mortality with international linkages: A global vector-autoregression approach," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 59-75.
    199. Alexandre Boumezoued & Amal Elfassihi, 2020. "Mortality data correction in the absence of monthly fertility records," Working Papers hal-02634631, HAL.
    200. Tickle Leonie & Booth Heather, 2014. "The Longevity Prospects of Australian Seniors: An Evaluation of Forecast Method and Outcome," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 8(2), pages 259-292, July.
    201. Jackie Li & Atsuyuki Kogure, 2021. "Bayesian Mixture Modelling for Mortality Projection," Risks, MDPI, vol. 9(4), pages 1-12, April.
    202. Börger, Matthias & Freimann, Arne & Ruß, Jochen, 2021. "A combined analysis of hedge effectiveness and capital efficiency in longevity hedging," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 309-326.
    203. Lin, Tzuling & Tzeng, Larry Y., 2010. "An additive stochastic model of mortality rates: An application to longevity risk in reserve evaluation," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 423-435, April.
    204. David Atance & Ana Debón & Eliseo Navarro, 2020. "A Comparison of Forecasting Mortality Models Using Resampling Methods," Mathematics, MDPI, vol. 8(9), pages 1-21, September.
    205. Kevin Dowd & David Blake & Andrew J. G. Cairns, 2016. "The Myth of Methuselah and the Uncertainty of Death: The Mortality Fan Charts," Risks, MDPI, vol. 4(3), pages 1-7, July.
    206. Arkadiusz Filip, 2018. "Natural immunization of an insurance portfolio against longevity risk," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 51, pages 63-92.
    207. Apostolos Bozikas & Georgios Pitselis, 2019. "Credible Regression Approaches to Forecast Mortality for Populations with Limited Data," Risks, MDPI, vol. 7(1), pages 1-22, February.
    208. Andreas Milidonis, 2012. "Cypriot Mortality and Pension Benefits," Cyprus Economic Policy Review, University of Cyprus, Economics Research Centre, vol. 6(2), pages 59-66, December.
    209. Claire Peltier, 2019. "Introduction aux dérivés d'assurance," Working Papers hal-02274639, HAL.
    210. Mercedes Ayuso & Jorge M. Bravo & Robert Holzmann & Edward Palmer, 2021. "Automatic Indexation of the Pension Age to Life Expectancy: When Policy Design Matters," Risks, MDPI, vol. 9(5), pages 1-28, May.
    211. Rachel WINGENBACH & Jong-Min KIM & Hojin JUNG, 2020. "Living Longer in High Longevity Risk," JODE - Journal of Demographic Economics, Cambridge University Press, vol. 86(1), pages 47-86, March.
    212. Li, Johnny Siu-Hang & Zhou, Rui & Hardy, Mary, 2015. "A step-by-step guide to building two-population stochastic mortality models," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 121-134.
    213. Karabey, Uǧur & Kleinow, Torsten & Cairns, Andrew J.G., 2014. "Factor risk quantification in annuity models," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 34-45.
    214. Plat, Richard, 2009. "On stochastic mortality modeling," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 393-404, December.
    215. Jr-Wei Huang & Sharon S. Yang & Chuang-Chang Chang, 2021. "Modeling Housing Price Dynamics and their Impact on the Cost of no-Negative-Equity-Guarantees for Equity Releasing Products," The Journal of Real Estate Finance and Economics, Springer, vol. 63(2), pages 249-279, August.
    216. Shang, Han Lin & Haberman, Steven, 2017. "Grouped multivariate and functional time series forecasting:An application to annuity pricing," Insurance: Mathematics and Economics, Elsevier, vol. 75(C), pages 166-179.
    217. Hainaut, Donatien, 2022. "A calendar year mortality model in continuous time," LIDAM Discussion Papers ISBA 2022019, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    218. Blake, David, 2009. "NDC v FDC: Pros, cons and replication," MPRA Paper 33752, University Library of Munich, Germany.
    219. Li, Johnny Siu-Hang & Liu, Yanxin, 2021. "Recent declines in life expectancy: Implication on longevity risk hedging," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 376-394.
    220. Sitong Yang & Shouwei Li & Xue Rui & Tianxiang Zhao, 2024. "The impact of climate risk on the asset side and liability side of the insurance industry: evidence from China," Economic Change and Restructuring, Springer, vol. 57(3), pages 1-51, June.
    221. Man Chung Fung & Katja Ignatieva & Michael Sherris, 2019. "Managing Systematic Mortality Risk in Life Annuities: An Application of Longevity Derivatives," Risks, MDPI, vol. 7(1), pages 1-25, January.
    222. Ahmadi, Seyed Saeed & Li, Johnny Siu-Hang, 2014. "Coherent mortality forecasting with generalized linear models: A modified time-transformation approach," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 194-221.
    223. Moshe A. Milevsky & Thomas S. Salisbury & Alexander Chigodaev, 2018. "The implied longevity curve: How long does the market think you are going to live?," Papers 1811.09932, arXiv.org.
    224. Tsai, Cary Chi-Liang & Kim, Seyeon, 2022. "Model mortality rates using property and casualty insurance reserving methods," Insurance: Mathematics and Economics, Elsevier, vol. 106(C), pages 326-340.
    225. Şule Şahin & Selin Özen, 2024. "A Quantitative Comparison of Mortality Models with Jumps: Pre- and Post-COVID Insights on Insurance Pricing," Risks, MDPI, vol. 12(3), pages 1, March.
    226. Kevin Dowd & David Blake, 2022. "Projecting Mortality Rates to Extreme Old Age with the CBDX Model," Forecasting, MDPI, vol. 4(1), pages 1-11, February.
    227. Zhou, Rui & Li, Johnny Siu-Hang & Tan, Ken Seng, 2015. "Modeling longevity risk transfers as Nash bargaining problems: Methodology and insights," Economic Modelling, Elsevier, vol. 51(C), pages 460-472.
    228. Rizzi, Silvia & Kjærgaard, Søren & Bergeron Boucher, Marie-Pier & Camarda, Carlo Giovanni & Lindahl-Jacobsen, Rune & Vaupel, James W., 2021. "Killing off cohorts: Forecasting mortality of non-extinct cohorts with the penalized composite link model," International Journal of Forecasting, Elsevier, vol. 37(1), pages 95-104.
    229. Hwang Yawen & Huang Hong-Chih, 2012. "Modified Logistic Model for Mortality Forecasting and the Application of Mortality-Linked Securities," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 6(1), pages 1-20, February.
    230. Cadena, Meitner & Denuit, Michel, 2016. "Semi-parametric accelerated hazard relational models with applications to mortality projections," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 1-16.
    231. Wang, Hsin-Chung & Yue, Ching-Syang Jack & Chong, Chen-Tai, 2018. "Mortality models and longevity risk for small populations," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 351-359.
    232. Lin, Tzuling & Wang, Chou-Wen & Tsai, Cary Chi-Liang, 2015. "Age-specific copula-AR-GARCH mortality models," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 110-124.
    233. Zhou, Kenneth Q. & Li, Johnny Siu-Hang, 2019. "Delta-hedging longevity risk under the M7–M5 model: The impact of cohort effect uncertainty and population basis risk," Insurance: Mathematics and Economics, Elsevier, vol. 84(C), pages 1-21.
    234. Bahl, Raj Kumari & Sabanis, Sotirios, 2021. "Model-independent price bounds for Catastrophic Mortality Bonds," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 276-291.
    235. Haberman, Steven & Renshaw, Arthur, 2009. "On age-period-cohort parametric mortality rate projections," Insurance: Mathematics and Economics, Elsevier, vol. 45(2), pages 255-270, October.
    236. O’Hare, Colin & Li, Youwei, 2012. "Explaining young mortality," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 12-25.
    237. Susanna Levantesi & Massimiliano Menzietti, 2017. "Maximum Market Price of Longevity Risk under Solvency Regimes: The Case of Solvency II," Risks, MDPI, vol. 5(2), pages 1-21, May.
    238. Kira Henshaw & Waleed Hana & Corina Constantinescu & Dalia Khalil, 2023. "Dependence Modelling of Lifetimes in Egyptian Families," Risks, MDPI, vol. 11(1), pages 1-25, January.
    239. Marcin Bartkowiak, 2018. "Mortality modelling. Model specification and mortality forecast accuracy," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 51, pages 13-36.
    240. Ahmadi, Seyed Saeed & Gaillardetz, Patrice, 2015. "Modeling mortality and pricing life annuities with Lévy processes," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 337-350.
    241. Li, Johnny Siu-Hang & Liu, Yanxin, 2020. "The heat wave model for constructing two-dimensional mortality improvement scales with measures of uncertainty," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 1-26.
    242. Andrew J.G. Cairns & Malene Kallestrup-Lamb & Carsten P.T. Rosenskjold & David Blake & Kevin Dowd, 2016. "Modelling Socio-Economic Differences in the Mortality of Danish Males Using a New Affluence Index," CREATES Research Papers 2016-14, Department of Economics and Business Economics, Aarhus University.
    243. Huang, Rachel J. & Miao, Jerry C.Y. & Tzeng, Larry Y., 2013. "Does mortality improvement increase equity risk premiums? A risk perception perspective," Journal of Empirical Finance, Elsevier, vol. 22(C), pages 67-77.
    244. Li, J.S.H. & Ng, A.C.Y. & Chan, W.S., 2013. "Stochastic life table forecasting: A time-simultaneous fan chart application," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 93(C), pages 98-107.
    245. Ka Kin Lam & Bo Wang, 2021. "Robust Non-Parametric Mortality and Fertility Modelling and Forecasting: Gaussian Process Regression Approaches," Forecasting, MDPI, vol. 3(1), pages 1-21, March.
    246. Andrew J.G. Cairns & Kevin Dowd & David Blake & Guy D. Coughlan, 2014. "Longevity hedge effectiveness: a decomposition," Quantitative Finance, Taylor & Francis Journals, vol. 14(2), pages 217-235, February.
    247. Wang, Hong & Koo, Bonsoo & O'Hare, Colin, 2016. "Retirement planning in the light of changing demographics," Economic Modelling, Elsevier, vol. 52(PB), pages 749-763.
    248. Istvan Majer & Ralph Stevens & Wilma Nusselder & Johan Mackenbach & Pieter Baal, 2013. "Modeling and Forecasting Health Expectancy: Theoretical Framework and Application," Demography, Springer;Population Association of America (PAA), vol. 50(2), pages 673-697, April.
    249. Christiansen, Marcus C. & Niemeyer, Andreas & Teigiszerová, Lucia, 2015. "Modeling and forecasting duration-dependent mortality rates," Computational Statistics & Data Analysis, Elsevier, vol. 83(C), pages 65-81.
    250. Kamil Jod'z, 2018. "Mortality in a heterogeneous population - Lee-Carter's methodology," Papers 1803.11233, arXiv.org.
    251. Yang, Sharon S. & Yueh, Meng-Lan & Tang, Chun-Hua, 2008. "Valuation of the interest rate guarantee embedded in defined contribution pension plans," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 920-934, June.
    252. Russo, Vincenzo & Giacometti, Rosella & Ortobelli, Sergio & Rachev, Svetlozar & Fabozzi, Frank J., 2011. "Calibrating affine stochastic mortality models using term assurance premiums," Insurance: Mathematics and Economics, Elsevier, vol. 49(1), pages 53-60, July.
    253. Hanbali, Hamza & Dhaene, Jan & Linders, Daniël, 2022. "Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables," Insurance: Mathematics and Economics, Elsevier, vol. 107(C), pages 22-37.
    254. Man Chung Fung & Katja Ignatieva & Michael Sherris, 2015. "Managing Systematic Mortality Risk in Life Annuities: An Application of Longevity Derivatives," Papers 1508.00090, arXiv.org.
    255. Ngai, Andrew & Sherris, Michael, 2011. "Longevity risk management for life and variable annuities: The effectiveness of static hedging using longevity bonds and derivatives," Insurance: Mathematics and Economics, Elsevier, vol. 49(1), pages 100-114, July.
    256. Stevens, R.S.P. & De Waegenaere, A.M.B. & Melenberg, B., 2011. "Longevity Risk and Natural Hedge Potential in Portfolios Of Life Insurance Products : The Effect of Investment Risk," Discussion Paper 2011-036, Tilburg University, Center for Economic Research.
    257. Farid Flici & Frédéric Planchet, 2019. "Experience Prospective Life-Tables for the Algerian Retirees," Risks, MDPI, vol. 7(2), pages 1-21, April.
    258. Basellini, Ugofilippo & Kjærgaard, Søren & Camarda, Carlo Giovanni, 2020. "An age-at-death distribution approach to forecast cohort mortality," Insurance: Mathematics and Economics, Elsevier, vol. 91(C), pages 129-143.
    259. Jacie Jia Liu, 2021. "A Study on Link Functions for Modelling and Forecasting Old-Age Survival Probabilities of Australia and New Zealand," Risks, MDPI, vol. 9(1), pages 1-18, January.

  69. Dowd, Kevin & Cairns, Andrew J.G. & Blake, David, 2006. "Mortality-dependent financial risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 38(3), pages 427-440, June.

    Cited by:

    1. Katja Hanewald & Thomas Post & Helmut Gründl, 2011. "Stochastic Mortality, Macroeconomic Risks and Life Insurer Solvency," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 36(3), pages 458-475, July.
    2. Friedberg Leora & Webb Anthony, 2007. "Life Is Cheap: Using Mortality Bonds to Hedge Aggregate Mortality Risk," The B.E. Journal of Economic Analysis & Policy, De Gruyter, vol. 7(1), pages 1-33, July.
    3. Bauer, Daniel & Weber, Frederik, 2007. "Assessing Investment and Longevity Risks within Immediate Annuities," Discussion Papers in Business Administration 1982, University of Munich, Munich School of Management.
    4. Lin, Yijia & MacMinn, Richard D. & Tian, Ruilin, 2015. "De-risking defined benefit plans," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 52-65.
    5. Hunt, Andrew & Blake, David, 2015. "Modelling longevity bonds: Analysing the Swiss Re Kortis bond," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 12-29.
    6. Anja De Waegenaere & Bertrand Melenberg & Ralph Stevens, 2010. "Longevity Risk," De Economist, Springer, vol. 158(2), pages 151-192, June.
    7. Stevens, R.S.P. & De Waegenaere, A.M.B. & Melenberg, B., 2011. "Longevity Risk and Natural Hedge Potential in Portfolios Of Life Insurance Products : The Effect of Investment Risk," Other publications TiSEM a3e07689-4b6b-4987-852c-3, Tilburg University, School of Economics and Management.
    8. Qian, Linyi & Wang, Wei & Wang, Rongming & Tang, Yincai, 2010. "Valuation of equity-indexed annuity under stochastic mortality and interest rate," Insurance: Mathematics and Economics, Elsevier, vol. 47(2), pages 123-129, October.
    9. Lin, Tzuling & Tzeng, Larry Y., 2010. "An additive stochastic model of mortality rates: An application to longevity risk in reserve evaluation," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 423-435, April.
    10. Rachel WINGENBACH & Jong-Min KIM & Hojin JUNG, 2020. "Living Longer in High Longevity Risk," JODE - Journal of Demographic Economics, Cambridge University Press, vol. 86(1), pages 47-86, March.
    11. Ngai, Andrew & Sherris, Michael, 2011. "Longevity risk management for life and variable annuities: The effectiveness of static hedging using longevity bonds and derivatives," Insurance: Mathematics and Economics, Elsevier, vol. 49(1), pages 100-114, July.
    12. Stevens, R.S.P. & De Waegenaere, A.M.B. & Melenberg, B., 2011. "Longevity Risk and Natural Hedge Potential in Portfolios Of Life Insurance Products : The Effect of Investment Risk," Discussion Paper 2011-036, Tilburg University, Center for Economic Research.
    13. Andrew J. G. Cairns, 2013. "Robust Hedging of Longevity Risk," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(3), pages 621-648, September.

  70. Blake, D. & Cairns, A. J. G. & Dowd, K., 2006. "Living with Mortality: Longevity Bonds and Other Mortality-Linked Securities," British Actuarial Journal, Cambridge University Press, vol. 12(1), pages 153-197, March.

    Cited by:

    1. Olivia S. Mitchell, 2018. "Enhancing risk management for an aging world," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 43(2), pages 115-136, September.
    2. Bauer, Daniel & Börger, Matthias & Ruß, Jochen, 2010. "On the pricing of longevity-linked securities," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 139-149, February.
    3. Bravo, Jorge Miguel & El Mekkaoui de Freitas, Najat, 2018. "Valuation of longevity-linked life annuities," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 212-229.
    4. Bohm, Thomas & Waldvogel, Felix, 2012. "Etablierung eines außerbörslichen Kapitalmarktes für das Langlebigkeitsrisiko," Bayreuth Working Papers on Finance, Accounting and Taxation (FAcT-Papers) 2012-02, University of Bayreuth, Chair of Finance and Banking.
    5. Ziveyi, Jonathan & Blackburn, Craig & Sherris, Michael, 2013. "Pricing European options on deferred annuities," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 300-311.
    6. David Blake & Andrew Cairns & Guy Coughlan & Kevin Dowd & Richard MacMinn, 2013. "The New Life Market," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(3), pages 501-558, September.
    7. Apostolos Bozikas & Ioannis Badounas & Georgios Pitselis, 2022. "Pricing Longevity Bonds under a Credibility Framework with Limited Available Data," Risks, MDPI, vol. 10(5), pages 1-15, May.
    8. David Blake, 2018. "Longevity: a new asset class," Journal of Asset Management, Palgrave Macmillan, vol. 19(5), pages 278-300, September.
    9. Yang, Sharon S. & Wang, Chou-Wen, 2013. "Pricing and securitization of multi-country longevity risk with mortality dependence," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 157-169.
    10. Boonen, T.J. & De Waegenaere, A.M.B. & Norde, H.W., 2012. "Bargaining for Over-The Counter Risk Redistributions : The Case of Longevity Risk," Discussion Paper 2012-090, Tilburg University, Center for Economic Research.
    11. Bravo, Jorge M. & Nunes, João Pedro Vidal, 2021. "Pricing longevity derivatives via Fourier transforms," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 81-97.
    12. Harry Bensusan & Nicole El Karoui & Stéphane Loisel & Yahia Salhi, 2016. "Partial Splitting of Longevity and Financial Risks: The Longevity Nominal Choosing Swaptions," Post-Print hal-00768526, HAL.
    13. International Monetary Fund, 2007. "Mexico: Financial Sector Assessment Program Update: Technical Note: The Pension Annuity Market," IMF Staff Country Reports 2007/163, International Monetary Fund.
    14. De Rosa, Clemente & Luciano, Elisa & Regis, Luca, 2021. "Geographical Diversification And Longevity Risk Mitigation In Annuity Portfolios," ASTIN Bulletin, Cambridge University Press, vol. 51(2), pages 375-410, May.
    15. Johnny Siu‐Hang Li & Andrew Cheuk‐Yin Ng, 2011. "Canonical Valuation of Mortality‐Linked Securities," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 78(4), pages 853-884, December.
    16. Rihab Bedoui & Islem Kedidi, 2018. "Modeling Longevity Risk using Consistent Dynamics Affine Mortality Models," Working Papers hal-01678050, HAL.
    17. David Blake & Tom Boardman & Andrew Cairns, 2014. "Sharing Longevity Risk: Why Governments Should Issue Longevity Bonds," North American Actuarial Journal, Taylor & Francis Journals, vol. 18(1), pages 258-277.
    18. David Blake & Nicole El Karoui & Stéphane Loisel & Richard Macminn, 2018. "Longevity risk and capital markets: The 2015–16 update," Post-Print hal-01995778, HAL.
    19. Tomas Cipra, 2010. "Securitization of Longevity and Mortality Risk," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 60(6), pages 545-560, December.
    20. Daniel H. Alai & Katja Ignatieva & Michael Sherris, 2019. "The Investigation of a Forward-Rate Mortality Framework," Risks, MDPI, vol. 7(2), pages 1-22, June.
    21. Boonen, T.J. & De Waegenaere, A.M.B. & Norde, H.W., 2012. "Bargaining for Over-The Counter Risk Redistributions : The Case of Longevity Risk," Other publications TiSEM 666aa6f1-2d07-413c-90da-a, Tilburg University, School of Economics and Management.
    22. P. Kowalczyk-Rólczyńska & П. Ковальчик-Рульчинская, 2016. "Управление демографическим риском в пенсионных системах // Managing the Demographic Risk of Pension Systems," Review of Business and Economics Studies // Review of Business and Economics Studies, Финансовый Университет // Financial University, vol. 4(4), pages 23-31.
    23. David Blake & Marco Morales & Wenjun Zhu & Ken Seng Tan & Chou-Wen Wang, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 477-493, April.
    24. Wang, Ting & Young, Virginia R., 2016. "Hedging pure endowments with mortality derivatives," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 238-255.
    25. Kallestrup-Lamb, Malene & Søgaard Laursen, Nicolai, 2024. "Longevity hedge effectiveness using socioeconomic indices," Insurance: Mathematics and Economics, Elsevier, vol. 114(C), pages 242-251.
    26. Blake, David & Cairns, Andrew & Dowd, Kevin, 2008. "Turning pension plans into pension planes: What investment strategy designers of defined contribution pension plans can learn from commercial aircraft designers," MPRA Paper 33749, University Library of Munich, Germany.
    27. Raj Kumari Bahl & Sotirios Sabanis, 2016. "Model-Independent Price Bounds for Catastrophic Mortality Bonds," Papers 1607.07108, arXiv.org, revised Dec 2020.
    28. Jang, Jiwook & Mohd Ramli, Siti Norafidah, 2015. "Jump diffusion transition intensities in life insurance and disability annuity," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 440-451.
    29. Emilia Di Lorenzo & Marilena Sibillo, 2020. "Economic Paradigms and Corporate Culture after the Great COVID-19 Pandemic: Towards a New Role of Welfare Organisations and Insurers," Sustainability, MDPI, vol. 12(19), pages 1-14, October.
    30. Broeders, Dirk & Mehlkopf, Roel & van Ool, Annick, 2021. "The economics of sharing macro-longevity risk," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 440-458.
    31. Lin, Yijia & MacMinn, Richard D. & Tian, Ruilin, 2015. "De-risking defined benefit plans," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 52-65.
    32. Hunt, Andrew & Blake, David, 2015. "Modelling longevity bonds: Analysing the Swiss Re Kortis bond," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 12-29.
    33. Hoevenaars, Roy P.M.M. & Molenaar, Roderick D.J. & Schotman, Peter C. & Steenkamp, Tom B.M., 2008. "Strategic asset allocation with liabilities: Beyond stocks and bonds," Journal of Economic Dynamics and Control, Elsevier, vol. 32(9), pages 2939-2970, September.
    34. Andrew J. G. Cairns & David Blake & Kevin Dowd & Amy R. Kessler, 2016. "Phantoms never die: living with unreliable population data," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 179(4), pages 975-1005, October.
    35. Rui Zhou & Johnny Siu-Hang Li & Ken Seng Tan, 2013. "Pricing Standardized Mortality Securitizations: A Two-Population Model With Transitory Jump Effects," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(3), pages 733-774, September.
    36. Ting Wang & Virginia R. Young, 2010. "Hedging Pure Endowments with Mortality Derivatives," Papers 1011.0248, arXiv.org.
    37. Bauer Daniel & Börger Matthias & Ruß Jochen & Zwiesler Hans-Joachim, 2008. "The Volatility of Mortality," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 3(1), pages 1-29, September.
    38. Cairns, Andrew J.G., 2011. "Modelling and management of longevity risk: Approximations to survivor functions and dynamic hedging," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 438-453.
    39. Palmer, Edward, 2011. "Generic NDC - Equilibrium, Valuation and Risk Sharing with and without NDC Bonds," Working Paper Series 2011:3, Uppsala University, Department of Economics.
    40. Cairns, Andrew J.G. & Blake, David & Dowd, Kevin, 2006. "Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk," ASTIN Bulletin, Cambridge University Press, vol. 36(1), pages 79-120, May.
    41. Huang, Yu-Lieh & Tsai, Jeffrey Tzuhao & Yang, Sharon S. & Cheng, Hung-Wen, 2014. "Price bounds of mortality-linked security in incomplete insurance market," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 30-39.
    42. Georgina Onuma Kalu & Chinemerem Dennis Ikpe & Benjamin Ifeanyichukwu Oruh & Samuel Asante Gyamerah, 2020. "State Space Vasicek Model of a Longevity Bond," Papers 2011.12753, arXiv.org.
    43. Olivieri, Annamaria & Pitacco, Ermanno, 2008. "Assessing the cost of capital for longevity risk," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 1013-1021, June.
    44. Impavido, Gregorio, 2007. "The Mexican pension annuity market," Policy Research Working Paper Series 4236, The World Bank.
    45. Biffis, Enrico & Blake, David, 2010. "Securitizing and tranching longevity exposures," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 186-197, February.
    46. Blake, David & Cairns, Andrew J.G., 2021. "Longevity risk and capital markets: The 2019-20 update," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 395-439.
    47. Meyricke, Ramona & Sherris, Michael, 2014. "Longevity risk, cost of capital and hedging for life insurers under Solvency II," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 147-155.
    48. Leung, Melvern & Fung, Man Chung & O’Hare, Colin, 2018. "A comparative study of pricing approaches for longevity instruments," Insurance: Mathematics and Economics, Elsevier, vol. 82(C), pages 95-116.
    49. Jennifer L. Wang & H.C. Huang & Sharon S. Yang & Jeffrey T. Tsai, 2010. "An Optimal Product Mix for Hedging Longevity Risk in Life Insurance Companies: The Immunization Theory Approach," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 77(2), pages 473-497, June.
    50. Chou-Wen Wang & Sharon S. Yang, 2013. "Pricing Survivor Derivatives With Cohort Mortality Dependence Under the Lee–Carter Framework," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(4), pages 1027-1056, December.
    51. Chen, Bingzheng & Zhang, Lihong & Zhao, Lin, 2010. "On the robustness of longevity risk pricing," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 358-373, December.
    52. Tsai, Jeffrey T. & Wang, Jennifer L. & Tzeng, Larry Y., 2010. "On the optimal product mix in life insurance companies using conditional value at risk," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 235-241, February.
    53. Hao, Xuemiao & Liang, Chunli & Wei, Linghua, 2017. "Evaluation of credit value adjustment in K-forward," Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 95-103.
    54. Boonen, Tim J. & De Waegenaere, Anja & Norde, Henk, 2017. "Redistribution of longevity risk: The effect of heterogeneous mortality beliefs," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 175-188.
    55. Samuel H. Cox & Yijia Lin & Shaun Wang, 2006. "Multivariate Exponential Tilting and Pricing Implications for Mortality Securitization," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 73(4), pages 719-736, December.
    56. Jeffrey R. Brown, 2007. "Rational and Behavioral Perspectives on the Role of Annuities in Retirement Planning," NBER Working Papers 13537, National Bureau of Economic Research, Inc.
    57. M. Martin Boyer & Lars Stentoft, 2012. "If we can simulate it, we can insure it: An application to longevity risk management," CIRANO Working Papers 2012s-08, CIRANO.
    58. Liu, Yanxin & Li, Johnny Siu-Hang, 2015. "The age pattern of transitory mortality jumps and its impact on the pricing of catastrophic mortality bonds," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 135-150.
    59. Franca Glenzer & Bertrand Achou, 2019. "Annuities, long-term care insurance, and insurer solvency," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 44(2), pages 252-276, April.
    60. Chen, Hua & Cummins, J. David, 2010. "Longevity bond premiums: The extreme value approach and risk cubic pricing," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 150-161, February.
    61. Hua Chen & Samuel H. Cox, 2009. "Modeling Mortality With Jumps: Applications to Mortality Securitization," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(3), pages 727-751, September.
    62. Claire Peltier, 2019. "Introduction aux dérivés d'assurance," Working Papers hal-02274639, HAL.
    63. Boonen, Tim J., 2016. "Nash equilibria of Over-The-Counter bargaining for insurance risk redistributions: The role of a regulator," European Journal of Operational Research, Elsevier, vol. 250(3), pages 955-965.
    64. Wang, Chou-Wen & Yang, Sharon S. & Huang, Hong-Chih, 2015. "Modeling multi-country mortality dependence and its application in pricing survivor index swaps—A dynamic copula approach," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 30-39.
    65. Man Chung Fung & Katja Ignatieva & Michael Sherris, 2019. "Managing Systematic Mortality Risk in Life Annuities: An Application of Longevity Derivatives," Risks, MDPI, vol. 7(1), pages 1-25, January.
    66. Helena Aro & Teemu Pennanen, 2013. "Liability-driven investment in longevity risk management," Papers 1307.8261, arXiv.org.
    67. Robert J. Bianchi & Michael E. Drew & Adam N. Walk & Osei K. Wiafe, 2016. "Retirement Adequacy of Indigenous Australians: A Baseline Study," Economic Papers, The Economic Society of Australia, vol. 35(4), pages 359-374, December.
    68. Zhou, Rui & Li, Johnny Siu-Hang & Tan, Ken Seng, 2015. "Modeling longevity risk transfers as Nash bargaining problems: Methodology and insights," Economic Modelling, Elsevier, vol. 51(C), pages 460-472.
    69. Johnny Siu-Hang Li & Wai-Sum Chan & Rui Zhou, 2017. "Semicoherent Multipopulation Mortality Modeling: The Impact on Longevity Risk Securitization," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(3), pages 1025-1065, September.
    70. Zhou, Kenneth Q. & Li, Johnny Siu-Hang, 2019. "Delta-hedging longevity risk under the M7–M5 model: The impact of cohort effect uncertainty and population basis risk," Insurance: Mathematics and Economics, Elsevier, vol. 84(C), pages 1-21.
    71. Bahl, Raj Kumari & Sabanis, Sotirios, 2021. "Model-independent price bounds for Catastrophic Mortality Bonds," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 276-291.
    72. Mr. Nicolas R Blancher & François Haas & Mr. John Kiff & Ms. Oksana Khadarina & Mr. Paul S. Mills & Parmeshwar Ramlogan & Mr. William Lee & Ms. Yoon Sook Kim & Todd Groome & Mr. Shinobu Nakagawa, 2006. "The Limits of Market-Based Risk Transfer and Implications for Managing Systemic Risks," IMF Working Papers 2006/217, International Monetary Fund.
    73. Susanna Levantesi & Massimiliano Menzietti, 2017. "Maximum Market Price of Longevity Risk under Solvency Regimes: The Case of Solvency II," Risks, MDPI, vol. 5(2), pages 1-21, May.
    74. Roman N. Schulze & Thomas Post, 2010. "Individual Annuity Demand Under Aggregate Mortality Risk," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 77(2), pages 423-449, June.
    75. Andrew J.G. Cairns & Kevin Dowd & David Blake & Guy D. Coughlan, 2014. "Longevity hedge effectiveness: a decomposition," Quantitative Finance, Taylor & Francis Journals, vol. 14(2), pages 217-235, February.
    76. Baltas, I. & Dopierala, L. & Kolodziejczyk, K. & Szczepański, M. & Weber, G.-W. & Yannacopoulos, A.N., 2022. "Optimal management of defined contribution pension funds under the effect of inflation, mortality and uncertainty," European Journal of Operational Research, Elsevier, vol. 298(3), pages 1162-1174.
    77. Russo, Vincenzo & Giacometti, Rosella & Ortobelli, Sergio & Rachev, Svetlozar & Fabozzi, Frank J., 2011. "Calibrating affine stochastic mortality models using term assurance premiums," Insurance: Mathematics and Economics, Elsevier, vol. 49(1), pages 53-60, July.
    78. Hanbali, Hamza & Dhaene, Jan & Linders, Daniël, 2022. "Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables," Insurance: Mathematics and Economics, Elsevier, vol. 107(C), pages 22-37.
    79. Man Chung Fung & Katja Ignatieva & Michael Sherris, 2015. "Managing Systematic Mortality Risk in Life Annuities: An Application of Longevity Derivatives," Papers 1508.00090, arXiv.org.
    80. Ngai, Andrew & Sherris, Michael, 2011. "Longevity risk management for life and variable annuities: The effectiveness of static hedging using longevity bonds and derivatives," Insurance: Mathematics and Economics, Elsevier, vol. 49(1), pages 100-114, July.
    81. Lledó, Josep & Pavía, Jose M. & Morillas-Jurado, Francisco G., 2019. "Incorporating big microdata in life table construction: A hypothesis-free estimator," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 138-150.
    82. Bovenberg, A.L. & Koijen, R.S.J. & Nijman, T.E. & Teulings, C.N., 2007. "Saving and investing over the life cycle and the role of collective pension funds," Other publications TiSEM 6eab1341-eda5-4f21-8c06-8, Tilburg University, School of Economics and Management.
    83. W Todd Groome & Nicolas Blancher & Parmeshwar Ramlogan & Oksana Khadarina, 2006. "Population Ageing, the Structure of Financial Markets and Policy Implications," RBA Annual Conference Volume (Discontinued), in: Christopher Kent & Anna Park & Daniel Rees (ed.),Demography and Financial Markets, Reserve Bank of Australia.

  71. Kevin Dowd & David Blake & Andrew J. G. Cairns & Paul Dawson, 2006. "Survivor Swaps," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 73(1), pages 1-17, March.

    Cited by:

    1. Bauer, Daniel & Börger, Matthias & Ruß, Jochen, 2010. "On the pricing of longevity-linked securities," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 139-149, February.
    2. Bohm, Thomas & Waldvogel, Felix, 2012. "Etablierung eines außerbörslichen Kapitalmarktes für das Langlebigkeitsrisiko," Bayreuth Working Papers on Finance, Accounting and Taxation (FAcT-Papers) 2012-02, University of Bayreuth, Chair of Finance and Banking.
    3. Rohit Rahi & Jean-Pierre Zigrand, 2009. "Strategic Financial Innovation in Segmented Markets," The Review of Financial Studies, Society for Financial Studies, vol. 22(8), pages 2941-2971, August.
    4. Yang, Sharon S. & Wang, Chou-Wen, 2013. "Pricing and securitization of multi-country longevity risk with mortality dependence," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 157-169.
    5. Boonen, T.J. & De Waegenaere, A.M.B. & Norde, H.W., 2012. "Bargaining for Over-The Counter Risk Redistributions : The Case of Longevity Risk," Discussion Paper 2012-090, Tilburg University, Center for Economic Research.
    6. Tan, Chong It & Li, Jackie & Li, Johnny Siu-Hang & Balasooriya, Uditha, 2014. "Parametric mortality indexes: From index construction to hedging strategies," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 285-299.
    7. Johnny Siu‐Hang Li & Andrew Cheuk‐Yin Ng, 2011. "Canonical Valuation of Mortality‐Linked Securities," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 78(4), pages 853-884, December.
    8. Li, Johnny Siu-Hang, 2010. "Pricing longevity risk with the parametric bootstrap: A maximum entropy approach," Insurance: Mathematics and Economics, Elsevier, vol. 47(2), pages 176-186, October.
    9. Tomas Cipra, 2010. "Securitization of Longevity and Mortality Risk," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 60(6), pages 545-560, December.
    10. Wang, Ting & Young, Virginia R., 2016. "Hedging pure endowments with mortality derivatives," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 238-255.
    11. Enrico Biffis & David Blake & Lorenzo Pitotti & Ariel Sun, 2016. "The Cost of Counterparty Risk and Collateralization in Longevity Swaps," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 83(2), pages 387-419, June.
    12. Raj Kumari Bahl & Sotirios Sabanis, 2016. "Model-Independent Price Bounds for Catastrophic Mortality Bonds," Papers 1607.07108, arXiv.org, revised Dec 2020.
    13. Lin, Tzuling & Tsai, Cary Chi-Liang, 2013. "On the mortality/longevity risk hedging with mortality immunization," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 580-596.
    14. Wang, Chou-Wen & Huang, Hong-Chih & Hong, De-Chuan, 2013. "A feasible natural hedging strategy for insurance companies," Insurance: Mathematics and Economics, Elsevier, vol. 52(3), pages 532-541.
    15. Anja De Waegenaere & Bertrand Melenberg & Ralph Stevens, 2010. "Longevity Risk," De Economist, Springer, vol. 158(2), pages 151-192, June.
    16. Ting Wang & Virginia R. Young, 2010. "Hedging Pure Endowments with Mortality Derivatives," Papers 1011.0248, arXiv.org.
    17. Cairns, Andrew J.G. & Blake, David & Dowd, Kevin, 2006. "Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk," ASTIN Bulletin, Cambridge University Press, vol. 36(1), pages 79-120, May.
    18. Kwok, Kai Yin & Chiu, Mei Choi & Wong, Hoi Ying, 2016. "Demand for longevity securities under relative performance concerns: Stochastic differential games with cointegration," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 353-366.
    19. Huang, Yu-Lieh & Tsai, Jeffrey Tzuhao & Yang, Sharon S. & Cheng, Hung-Wen, 2014. "Price bounds of mortality-linked security in incomplete insurance market," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 30-39.
    20. Kogure, Atsuyuki & Kurachi, Yoshiyuki, 2010. "A Bayesian approach to pricing longevity risk based on risk-neutral predictive distributions," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 162-172, February.
    21. Impavido, Gregorio, 2007. "The Mexican pension annuity market," Policy Research Working Paper Series 4236, The World Bank.
    22. Chen, Hua & MacMinn, Richard & Sun, Tao, 2015. "Multi-population mortality models: A factor copula approach," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 135-146.
    23. Li, Jackie & Haberman, Steven, 2015. "On the effectiveness of natural hedging for insurance companies and pension plans," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 286-297.
    24. Blake, David & Courbage, Christophe & MacMinn, Richard & Sherris, Michael, 2011. "Longevity risks and capital markets: The 2010-2011 update," MPRA Paper 34279, University Library of Munich, Germany.
    25. Chen, Bingzheng & Zhang, Lihong & Zhao, Lin, 2010. "On the robustness of longevity risk pricing," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 358-373, December.
    26. Tsai, Jeffrey T. & Wang, Jennifer L. & Tzeng, Larry Y., 2010. "On the optimal product mix in life insurance companies using conditional value at risk," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 235-241, February.
    27. Wong, Tat Wing & Chiu, Mei Choi & Wong, Hoi Ying, 2014. "Time-consistent mean–variance hedging of longevity risk: Effect of cointegration," Insurance: Mathematics and Economics, Elsevier, vol. 56(C), pages 56-67.
    28. Blake, David & Brockett, Patrick & Cox, Samuel & MacMinn, Richard, 2011. "Longevity risk and capital markets: The 2009-2010 update," MPRA Paper 28868, University Library of Munich, Germany.
    29. Hua Chen & Michael Sherris & Tao Sun & Wenge Zhu, 2013. "Living With Ambiguity: Pricing Mortality-Linked Securities With Smooth Ambiguity Preferences," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(3), pages 705-732, September.
    30. M. Martin Boyer & Lars Stentoft, 2012. "If we can simulate it, we can insure it: An application to longevity risk management," CIRANO Working Papers 2012s-08, CIRANO.
    31. Lin, Tzuling & Tzeng, Larry Y., 2010. "An additive stochastic model of mortality rates: An application to longevity risk in reserve evaluation," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 423-435, April.
    32. Wang, Chou-Wen & Yang, Sharon S. & Huang, Hong-Chih, 2015. "Modeling multi-country mortality dependence and its application in pricing survivor index swaps—A dynamic copula approach," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 30-39.
    33. Helena Aro & Teemu Pennanen, 2013. "Liability-driven investment in longevity risk management," Papers 1307.8261, arXiv.org.
    34. Zhou, Rui & Li, Johnny Siu-Hang & Tan, Ken Seng, 2015. "Modeling longevity risk transfers as Nash bargaining problems: Methodology and insights," Economic Modelling, Elsevier, vol. 51(C), pages 460-472.
    35. Mr. Nicolas R Blancher & François Haas & Mr. John Kiff & Ms. Oksana Khadarina & Mr. Paul S. Mills & Parmeshwar Ramlogan & Mr. William Lee & Ms. Yoon Sook Kim & Todd Groome & Mr. Shinobu Nakagawa, 2006. "The Limits of Market-Based Risk Transfer and Implications for Managing Systemic Risks," IMF Working Papers 2006/217, International Monetary Fund.
    36. Lin, Tzuling & Tsai, Cary Chi-Liang, 2016. "Hedging mortality/longevity risks of insurance portfolios for life insurer/annuity provider and financial intermediary," Insurance: Mathematics and Economics, Elsevier, vol. 66(C), pages 44-58.
    37. Ngai, Andrew & Sherris, Michael, 2011. "Longevity risk management for life and variable annuities: The effectiveness of static hedging using longevity bonds and derivatives," Insurance: Mathematics and Economics, Elsevier, vol. 49(1), pages 100-114, July.
    38. Stevens, R.S.P. & De Waegenaere, A.M.B. & Melenberg, B., 2011. "Longevity Risk and Natural Hedge Potential in Portfolios Of Life Insurance Products : The Effect of Investment Risk," Discussion Paper 2011-036, Tilburg University, Center for Economic Research.

  72. David Blake & Les Mayhew, 2006. "On The Sustainability of the UK State Pension System in the Light of Population Ageing and Declining Fertility," Economic Journal, Royal Economic Society, vol. 116(512), pages 286-305, June.

    Cited by:

    1. De-Lei Sheng & Linfeng Shi & Danping Li & Yanping Zhao, 2022. "Manage Pension Deficit with Heterogeneous Insurance," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 1119-1141, June.
    2. Javier Vazquez Grenno, 2010. "Spanish pension system: Population aging and immigration policy," Hacienda Pública Española / Review of Public Economics, IEF, vol. 195(4), pages 37-64, december.
    3. María del Carmen Ramos-Herrera & Simón Sosvilla-Rivero, 2020. "Fiscal Sustainability in Aging Societies: Evidence from Euro Area Countries," Sustainability, MDPI, vol. 12(24), pages 1-20, December.
    4. Felipe SERRANO & Begoña EGUÍA & Jesús FERREIRO, 2011. "Public pensions' sustainability and population ageing: Is immigration the solution?," International Labour Review, International Labour Organization, vol. 150(1-2), pages 63-79, June.
    5. Luca Gori & Mauro Sodini, 2011. "Nonlinear Dynamics in an OLG Growth Model with Young and Old Age Labour Supply: The Role of Public Health Expenditure," Computational Economics, Springer;Society for Computational Economics, vol. 38(3), pages 261-275, October.
    6. Said Outlioua & Abdesselam Fazouane, 2023. "Which factors affect the sustainability of pension schemes?," Economic Affairs, Wiley Blackwell, vol. 43(1), pages 89-108, February.
    7. Reyer Gerlagh & Veronica Lupi & Marzio Galeotti, 2023. "Fertility and climate change," Scandinavian Journal of Economics, Wiley Blackwell, vol. 125(1), pages 208-252, January.
    8. Corlet Walker, Christine & Druckman, Angela & Jackson, Tim, 2021. "Welfare systems without economic growth: A review of the challenges and next steps for the field," Ecological Economics, Elsevier, vol. 186(C).
    9. Attias, Anna & Arezzo, Maria Felice & Pianese, Augusto & Varga, Zoltan, 2016. "A comparison of two legislative approaches to the pay-as-you-go pension system in terms of adequacy. The Italian case," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 203-211.
    10. Vo, Duc, 2019. "Ageing Population and Economic Growth in Developing Countries A Quantile Regression Approach," MPRA Paper 103279, University Library of Munich, Germany.
    11. Nancy Quinceno Cárdenas, 2014. "Modelación basada en agentes en el sistema pensional colombiano. Una aproximación desde el mercado laboral y la dinámica poblacional," Revista CIFE, Universidad Santo Tomás, September.
    12. Peter Siminski, 2009. "A Welfare Analysis of the Commonwealth Seniors Health Card," The Economic Record, The Economic Society of Australia, vol. 85(269), pages 164-180, June.
    13. Gurgen Aslanyan, 2014. "The migration challenge for PAYG," Journal of Population Economics, Springer;European Society for Population Economics, vol. 27(4), pages 1023-1038, October.
    14. Pierre Pestieau & Grégory Ponthière & Motohiro Sato, 2008. "Longevity, health spending, and pay-as-you-go pensions," Post-Print halshs-00754319, HAL.
    15. Jin Hu & Peter Josef Stauvermann & Juncheng Sun, 2022. "The Impact of the Two-Child Policy on the Pension Shortfall in China: A Case Study of Anhui Province," Sustainability, MDPI, vol. 14(13), pages 1-21, July.
    16. Yi Zeng & Xinjie Zhang & Lingchen Liu, 2017. "From “selective two-child policy” to universal two-child policy: will the payment crisis of China’s pension system be solved?," China Finance and Economic Review, Springer, vol. 5(1), pages 1-17, December.
    17. Øystein Kravdal, 2014. "The Estimation of Fertility Effects on Happiness: Even More Difficult than Usually Acknowledged," European Journal of Population, Springer;European Association for Population Studies, vol. 30(3), pages 263-290, August.
    18. Martin Stepanek, 2017. "Pension Reforms and Adverse Demographics: The Case of the Czech Republic," Working Papers IES 2017/15, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Aug 2017.
    19. Kravdal, Øystein, 2013. "Reflections on the Search for Fertility Effects on Happiness," Memorandum 10/2013, Oslo University, Department of Economics.
    20. Kravdal, Øystein, 2016. "Expected and unexpected consequences of childbearing – a methodologically and politically important distinction that is overlooked," Memorandum 05/2016, Oslo University, Department of Economics.
    21. Docquier, Frédéric & Kone, Zovanga L. & Mattoo, Aaditya & Ozden, Caglar, 2019. "Labor market effects of demographic shifts and migration in OECD countries," European Economic Review, Elsevier, vol. 113(C), pages 297-324.
    22. Min Le & Xinrong Xiao & Dragan Pamučar & Qianling Liang, 2021. "A Study on Fiscal Risk of China’s Employees Basic Pension System under Longevity Risk," Sustainability, MDPI, vol. 13(10), pages 1-23, May.
    23. Ciliberto, Federico & Miller, Amalia & Skyt Nielsen, Helena & Simonsen, Marianne, 2013. "Playing the Fertility Game at Work: An Equilibrium Model of Peer Effects," MPRA Paper 45914, University Library of Munich, Germany.
    24. Gindra Kasnauskiene & Karol Michnevic, 2017. "Contribution of increased life expectancy to economic growth: evidence from CEE countries," International Journal of Economic Sciences, International Institute of Social and Economic Sciences, vol. 6(2), pages 82-99, November.
    25. Pianese, Augusto & Attias, Anna & Bianchi, Sergio & Varga, Zoltàn, 2020. "On the asymptotic equilibrium of a population system with migration," Insurance: Mathematics and Economics, Elsevier, vol. 92(C), pages 115-127.
    26. Muñoz de Bustillo, Rafael & Antón, José-Ignacio, 2009. "Immigration and Social Benefits in a Mediterranean Welfare State: The Case of Spain," MPRA Paper 13849, University Library of Munich, Germany.
    27. Lorenzo Fratoni & Susanna Levantesi & Massimiliano Menzietti, 2022. "Measuring Financial Sustainability and Social Adequacy of the Italian NDC Pension System under the COVID-19 Pandemic," Sustainability, MDPI, vol. 14(23), pages 1-23, December.
    28. Zhen Hu & James Yang, 2021. "Does Delayed Retirement Crowd Out Workforce Welfare? Evidence in China," SAGE Open, , vol. 11(4), pages 21582440211, November.
    29. Rosa Aísa & Fernando Pueyo & Marcos Sanso, 2012. "Life expectancy and labor supply of the elderly," Journal of Population Economics, Springer;European Society for Population Economics, vol. 25(2), pages 545-568, January.
    30. Lijian Wang & Daniel Béland, 2014. "Assessing the Financial Sustainability of China’s Rural Pension System," Sustainability, MDPI, vol. 6(6), pages 1-20, May.
    31. Mauricio Arias & Juan Carlos Mendoza, 2009. "Un modelo de simulación del Régimen Pensional de Ahorro Individual con Solidaridad en Colombia," Temas de Estabilidad Financiera 044, Banco de la Republica de Colombia.

  73. David Blake & Andrew Cairns & Kevin Dowd & Richard MacMinn, 2006. "Longevity Bonds: Financial Engineering, Valuation, and Hedging," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 73(4), pages 647-672, December.

    Cited by:

    1. Edouard Debonneuil & Stéphane Loisel & Frédéric Planchet, 2015. "Do actuaries believe in longevity deceleration?," Working Papers hal-01219270, HAL.
    2. Bauer, Daniel & Börger, Matthias & Ruß, Jochen, 2010. "On the pricing of longevity-linked securities," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 139-149, February.
    3. Bravo, Jorge Miguel & El Mekkaoui de Freitas, Najat, 2018. "Valuation of longevity-linked life annuities," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 212-229.
    4. Johnny Siu‐Hang Li & Mary R. Hardy & Ken Seng Tan, 2010. "On Pricing and Hedging the No‐Negative‐Equity Guarantee in Equity Release Mechanisms," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 77(2), pages 499-522, June.
    5. Bohm, Thomas & Waldvogel, Felix, 2012. "Etablierung eines außerbörslichen Kapitalmarktes für das Langlebigkeitsrisiko," Bayreuth Working Papers on Finance, Accounting and Taxation (FAcT-Papers) 2012-02, University of Bayreuth, Chair of Finance and Banking.
    6. Pauline BARRIEU & Henri LOUBERGE, 2011. "Reinsurance and securitisation of life insurance risk: the impact of regulatory constraints," Swiss Finance Institute Research Paper Series 11-57, Swiss Finance Institute.
    7. Liu, Yanxin & Li, Johnny Siu-Hang, 2016. "It’s all in the hidden states: A longevity hedging strategy with an explicit measure of population basis risk," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 301-319.
    8. Elisa Luciano & Luca Regis & Elena Vigna, 2012. "Single and cross-generation natural hedging of longevity and financial risk," Carlo Alberto Notebooks 257, Collegio Carlo Alberto.
    9. Francisco Gomes & Michael Haliassos & Tarun Ramadorai, 2021. "Household Finance," Journal of Economic Literature, American Economic Association, vol. 59(3), pages 919-1000, September.
    10. David Blake & Andrew Cairns & Guy Coughlan & Kevin Dowd & Richard MacMinn, 2013. "The New Life Market," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(3), pages 501-558, September.
    11. Elisa Luciano & Luca Regis & Elena Vigna, 2011. "Delta and Gamma hedging of mortality and interest rate risk," ICER Working Papers - Applied Mathematics Series 01-2011, ICER - International Centre for Economic Research.
    12. Bauer Daniel & Weber Frederik, 2008. "Assessing Investment and Longevity Risks within Immediate Annuities," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 3(1), pages 1-24, September.
    13. Bravo, Jorge M. & Nunes, João Pedro Vidal, 2021. "Pricing longevity derivatives via Fourier transforms," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 81-97.
    14. De Rosa, Clemente & Luciano, Elisa & Regis, Luca, 2021. "Geographical Diversification And Longevity Risk Mitigation In Annuity Portfolios," ASTIN Bulletin, Cambridge University Press, vol. 51(2), pages 375-410, May.
    15. Johnny Siu‐Hang Li & Andrew Cheuk‐Yin Ng, 2011. "Canonical Valuation of Mortality‐Linked Securities," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 78(4), pages 853-884, December.
    16. Wang, Ling & Chiu, Mei Choi & Wong, Hoi Ying, 2021. "Volterra mortality model: Actuarial valuation and risk management with long-range dependence," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 1-14.
    17. David Blake & Nicole El Karoui & Stéphane Loisel & Richard Macminn, 2018. "Longevity risk and capital markets: The 2015–16 update," Post-Print hal-01995778, HAL.
    18. Tomas Cipra, 2010. "Securitization of Longevity and Mortality Risk," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 60(6), pages 545-560, December.
    19. Schmeck, Maren Diane & Schmidli, Hanspeter, 2021. "Mortality options: The point of view of an insurer," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 98-115.
    20. David Blake & Marco Morales & Wenjun Zhu & Ken Seng Tan & Chou-Wen Wang, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 477-493, April.
    21. D’Amato, Valeria & Di Lorenzo, Emilia & Haberman, Steven & Sagoo, Pretty & Sibillo, Marilena, 2018. "De-risking strategy: Longevity spread buy-in," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 124-136.
    22. Vasily Kartashov & Raimond Maurer & Olivia S. Mitchell & Ralph Rogalla, 2011. "Lifecycle Portfolio Choice with Systematic Longevity Risk and Variable Investment-Linked Deferred Annuities," NBER Working Papers 17505, National Bureau of Economic Research, Inc.
    23. Liu, Yanxin & Li, Johnny Siu-Hang, 2018. "A strategy for hedging risks associated with period and cohort effects using q-forwards," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 267-285.
    24. Paola Biffi & Gian Clemente, 2014. "Selecting stochastic mortality models for the Italian population," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 37(2), pages 255-286, October.
    25. Emilia Di Lorenzo & Marilena Sibillo, 2020. "Economic Paradigms and Corporate Culture after the Great COVID-19 Pandemic: Towards a New Role of Welfare Organisations and Insurers," Sustainability, MDPI, vol. 12(19), pages 1-14, October.
    26. Broeders, Dirk & Mehlkopf, Roel & van Ool, Annick, 2021. "The economics of sharing macro-longevity risk," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 440-458.
    27. Tat Wing Wong & Mei Choi Chiu & Hoi Ying Wong, 2017. "Managing Mortality Risk With Longevity Bonds When Mortality Rates Are Cointegrated," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(3), pages 987-1023, September.
    28. Wang, Chou-Wen & Huang, Hong-Chih & Hong, De-Chuan, 2013. "A feasible natural hedging strategy for insurance companies," Insurance: Mathematics and Economics, Elsevier, vol. 52(3), pages 532-541.
    29. Anja De Waegenaere & Bertrand Melenberg & Ralph Stevens, 2010. "Longevity Risk," De Economist, Springer, vol. 158(2), pages 151-192, June.
    30. D'Amato, Valeria & Di Lorenzo, Emilia & Piscopo, Gabriella & Sibillo, Marilena & Trotta, Annarita, 2024. "Insurance business and social sustainability: A proposal," Socio-Economic Planning Sciences, Elsevier, vol. 93(C).
    31. Kwok, Kai Yin & Chiu, Mei Choi & Wong, Hoi Ying, 2016. "Demand for longevity securities under relative performance concerns: Stochastic differential games with cointegration," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 353-366.
    32. Homa Magdalena, 2020. "Mathematical Reserves vs Longevity Risk in Life Insurances," Econometrics. Advances in Applied Data Analysis, Sciendo, vol. 24(1), pages 23-38, March.
    33. Ling Wang & Mei Choi Chiu & Hoi Ying Wong, 2020. "Volterra mortality model: Actuarial valuation and risk management with long-range dependence," Papers 2009.09572, arXiv.org.
    34. Olivieri, Annamaria & Pitacco, Ermanno, 2008. "Assessing the cost of capital for longevity risk," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 1013-1021, June.
    35. Chen, An & Li, Hong & Schultze, Mark, 2022. "Collective longevity swap: A novel longevity risk transfer solution and its economic pricing," Journal of Economic Behavior & Organization, Elsevier, vol. 201(C), pages 227-249.
    36. Wills, Samuel & Sherris, Michael, 2010. "Securitization, structuring and pricing of longevity risk," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 173-185, February.
    37. Biffis, Enrico & Blake, David, 2010. "Securitizing and tranching longevity exposures," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 186-197, February.
    38. Blake, David & Cairns, Andrew J.G., 2021. "Longevity risk and capital markets: The 2019-20 update," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 395-439.
    39. Stevens, Ralph & De Waegenaere, Anja & Melenberg, Bertrand, 2010. "Longevity risk in pension annuities with exchange options: The effect of product design," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 222-234, February.
    40. Meyricke, Ramona & Sherris, Michael, 2014. "Longevity risk, cost of capital and hedging for life insurers under Solvency II," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 147-155.
    41. Jennifer L. Wang & H.C. Huang & Sharon S. Yang & Jeffrey T. Tsai, 2010. "An Optimal Product Mix for Hedging Longevity Risk in Life Insurance Companies: The Immunization Theory Approach," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 77(2), pages 473-497, June.
    42. Blake, David & Courbage, Christophe & MacMinn, Richard & Sherris, Michael, 2011. "Longevity risks and capital markets: The 2010-2011 update," MPRA Paper 34279, University Library of Munich, Germany.
    43. Benchimol, Andrés Gustavo & Albarrán Lozano, Irene & Marín Díazaraque, Juan Miguel & Alonso, Pablo J., 2015. "Hierarchical Lee-Carter model estimation through data cloning applied to demographically linked countries," DES - Working Papers. Statistics and Econometrics. WS ws1510, Universidad Carlos III de Madrid. Departamento de Estadística.
    44. Martin Eling & Omid Ghavibazoo, 2019. "Research on long-term care insurance: status quo and directions for future research," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 44(2), pages 303-356, April.
    45. Tsai, Jeffrey T. & Wang, Jennifer L. & Tzeng, Larry Y., 2010. "On the optimal product mix in life insurance companies using conditional value at risk," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 235-241, February.
    46. Wong, Tat Wing & Chiu, Mei Choi & Wong, Hoi Ying, 2014. "Time-consistent mean–variance hedging of longevity risk: Effect of cointegration," Insurance: Mathematics and Economics, Elsevier, vol. 56(C), pages 56-67.
    47. Blake, David & Brockett, Patrick & Cox, Samuel & MacMinn, Richard, 2011. "Longevity risk and capital markets: The 2009-2010 update," MPRA Paper 28868, University Library of Munich, Germany.
    48. Dong, Fangyuan & Wong, Hoi Ying, 2015. "Longevity bond pricing under the threshold CIR model," Finance Research Letters, Elsevier, vol. 15(C), pages 195-207.
    49. Chen, Hua & Cummins, J. David, 2010. "Longevity bond premiums: The extreme value approach and risk cubic pricing," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 150-161, February.
    50. Ferro, Gustavo, 2008. "On annuities: an overview of the issues," MPRA Paper 20209, University Library of Munich, Germany, revised Oct 2009.
    51. Schmeck, Maren Diane & Schmidli, Hanspeter, 2019. "Mortality Options: the Point of View of an Insurer," Center for Mathematical Economics Working Papers 616, Center for Mathematical Economics, Bielefeld University.
    52. Dirk Broeders, 2010. "Valuation of Contingent Pension Liabilities and Guarantees Under Sponsor Default Risk," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 77(4), pages 911-934, December.
    53. Wang, Ling & Wong, Hoi Ying, 2021. "Time-consistent longevity hedging with long-range dependence," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 25-41.
    54. Clemente De Rosa & Elisa Luciano & Luca Regis, 2015. "Static versus dynamic longevity-risk hedging," Carlo Alberto Notebooks 403, Collegio Carlo Alberto.
    55. Lin, Tzuling & Tzeng, Larry Y., 2010. "An additive stochastic model of mortality rates: An application to longevity risk in reserve evaluation," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 423-435, April.
    56. Claire Peltier, 2019. "Introduction aux dérivés d'assurance," Working Papers hal-02274639, HAL.
    57. Man Chung Fung & Katja Ignatieva & Michael Sherris, 2019. "Managing Systematic Mortality Risk in Life Annuities: An Application of Longevity Derivatives," Risks, MDPI, vol. 7(1), pages 1-25, January.
    58. Helena Aro & Teemu Pennanen, 2013. "Liability-driven investment in longevity risk management," Papers 1307.8261, arXiv.org.
    59. Cox, Samuel H. & Lin, Yijia & Pedersen, Hal, 2010. "Mortality risk modeling: Applications to insurance securitization," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 242-253, February.
    60. Menoncin, Francesco & Regis, Luca, 2017. "Longevity-linked assets and pre-retirement consumption/portfolio decisions," Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 75-86.
    61. Roman N. Schulze & Thomas Post, 2010. "Individual Annuity Demand Under Aggregate Mortality Risk," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 77(2), pages 423-449, June.
    62. Luciano, Elisa & Regis, Luca & Vigna, Elena, 2012. "Delta–Gamma hedging of mortality and interest rate risk," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 402-412.
    63. Samuel H. Cox & Yijia Lin & Ruilin Tian & Jifeng Yu, 2013. "Managing Capital Market and Longevity Risks in a Defined Benefit Pension Plan," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(3), pages 585-620, September.
    64. Man Chung Fung & Katja Ignatieva & Michael Sherris, 2015. "Managing Systematic Mortality Risk in Life Annuities: An Application of Longevity Derivatives," Papers 1508.00090, arXiv.org.
    65. Ngai, Andrew & Sherris, Michael, 2011. "Longevity risk management for life and variable annuities: The effectiveness of static hedging using longevity bonds and derivatives," Insurance: Mathematics and Economics, Elsevier, vol. 49(1), pages 100-114, July.
    66. Elisa Luciano & Luca Regis & Elena Vigna, 2012. "Natural delta gamma hedging of longevity and interest rate risk," ICER Working Papers - Applied Mathematics Series 21-2011, ICER - International Centre for Economic Research.

  74. Cairns, Andrew J.G. & Blake, David & Dowd, Kevin, 2006. "Stochastic lifestyling: Optimal dynamic asset allocation for defined contribution pension plans," Journal of Economic Dynamics and Control, Elsevier, vol. 30(5), pages 843-877, May.
    See citations under working paper version above.
  75. Cairns, Andrew J.G. & Blake, David & Dowd, Kevin, 2006. "Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk," ASTIN Bulletin, Cambridge University Press, vol. 36(1), pages 79-120, May.

    Cited by:

    1. Cairns, Andrew J.G. & Blake, David & Dowd, Kevin & Coughlan, Guy D. & Epstein, David & Khalaf-Allah, Marwa, 2011. "Mortality density forecasts: An analysis of six stochastic mortality models," Insurance: Mathematics and Economics, Elsevier, vol. 48(3), pages 355-367, May.
    2. Francesca Biagini & Yinglin Zhang, 2018. "Extended Reduced-Form Framework for Non-Life Insurance," Papers 1802.07741, arXiv.org, revised Jun 2022.
    3. Navarro-García, Manuel & Guerrero, Vanesa & Durban, María, 2023. "On constrained smoothing and out-of-range prediction using P-splines: A conic optimization approach," Applied Mathematics and Computation, Elsevier, vol. 441(C).
    4. Bauer, Daniel & Börger, Matthias & Ruß, Jochen, 2010. "On the pricing of longevity-linked securities," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 139-149, February.
    5. Jevtić, P. & Hurd, T.R., 2017. "The joint mortality of couples in continuous time," Insurance: Mathematics and Economics, Elsevier, vol. 75(C), pages 90-97.
    6. Chen An & Mahayni Antje B., 2008. "Endowment Assurance Products: Effectiveness of Risk-Minimizing Strategies under Model Risk," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 2(2), pages 1-29, March.
    7. Niels Haldrup & Carsten P. T. Rosenskjold, 2019. "A Parametric Factor Model of the Term Structure of Mortality," Econometrics, MDPI, vol. 7(1), pages 1-22, March.
    8. Horneff, Wolfram & Maurer, Raimond & Rogalla, Ralph, 2010. "Dynamic portfolio choice with deferred annuities," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2652-2664, November.
    9. Zeddouk, Fadoua & Devolder, Pierre, 2019. "Mean reversion in stochastic mortality : why and how?," LIDAM Discussion Papers ISBA 2019018, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    10. Stefan Tappe & Stefan Weber, 2019. "Stochastic mortality models: An infinite dimensional approach," Papers 1907.05157, arXiv.org.
    11. Alessandra Cretarola & Benedetta Salterini, 2023. "Utility-based indifference pricing of pure endowments in a Markov-modulated market model," Papers 2301.13575, arXiv.org.
    12. Bernhard Babel & Eckart Bomsdorf & Rafael Schmidt, 2008. "Forecasting German mortality using panel data procedures," Journal of Population Economics, Springer;European Society for Population Economics, vol. 21(3), pages 541-555, July.
    13. Elisa Luciano & Luca Regis & Elena Vigna, 2011. "Delta and Gamma hedging of mortality and interest rate risk," ICER Working Papers - Applied Mathematics Series 01-2011, ICER - International Centre for Economic Research.
    14. Chen, Fen-Ying & Yang, Sharon S. & Huang, Hong-Chih, 2022. "Modeling pandemic mortality risk and its application to mortality-linked security pricing," Insurance: Mathematics and Economics, Elsevier, vol. 106(C), pages 341-363.
    15. Horneff, Wolfram J. & Maurer, Raimond H. & Stamos, Michael Z., 2008. "Life-cycle asset allocation with annuity markets," Journal of Economic Dynamics and Control, Elsevier, vol. 32(11), pages 3590-3612, November.
    16. Plat, Richard, 2011. "One-year Value-at-Risk for longevity and mortality," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 462-470.
    17. Hainaut, Donatien, 2012. "Multidimensional Lee–Carter model with switching mortality processes," Insurance: Mathematics and Economics, Elsevier, vol. 50(2), pages 236-246.
    18. Kira Henshaw & Corina Constantinescu & Olivier Menoukeu Pamen, 2020. "Stochastic Mortality Modelling for Dependent Coupled Lives," Risks, MDPI, vol. 8(1), pages 1-28, February.
    19. Hunt, Andrew & Blake, David, 2018. "Identifiability, cointegration and the gravity model," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 360-368.
    20. Bravo, Jorge M. & Nunes, João Pedro Vidal, 2021. "Pricing longevity derivatives via Fourier transforms," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 81-97.
    21. R. Giacometti & S. Ortobelli & M. Bertocchi, 2011. "A Stochastic Model for Mortality Rate on Italian Data," Journal of Optimization Theory and Applications, Springer, vol. 149(1), pages 216-228, April.
    22. Tahir Choulli & Catherine Daveloose & Mich`ele Vanmaele, 2018. "Mortality/longevity Risk-Minimization with or without securitization," Papers 1805.11844, arXiv.org.
    23. Marcus C. Christiansen, 2013. "Gaussian and Affine Approximation of Stochastic Diffusion Models for Interest and Mortality Rates," Risks, MDPI, vol. 1(3), pages 1-20, October.
    24. Gaillardetz, Patrice, 2008. "Valuation of life insurance products under stochastic interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 212-226, February.
    25. Francesca Biagini & Yinglin Zhang, 2016. "Polynomial Diffusion Models for Life Insurance Liabilities," Papers 1602.07910, arXiv.org, revised Sep 2016.
    26. David Blake & Nicole El Karoui & Stéphane Loisel & Richard Macminn, 2018. "Longevity risk and capital markets: The 2015–16 update," Post-Print hal-01995778, HAL.
    27. Tomas Cipra, 2010. "Securitization of Longevity and Mortality Risk," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 60(6), pages 545-560, December.
    28. Daniel H. Alai & Katja Ignatieva & Michael Sherris, 2019. "The Investigation of a Forward-Rate Mortality Framework," Risks, MDPI, vol. 7(2), pages 1-22, June.
    29. T. Gudaitis & A. Fiori Maccioni, 2014. "Optimal Individual Choice of Contribution to Second Pillar Pension System in Lithuania," Working Paper CRENoS 201402, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
    30. D’Amato, Valeria & Di Lorenzo, Emilia & Haberman, Steven & Sagoo, Pretty & Sibillo, Marilena, 2018. "De-risking strategy: Longevity spread buy-in," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 124-136.
    31. Wang, Ting & Young, Virginia R., 2016. "Hedging pure endowments with mortality derivatives," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 238-255.
    32. Jevtić, Petar & Luciano, Elisa & Vigna, Elena, 2013. "Mortality surface by means of continuous time cohort models," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 122-133.
    33. Bauer, Daniel & Weber, Frederik, 2007. "Assessing Investment and Longevity Risks within Immediate Annuities," Discussion Papers in Business Administration 1982, University of Munich, Munich School of Management.
    34. Kallestrup-Lamb, Malene & Søgaard Laursen, Nicolai, 2024. "Longevity hedge effectiveness using socioeconomic indices," Insurance: Mathematics and Economics, Elsevier, vol. 114(C), pages 242-251.
    35. Shen, Yang & Siu, Tak Kuen, 2013. "Longevity bond pricing under stochastic interest rate and mortality with regime-switching," Insurance: Mathematics and Economics, Elsevier, vol. 52(1), pages 114-123.
    36. Ana M. Ferreiro & Enrico Ferri & José A. García & Carlos Vázquez, 2021. "Global Optimization for Automatic Model Points Selection in Life Insurance Portfolios," Mathematics, MDPI, vol. 9(5), pages 1-19, February.
    37. A. Fiori Maccioni & A. Bitinas, 2013. "Lithuanian pension system's reforms following demographic and social transitions," Working Paper CRENoS 201315, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
    38. Matheus R Grasselli & Sebastiano Silla, 2009. "A policyholder's utility indifference valuation model for the guaranteed annuity option," Papers 0908.3196, arXiv.org.
    39. Jang, Jiwook & Mohd Ramli, Siti Norafidah, 2015. "Jump diffusion transition intensities in life insurance and disability annuity," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 440-451.
    40. Emilia Di Lorenzo & Marilena Sibillo, 2020. "Economic Paradigms and Corporate Culture after the Great COVID-19 Pandemic: Towards a New Role of Welfare Organisations and Insurers," Sustainability, MDPI, vol. 12(19), pages 1-14, October.
    41. Barbarin, Jérôme, 2008. "Heath-Jarrow-Morton modelling of longevity bonds and the risk minimization of life insurance portfolios," Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 41-55, August.
    42. Broeders, Dirk & Mehlkopf, Roel & van Ool, Annick, 2021. "The economics of sharing macro-longevity risk," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 440-458.
    43. Li, Jing & Szimayer, Alexander, 2010. "The Uncertain Mortality Intensity Framework: Pricing and Hedging Unit-Linked Life Insurance Contracts," Bonn Econ Discussion Papers 13/2010, University of Bonn, Bonn Graduate School of Economics (BGSE).
    44. Hunt, Andrew & Blake, David, 2015. "Modelling longevity bonds: Analysing the Swiss Re Kortis bond," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 12-29.
    45. Anja De Waegenaere & Bertrand Melenberg & Ralph Stevens, 2010. "Longevity Risk," De Economist, Springer, vol. 158(2), pages 151-192, June.
    46. D'Amato, Valeria & Di Lorenzo, Emilia & Piscopo, Gabriella & Sibillo, Marilena & Trotta, Annarita, 2024. "Insurance business and social sustainability: A proposal," Socio-Economic Planning Sciences, Elsevier, vol. 93(C).
    47. Huang, Rachel J. & Tsai, Jeffrey T. & Tzeng, Larry Y., 2008. "Government-provided annuities under insolvency risk," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 377-385, December.
    48. Marcus Christiansen & Andreas Niemeyer, 2015. "On the forward rate concept in multi-state life insurance," Finance and Stochastics, Springer, vol. 19(2), pages 295-327, April.
    49. LUCIANO, Elisa & VIGNA, Elena, 2008. "Mortality risk via affine stochastic intensities: calibration and empirical relevance," MPRA Paper 59627, University Library of Munich, Germany.
    50. Cairns, Andrew J.G., 2011. "Modelling and management of longevity risk: Approximations to survivor functions and dynamic hedging," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 438-453.
    51. Olivia S Mitchell & John Piggott & Michael Sherris & Shaun Yow, 2006. "Financial Innovation for an Ageing World," RBA Annual Conference Volume (Discontinued), in: Christopher Kent & Anna Park & Daniel Rees (ed.),Demography and Financial Markets, Reserve Bank of Australia.
    52. Date, P. & Mamon, R. & Jalen, L. & Wang, I.C., 2010. "A linear algebraic method for pricing temporary life annuities and insurance policies," Insurance: Mathematics and Economics, Elsevier, vol. 47(1), pages 98-104, August.
    53. Norberg, Ragnar, 2010. "Forward mortality and other vital rates -- Are they the way forward?," Insurance: Mathematics and Economics, Elsevier, vol. 47(2), pages 105-112, October.
    54. Christina Bohk-Ewald & Marcus Ebeling & Roland Rau, 2017. "Lifespan Disparity as an Additional Indicator for Evaluating Mortality Forecasts," Demography, Springer;Population Association of America (PAA), vol. 54(4), pages 1559-1577, August.
    55. Min Zheng, 2015. "Heterogeneous Expectations and Speculative Behavior in Insurance-Linked Securities," Discrete Dynamics in Nature and Society, Hindawi, vol. 2015, pages 1-12, March.
    56. Li, Jing & Szimayer, Alexander, 2011. "The uncertain mortality intensity framework: Pricing and hedging unit-linked life insurance contracts," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 471-486.
    57. Dowd, Kevin & Cairns, Andrew J.G. & Blake, David & Coughlan, Guy D. & Epstein, David & Khalaf-Allah, Marwa, 2010. "Evaluating the goodness of fit of stochastic mortality models," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 255-265, December.
    58. Wills, Samuel & Sherris, Michael, 2010. "Securitization, structuring and pricing of longevity risk," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 173-185, February.
    59. Simon Schnürch & Torsten Kleinow & Ralf Korn, 2021. "Clustering-Based Extensions of the Common Age Effect Multi-Population Mortality Model," Risks, MDPI, vol. 9(3), pages 1-32, March.
    60. Blake, David & Cairns, Andrew J.G., 2021. "Longevity risk and capital markets: The 2019-20 update," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 395-439.
    61. Bravo, Jorge M. & Ayuso, Mercedes & Holzmann, Robert & Palmer, Edward, 2021. "Addressing the life expectancy gap in pension policy," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 200-221.
    62. Elisa Luciano & Elena Vigna, 2005. "A note on stochastic survival probabilities and their calibration," ICER Working Papers - Applied Mathematics Series 1-2005, ICER - International Centre for Economic Research.
    63. Apicella, Giovanna & Dacorogna, Michel M, 2016. "A General framework for modelling mortality to better estimate its relationship with interest rate risks," MPRA Paper 75788, University Library of Munich, Germany.
    64. Chen, Bingzheng & Zhang, Lihong & Zhao, Lin, 2010. "On the robustness of longevity risk pricing," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 358-373, December.
    65. Elisa Luciano & Jaap Spreeuw & Elena Vigna, 2007. "Modelling Stochastic Mortality for Dependent Lives," CeRP Working Papers 58, Center for Research on Pensions and Welfare Policies, Turin (Italy).
    66. Francesca Biagini & Katharina Oberpriller, 2020. "Reduced-form setting under model uncertainty with non-linear affine processes," Papers 2006.14307, arXiv.org, revised Jun 2020.
    67. Post Thomas, 2012. "Individual Welfare Gains from Deferred Life-Annuities under Stochastic Mortality," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 6(2), pages 1-26, June.
    68. Fung, Man Chung & Ignatieva, Katja & Sherris, Michael, 2014. "Systematic mortality risk: An analysis of guaranteed lifetime withdrawal benefits in variable annuities," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 103-115.
    69. Elisa Luciano & Elena Vigna, 2006. "Non mean reverting affne processes for stochastic mortality," Carlo Alberto Notebooks 30, Collegio Carlo Alberto.
    70. Tsai, Jeffrey T. & Wang, Jennifer L. & Tzeng, Larry Y., 2010. "On the optimal product mix in life insurance companies using conditional value at risk," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 235-241, February.
    71. Thai Nguyen & Mitja Stadje, 2018. "Optimal investment for participating insurance contracts under VaR-Regulation," Papers 1805.09068, arXiv.org, revised Jul 2019.
    72. Hua Chen & Michael Sherris & Tao Sun & Wenge Zhu, 2013. "Living With Ambiguity: Pricing Mortality-Linked Securities With Smooth Ambiguity Preferences," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(3), pages 705-732, September.
    73. Jiwook Jang & Siti Norafidah Mohd Ramli, 2018. "Hierarchical Markov Model in Life Insurance and Social Benefit Schemes," Risks, MDPI, vol. 6(3), pages 1-17, June.
    74. Jorge Bravo, 2011. "Pricing Longevity Bonds Using Affine-Jump Diffusion Models," CEFAGE-UE Working Papers 2011_29, University of Evora, CEFAGE-UE (Portugal).
    75. Li, Han & Liu, Haibo & Tang, Qihe & Yuan, Zhongyi, 2023. "Pricing extreme mortality risk in the wake of the COVID-19 pandemic," Insurance: Mathematics and Economics, Elsevier, vol. 108(C), pages 84-106.
    76. Chen, An & Rach, Manuel, 2019. "Options on tontines: An innovative way of combining tontines and annuities," Insurance: Mathematics and Economics, Elsevier, vol. 89(C), pages 182-192.
    77. Eckhard Platen, 2009. "Real World Pricing of Long Term Contracts," Research Paper Series 262, Quantitative Finance Research Centre, University of Technology, Sydney.
    78. Chen, Hua & Cummins, J. David, 2010. "Longevity bond premiums: The extreme value approach and risk cubic pricing," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 150-161, February.
    79. Ragnar Norberg, 2013. "Optimal hedging of demographic risk in life insurance," Finance and Stochastics, Springer, vol. 17(1), pages 197-222, January.
    80. Tahir Choulli & Catherine Daveloose & Michèle Vanmaele, 2021. "Mortality/Longevity Risk-Minimization with or without Securitization," Mathematics, MDPI, vol. 9(14), pages 1-27, July.
    81. Andreas Milidonis, 2012. "Cypriot Mortality and Pension Benefits," Cyprus Economic Policy Review, University of Cyprus, Economics Research Centre, vol. 6(2), pages 59-66, December.
    82. Wolfram J. Horneff & Raimond H. Maurer, 2008. "Deferred Annuities and Strategic Asset Allocation," Working Papers wp178, University of Michigan, Michigan Retirement Research Center.
    83. Plat, Richard, 2009. "On stochastic mortality modeling," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 393-404, December.
    84. Hainaut, Donatien, 2022. "A calendar year mortality model in continuous time," LIDAM Discussion Papers ISBA 2022019, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    85. Helena Aro & Teemu Pennanen, 2013. "Liability-driven investment in longevity risk management," Papers 1307.8261, arXiv.org.
    86. Cox, Samuel H. & Lin, Yijia & Pedersen, Hal, 2010. "Mortality risk modeling: Applications to insurance securitization," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 242-253, February.
    87. Annamaria Olivieri & Ermanno Pitacco, 2012. "Life tables in actuarial models: from the deterministic setting to a Bayesian approach," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 96(2), pages 127-153, June.
    88. Kijima, Masaaki & Wong, Tony, 2007. "Pricing of Ratchet equity-indexed annuities under stochastic interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 41(3), pages 317-338, November.
    89. Wolfram Horneff & Raimond Maurer & Michael Stamos, 2006. "Life-Cycle Asset Allocation with Annuity Markets: Is Longevity Insurance a Good Deal?," Working Papers wp146, University of Michigan, Michigan Retirement Research Center.
    90. Stefan Tappe & Stefan Weber, 2014. "Stochastic mortality models: an infinite-dimensional approach," Finance and Stochastics, Springer, vol. 18(1), pages 209-248, January.
    91. Susanna Levantesi & Massimiliano Menzietti, 2017. "Maximum Market Price of Longevity Risk under Solvency Regimes: The Case of Solvency II," Risks, MDPI, vol. 5(2), pages 1-21, May.
    92. Richter, Andreas & Weber, Frederik, 2009. "Mortality-Indexed Annuities," Discussion Papers in Business Administration 10994, University of Munich, Munich School of Management.
    93. Deelstra, Griselda & Grasselli, Martino & Van Weverberg, Christopher, 2016. "The role of the dependence between mortality and interest rates when pricing Guaranteed Annuity Options," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 205-219.
    94. Marie Angèle Cathleen Alijean & Jason Narsoo, 2018. "Evaluation of the Kou-Modified Lee-Carter Model in Mortality Forecasting: Evidence from French Male Mortality Data," Risks, MDPI, vol. 6(4), pages 1-26, October.
    95. Dowd, Kevin & Cairns, Andrew J.G. & Blake, David, 2006. "Mortality-dependent financial risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 38(3), pages 427-440, June.
    96. Anna Rita Bacinello & Ivan Zoccolan, 2019. "Variable annuities with a threshold fee: valuation, numerical implementation and comparative static analysis," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(1), pages 21-49, June.
    97. Biagini, Francesca & Zhang, Yinglin, 2016. "Polynomial diffusion models for life insurance liabilities," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 114-129.
    98. Alessandro Fiori Maccioni, 2011. "A Stochastic Model for the Analysis of Demographic Risk in Pay-As-You-Go Pension Funds," Papers 1106.5081, arXiv.org.
    99. Luciano, Elisa & Regis, Luca & Vigna, Elena, 2012. "Delta–Gamma hedging of mortality and interest rate risk," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 402-412.
    100. Russo, Vincenzo & Giacometti, Rosella & Ortobelli, Sergio & Rachev, Svetlozar & Fabozzi, Frank J., 2011. "Calibrating affine stochastic mortality models using term assurance premiums," Insurance: Mathematics and Economics, Elsevier, vol. 49(1), pages 53-60, July.
    101. Tomas, Julien & Planchet, Frédéric, 2015. "Prospective mortality tables: Taking heterogeneity into account," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 169-190.

  76. Richard MacMinn & Patrick Brockett & David Blake, 2006. "Longevity Risk and Capital Markets," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 73(4), pages 551-557, December.

    Cited by:

    1. Liu, Yanxin & Li, Johnny Siu-Hang, 2016. "It’s all in the hidden states: A longevity hedging strategy with an explicit measure of population basis risk," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 301-319.
    2. Moshe A. Milevsky & Keke Song, 2010. "Do Markets Like Frozen Defined Benefit Pensions? An Event Study," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 77(4), pages 893-909, December.
    3. David Blake & Marco Morales & Wenjun Zhu & Ken Seng Tan & Chou-Wen Wang, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 477-493, April.
    4. Cairns, Andrew J.G., 2011. "Modelling and management of longevity risk: Approximations to survivor functions and dynamic hedging," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 438-453.
    5. Homa Magdalena, 2020. "Mathematical Reserves vs Longevity Risk in Life Insurances," Econometrics. Advances in Applied Data Analysis, Sciendo, vol. 24(1), pages 23-38, March.
    6. Meyricke, Ramona & Sherris, Michael, 2014. "Longevity risk, cost of capital and hedging for life insurers under Solvency II," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 147-155.
    7. MacMinn, Richard & Richter, Andreas, 2018. "The choice of trigger in an insurance linked security: The mortality risk case," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 174-182.
    8. Helena Chuliá & Montserrat Guillén & Jorge M. Uribe, 2015. "Mortality and Longevity Risks in the United Kingdom: Dynamic Factor Models and Copula-Functions," Working Papers 2015-03, Universitat de Barcelona, UB Riskcenter.
    9. Dorina Lazar & Anuta Buiga & Adela Deaconu, 2016. "Common Stochastic Trends in European Mortality Levels: Testing and Consequences for Modeling Longevity Risk in Insurance," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 152-168, June.
    10. Jisoo Hwang & Seok Ki Kim, 2023. "Unexpected longevity, intergenerational policies, and fertility," Journal of Population Economics, Springer;European Society for Population Economics, vol. 36(3), pages 1607-1640, July.
    11. Istvan Majer & Ralph Stevens & Wilma Nusselder & Johan Mackenbach & Pieter Baal, 2013. "Modeling and Forecasting Health Expectancy: Theoretical Framework and Application," Demography, Springer;Population Association of America (PAA), vol. 50(2), pages 673-697, April.
    12. MacMinn, Richard & Richter, Andreas, 2006. "Hedging Brevity Risk with Mortality-based Securities," Discussion Papers in Business Administration 1219, University of Munich, Munich School of Management.
    13. Yuh, Yoonkyung & Yang, Jaehwan, 2011. "The Valuation and Redistribution Effect of the Korea National Pension," Hitotsubashi Journal of Economics, Hitotsubashi University, vol. 52(1), pages 113-142, June.

  77. Allan Timmermann & David Blake, 2005. "International Asset Allocation with Time-Varying Investment Opportunities," The Journal of Business, University of Chicago Press, vol. 78(1), pages 71-98, January.
    See citations under working paper version above.
  78. David Blake & Allan Timmermann, 2005. "Returns from active management in international equity markets: Evidence from a panel of UK pension funds," Journal of Asset Management, Palgrave Macmillan, vol. 6(1), pages 5-20, June.
    See citations under working paper version above.
  79. Kevin Dowd & David Blake & Andrew Cairns, 2004. "Long‐Term Value at Risk," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 5(2), pages 52-57, February.
    See citations under working paper version above.
  80. David Blake, 2003. "Reply to “Survivor Bonds: A Comment on Blake and Burrows”," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 70(2), pages 349-351, June.

    Cited by:

    1. Joseph M. Goebel, 2007. "Risk, Return, and Performance Measurement: A Case of Unrealistic Expectations?," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 10(1), pages 51-68, March.
    2. Chou-Wen Wang & Sharon S. Yang, 2013. "Pricing Survivor Derivatives With Cohort Mortality Dependence Under the Lee–Carter Framework," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(4), pages 1027-1056, December.
    3. Wang, Chou-Wen & Yang, Sharon S. & Huang, Hong-Chih, 2015. "Modeling multi-country mortality dependence and its application in pricing survivor index swaps—A dynamic copula approach," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 30-39.

  81. David Blake, 2003. "UK pension fund management after Myners: The hunt for correlation begins," Journal of Asset Management, Palgrave Macmillan, vol. 4(1), pages 32-72, June.
    See citations under working paper version above.
  82. Blake, David & Cairns, Andrew J. G. & Dowd, Kevin, 2003. "Pensionmetrics 2: stochastic pension plan design during the distribution phase," Insurance: Mathematics and Economics, Elsevier, vol. 33(1), pages 29-47, August.
    See citations under working paper version above.
  83. D Blake & B N Lehmann & A Timmermann, 2002. "Performance clustering and incentives in the UK pension fund industry," Journal of Asset Management, Palgrave Macmillan, vol. 3(2), pages 173-194, September.
    See citations under working paper version above.
  84. Blake, David & Cairns, Andrew J. G. & Dowd, Kevin, 2001. "Pensionmetrics: stochastic pension plan design and value-at-risk during the accumulation phase," Insurance: Mathematics and Economics, Elsevier, vol. 29(2), pages 187-215, October.

    Cited by:

    1. Kirsten L MacDonald & Robert J Bianchi & Michael E Drew, 2014. "Equity risk versus retirement adequacy: Asset allocation solutions for KiwiSaver," Discussion Papers in Finance finance:201402, Griffith University, Department of Accounting, Finance and Economics.
    2. Blake, David & Cairns, Andrew J. G. & Dowd, Kevin, 2003. "Pensionmetrics 2: stochastic pension plan design during the distribution phase," LSE Research Online Documents on Economics 24830, London School of Economics and Political Science, LSE Library.
    3. Steven Haberman & Elena Vigna, 2002. "Optimal investment strategies and risk measures in defined contribution pension schemes," ICER Working Papers - Applied Mathematics Series 09-2002, ICER - International Centre for Economic Research.
    4. Hong‐Chih Huang, 2010. "Optimal Multiperiod Asset Allocation: Matching Assets to Liabilities in a Discrete Model," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 77(2), pages 451-472, June.
    5. Francesco, MENONCIN, 2003. "Optimal Real Consumption and Asset Allocation for a HARA Investor with Labour Income," LIDAM Discussion Papers IRES 2003015, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    6. Ivica Dus & Raimond Maurer & Olivia S. Mitchell, 2003. "Betting on Death and Capital Markets in Retirement: A Shortfall Risk Analysis of Life Annuities versus Phased Withdrawal Plans," Working Papers wp063, University of Michigan, Michigan Retirement Research Center.
    7. MacDonald, Bonnie-Jeanne & Cairns, Andrew J.G., 2011. "Three retirement decision models for defined contribution pension plan members: A simulation study," Insurance: Mathematics and Economics, Elsevier, vol. 48(1), pages 1-18, January.
    8. Iqbal Owadally & Steven Haberman & Denise Gómez Hernández, 2013. "A Savings Plan With Targeted Contributions," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(4), pages 975-1000, December.
    9. Gao, Jianwei, 2009. "Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model," Insurance: Mathematics and Economics, Elsevier, vol. 45(1), pages 9-18, August.
    10. Kevin Dowd & David Blake & Andrew Cairns, 2004. "Long‐Term Value at Risk," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 5(2), pages 52-57, February.
    11. Marina Di Giacinto & Elena Vigna, 2012. "On the sub-optimality cost of immediate annuitization in DC pension funds," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 20(3), pages 497-527, September.
    12. Blake, David, 2003. "Take (smoothed) risks when you are young, not when you are old: how to get the best from your stakeholder pension plan," LSE Research Online Documents on Economics 24834, London School of Economics and Political Science, LSE Library.
    13. Cairns, Andrew J.G. & Blake, David & Dowd, Kevin, 2006. "Stochastic lifestyling: Optimal dynamic asset allocation for defined contribution pension plans," Journal of Economic Dynamics and Control, Elsevier, vol. 30(5), pages 843-877, May.
    14. Liang, Zongxia & Ma, Ming, 2015. "Optimal dynamic asset allocation of pension fund in mortality and salary risks framework," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 151-161.
    15. A. Fiori Maccioni & A. Bitinas, 2013. "Lithuanian pension system's reforms following demographic and social transitions," Working Paper CRENoS 201315, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
    16. Aihua Zhang & Christian-Oliver Ewald, 2010. "Optimal investment for a pension fund under inflation risk," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 71(2), pages 353-369, April.
    17. Blake, David & Cairns, Andrew & Dowd, Kevin, 2008. "Turning pension plans into pension planes: What investment strategy designers of defined contribution pension plans can learn from commercial aircraft designers," MPRA Paper 33749, University Library of Munich, Germany.
    18. Martínez Preece Marissa R. & Venegas Martínez Francisco, 2014. "Análisis del riesgo de mercado de los fondos de pensión en México Un enfoque con modelos autorregresivos," Contaduría y Administración, Accounting and Management, vol. 59(3), pages 165-195, julio-sep.
    19. Pietrzyk Radosław & Rokita Paweł, 2015. "Stochastic Goals in Financial Planning for a Two-Person Household," Statistics in Transition New Series, Polish Statistical Association, vol. 16(1), pages 111-136, March.
    20. An Chen & Filip Uzelac, 2015. "Portability, Salary and Asset Price Risk: A Continuous-Time Expected Utility Comparison of DB and DC Pension Plans," Risks, MDPI, vol. 3(1), pages 1-26, March.
    21. Blake, David & Wright, Douglas & Zhang, Yumeng, 2011. "Target-driven investing: Optimal investment strategies in defined contribution pension plans under loss aversion," MPRA Paper 34278, University Library of Munich, Germany.
    22. Russell Gerrard & Bjarne Højgaard & Elena Vigna, 2008. "Choosing the Optimal Annuitization Time Post Retirement," Carlo Alberto Notebooks 76, Collegio Carlo Alberto.
    23. Paolo BATTOCCHIO, 2002. "Optimal Portfolio Strategies with Stochastic Wage Income : The Case of A defined Contribution Pension Plan," LIDAM Discussion Papers IRES 2002005, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    24. Luković Stevan & Marinković Srđan, 2019. "Comparative Analysis of Retirement Benefits in Private Pension Funds and Public Pension System," Economic Themes, Sciendo, vol. 57(2), pages 145-164, June.
    25. Liam A. Gallagher & Fionnuala Ryan, 2017. "A Portfolio Approach to Assessing an Auto-Enrolment Pension Scheme for Ireland," The Economic and Social Review, Economic and Social Studies, vol. 48(4), pages 515-548.
    26. Andrey Kudryavtsev & Shosh Shahrabani & Yaniv Azoulay, 2017. "Frequency of Adjusting Asset Allocations in the Life-Cycle Pension Model: When Doing More Is Not Necessarily Better," Bulletin of Applied Economics, Risk Market Journals, vol. 4(1), pages 13-33.
    27. Paul Emms & Steven Haberman, 2008. "Income Drawdown Schemes for a Defined‐Contribution Pension Plan," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 75(3), pages 739-761, September.
    28. Paolo BATTOCCHIO & Francesco MENONCIN, 2002. "Optimal Pension Management under Stochastic Interest Rates, Wages, and Inflation," LIDAM Discussion Papers IRES 2002021, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    29. Menoncin, Francesco, 2005. "Cyclical risk exposure of pension funds: A theoretical framework," Insurance: Mathematics and Economics, Elsevier, vol. 36(3), pages 469-484, June.
    30. Yuqin Sun & Yungao Wu & Gejirifu De, 2023. "A Novel Black-Litterman Model with Time-Varying Covariance for Optimal Asset Allocation of Pension Funds," Mathematics, MDPI, vol. 11(6), pages 1-21, March.
    31. Amandha Ganegoda & John Evans, 2017. "The Australian retirement lottery: A system failure," Australian Journal of Management, Australian School of Business, vol. 42(1), pages 3-31, February.
    32. Solange Berstein & Olga Fuentes & Nicolás Torrealba, 2010. "Sistema de Pensiones de Capitalización Individual: ¿Cómo Mitigar Riesgos?," Working Papers 35, Superintendencia de Pensiones, revised Feb 2010.
    33. Rama Malladi, 2022. "HARI: Characteristics of a new defined lifestyle (DL) retirement planning product," Journal of Financial Services Marketing, Palgrave Macmillan, vol. 27(2), pages 147-163, June.
    34. Olivia S. Mitchell & David McCarthy, 2002. "Annuities for an Ageing World," NBER Working Papers 9092, National Bureau of Economic Research, Inc.
    35. Haberman, Steven & Vigna, Elena, 2002. "Optimal investment strategies and risk measures in defined contribution pension schemes," Insurance: Mathematics and Economics, Elsevier, vol. 31(1), pages 35-69, August.
    36. Solange Berstein & Olga Fuentes & Nicolás Torrealba, 2011. "La Importancia de la Opción por Omisión en los Sistemas de Pensiones de Cuentas Individuales," Working Papers 44, Superintendencia de Pensiones, revised Jan 2011.
    37. Andrew Cairns & Kevin Dowd, 2003. "(UBS Pensions series 17) Long-Term Value at Risk," FMG Discussion Papers dp468, Financial Markets Group.
    38. Michael E. Drew & Anup Basu & Alistair Byrnes, 2009. "Dynamic Lifecycle Strategies for Target Date Retirement Funds," Discussion Papers in Finance finance:200902, Griffith University, Department of Accounting, Finance and Economics.
    39. Francesco MENONCIN, 2001. "How to Manage Inflation Risk in an Asset Allocation Problem : an Algebric Aproximated Solution," LIDAM Discussion Papers IRES 2001035, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    40. Dormidontova, Yulia & Nazarov, Vladimir & A. Tikhonova, 2014. "Analysis of Approaches of Participants of Pension Products Market to the Development of Optimal Investment Strategies of Pension Savings," Published Papers r90227, Russian Presidential Academy of National Economy and Public Administration.
    41. Detemple, Jérôme & Rindisbacher, Marcel, 2008. "Dynamic asset liability management with tolerance for limited shortfalls," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 281-294, December.
    42. Yaniv Azoulay & Andrey Kudryavtsev & Shosh Shahrabani, 2016. "Accumulating approach to the life-cycle pension model: practical advantages," Financial Theory and Practice, Institute of Public Finance, vol. 40(4), pages 413-436.
    43. Zhang, Aihua & Korn, Ralf & Ewald, Christian-Oliver, 2007. "Optimal management and inflation protection for defined contribution pension plans," MPRA Paper 3300, University Library of Munich, Germany.
    44. Solange Berstein & Olga Fuentes & Nicolás Torrealba, 2010. "In an Individually Funded Pension System: How Can Risks Be Mitigated?," Working Papers 36, Superintendencia de Pensiones, revised Feb 2010.
    45. Alessandro Fiori Maccioni, 2011. "A Stochastic Model for the Analysis of Demographic Risk in Pay-As-You-Go Pension Funds," Papers 1106.5081, arXiv.org.
    46. Lim, Andrew E.B. & Wong, Bernard, 2010. "A benchmarking approach to optimal asset allocation for insurers and pension funds," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 317-327, April.
    47. He, Lin & Liang, Zongxia & Wang, Sheng, 2022. "Dynamic optimal adjustment policies of hybrid pension plans," Insurance: Mathematics and Economics, Elsevier, vol. 106(C), pages 46-68.
    48. Radosław Pietrzyk & Paweł Rokita, 2015. "Stochastic goals in financial planning for a two-person household," Statistics in Transition new series, Główny Urząd Statystyczny (Polska), vol. 16(1), pages 111-136, May.
    49. Greg Brunner & Richard Hinz & Roberto Rocha, 2008. "Risk-based Supervision of Pension Funds : Emerging Practices and Challenges," World Bank Publications - Books, The World Bank Group, number 6419, December.
    50. Emms, Paul, 2012. "Lifetime investment and consumption using a defined-contribution pension scheme," Journal of Economic Dynamics and Control, Elsevier, vol. 36(9), pages 1303-1321.

  85. Blake, David, 2000. "Does It Matter What Type of Pension Scheme You Have?," Economic Journal, Royal Economic Society, vol. 110(461), pages 46-81, February.

    Cited by:

    1. Bovenberg, A L, 2003. "Financing Retirement in the European Union," International Tax and Public Finance, Springer;International Institute of Public Finance, vol. 10(6), pages 713-734, November.
    2. R. Melis & A. Trudda, 2014. "Mixed pension systems sustainability," Working Paper CRENoS 201413, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
    3. Luciano Fanti, 2012. "PAYG pensions and fertility drop: some (pleasant) arithmetic," Discussion Papers 2012/147, Dipartimento di Economia e Management (DEM), University of Pisa, Pisa, Italy.
    4. Wade D. Pfau, 2008. "Emerging Market Pension Funds and International Diversification," GRIPS Discussion Papers 08-10, National Graduate Institute for Policy Studies.
    5. Garon, Jean-Denis, 2016. "The commitment value of funding pensions," Economics Letters, Elsevier, vol. 145(C), pages 11-14.
    6. An Chen & Filip Uzelac, 2015. "Portability, Salary and Asset Price Risk: A Continuous-Time Expected Utility Comparison of DB and DC Pension Plans," Risks, MDPI, vol. 3(1), pages 1-26, March.
    7. Giuseppe Grande & Ignazio Visco, 2010. "A public guarantee of a minimum return to defined contribution pension scheme members," Temi di discussione (Economic working papers) 762, Bank of Italy, Economic Research and International Relations Area.
    8. Bovenberg, A.L., 2002. "Financing Retirement in the European Union," Other publications TiSEM b043e797-9509-42b9-8db3-8, Tilburg University, School of Economics and Management.
    9. Noja Gratiela Georgiana & Caran Margareta, 2015. "Post-Employment Benefits In Romania And Serbia: A Comparative Impact Analysis," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(2), pages 237-246, December.
    10. Blake, David, 2003. "What is a promise from the government worth?:: measuring and assessing the implications of political risk in state and personal pension schemes in the United Kingdom," LSE Research Online Documents on Economics 24856, London School of Economics and Political Science, LSE Library.
    11. Miriam Steurer, 2009. "Extending the Aaron Condition for Alternative Pay-as-You-Go Pension Systems," Discussion Papers 2009-03, School of Economics, The University of New South Wales.
    12. Wade D. Pfau, 2007. "Asset Allocation for the Pakistan Pension System: A Role for International Diversification?," GRIPS Discussion Papers 07-06, National Graduate Institute for Policy Studies.
    13. Christine Lagoutte, 2006. "Financement des retraites par capitalisation et équilibre des systèmes financiers : le cas du Royaume-Uni," Revue d'Économie Financière, Programme National Persée, vol. 86(5), pages 331-362.
    14. Martin Sullivan, 2009. "Credit Ratings and UK Defined Pension Fund Portfolio Values," Working Papers 0909, Department of Accounting, Economics and Finance, Bristol Business School, University of the West of England, Bristol.
    15. Webb, David C., 2004. "Sponsoring company finance and investment and defined benefit pension scheme deficits," LSE Research Online Documents on Economics 24699, London School of Economics and Political Science, LSE Library.
    16. W Pfau, 2009. "The Role of International Diversification in Public Pension Systems: The Case of Pakistan," Economic Issues Journal Articles, Economic Issues, vol. 14(2), pages 81-106, September.
    17. Blake, David, 2009. "NDC v FDC: Pros, cons and replication," MPRA Paper 33752, University Library of Munich, Germany.
    18. Jan Hagemejer & Krzysztof Makarski & Joanna Tyrowicz, 2013. "Efficiency of the pension reform: the welfare effects of various fiscal closures," Working Papers 2013-23, Faculty of Economic Sciences, University of Warsaw.
    19. Jan Hagemejer & Krzysztof Makarski & Joanna Tyrowicz, 2015. "Unprivatizing the pension system: the case of Poland," Applied Economics, Taylor & Francis Journals, vol. 47(8), pages 833-852, February.
    20. E. Philip Davis, 2000. "Réglementation des retraites privées : le cas du Royaume-Uni," Revue d'Économie Financière, Programme National Persée, vol. 60(5), pages 175-195.
    21. James,Estelle & Smalhout, James & Vittas, Dimitri, 2001. "Administrative costs and the organization of individual retirement account systems : a comparative perspective," Policy Research Working Paper Series 2554, The World Bank.

  86. David Blake & John Board, 2000. "Measuring Value Added in the Pensions Industry," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 25(4), pages 539-567, October.

    Cited by:

    1. Blake, David, 2003. "The United Kingdom pension system: key issues," LSE Research Online Documents on Economics 24851, London School of Economics and Political Science, LSE Library.
    2. Chavez-Bedoya, Luis & Castaneda, Ranu, 2021. "A benchmarking approach to track and compare administrative charges on flow and balance in individual account pension systems," Insurance: Mathematics and Economics, Elsevier, vol. 97(C), pages 7-23.
    3. Dariusz Stanko, 2003. "Polish Pension Funds, Does The System Work? Cost, Efficiency and Performance MeasurementIssues," Public Economics 0302001, University Library of Munich, Germany.
    4. Luis Chávez-Bedoya & Nelson Ramírez-Rondán, 2014. "Comparando Comisiones por Flujo y Saldo en Fondos de Pensiones con Cuentas Individuales de Capitalización," Working Papers 9, Peruvian Economic Association.
    5. Kevin Dowd & David Blake, 2022. "Good Practice Principles in Modelling Defined Contribution Pension Plans," JRFM, MDPI, vol. 15(3), pages 1-21, February.
    6. Dariusz Stanko, 2003. "Performance Evaluation of Public Pension Funds: The Reformed Pension System in Poland," Finance 0306002, University Library of Munich, Germany.

  87. Lunde, Asger & Timmermann, Allan & Blake, David, 1999. "The hazards of mutual fund underperformance: A Cox regression analysis," Journal of Empirical Finance, Elsevier, vol. 6(2), pages 121-152, April.
    See citations under working paper version above.
  88. David Blake, 1999. "Annuity Markets: Problems and Solutions," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 24(3), pages 358-375, July.

    Cited by:

    1. Blake, David & Cairns, Andrew J. G. & Dowd, Kevin, 2003. "Pensionmetrics 2: stochastic pension plan design during the distribution phase," LSE Research Online Documents on Economics 24830, London School of Economics and Political Science, LSE Library.
    2. Blake, David, 2003. "The United Kingdom pension system: key issues," LSE Research Online Documents on Economics 24851, London School of Economics and Political Science, LSE Library.
    3. Donnelly, Catherine & Guillén, Montserrat & Nielsen, Jens Perch, 2014. "Bringing cost transparency to the life annuity market," Insurance: Mathematics and Economics, Elsevier, vol. 56(C), pages 14-27.
    4. Yikang Li & Casey Rothschild, 2020. "Selection and Redistribution in the Irish Tontines of 1773, 1775, and 1777," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 87(3), pages 719-750, September.
    5. Blake, David, 2003. "Take (smoothed) risks when you are young, not when you are old: how to get the best from your stakeholder pension plan," LSE Research Online Documents on Economics 24834, London School of Economics and Political Science, LSE Library.
    6. Brown, Jeffrey R., 2001. "Private pensions, mortality risk, and the decision to annuitize," Journal of Public Economics, Elsevier, vol. 82(1), pages 29-62, October.
    7. Carlos Vidal-Melia & Ana Lejárraga-García, 2004. "The Bequest Motive And Single People’S Demand For Life Annuities," Public Economics 0405005, University Library of Munich, Germany.
    8. Jeffrey R. Brown & Olivia S. Mitchell & James M. Poterba, 1999. "The Role of Real Annuities and Indexed Bonds in an Individual Accounts Retirement Program," Center for Financial Institutions Working Papers 99-18, Wharton School Center for Financial Institutions, University of Pennsylvania.
    9. Albrecht, Peter & Göbel, Thorsten, 2000. "Rentenversicherung versus Fondsentnahmepläne, oder: Wie groß ist die Gefahr, den Verzehr des eigenen Vermögens zu überleben?," Sonderforschungsbereich 504 Publications 00-31, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
    10. Blake, David, 2003. "Financial system requirements for successful pension reform," LSE Research Online Documents on Economics 24862, London School of Economics and Political Science, LSE Library.
    11. Joachim Inkmann & Paula Lopes & Alexander Michaelides, 2009. "How Deep is the Annuity Market Participation Puzzle?," Working Papers 2009-5, Central Bank of Cyprus.
    12. d'Albis, Hippolyte & Thibault, Emmanuel, 2009. "Annuities, Bequests and Portfolio Diversification," TSE Working Papers 09-010, Toulouse School of Economics (TSE).
    13. Vittas, Dimitri, 2002. "Policies to promote saving for retirement : a synthetic overview," Policy Research Working Paper Series 2801, The World Bank.
    14. Koijen, R.S.J. & Nijman, T.E. & Werker, B.J.M., 2006. "Optimal Portfolio Choice with Annuitization," Discussion Paper 2006-78, Tilburg University, Center for Economic Research.
    15. Miss Allison C Schrager & Mr. George A Mackenzie, 2004. "Can the Private Annuity Market Provide Secure Retirement Income?," IMF Working Papers 2004/230, International Monetary Fund.
    16. James, Estelle & Vittas, Dimitri, 2000. "Annuity markets in comparative perspective : do consumers get their money's wotrth?," Policy Research Working Paper Series 2493, The World Bank.
    17. Koijen, R.S.J. & Nijman, T.E. & Werker, B.J.M., 2006. "Optimal Portfolio Choice with Annuitization," Other publications TiSEM e0ee89d5-4a5f-4c70-a7ee-d, Tilburg University, School of Economics and Management.
    18. James M. Poterba, 2001. "Annuity markets and retirement security," Fiscal Studies, Institute for Fiscal Studies, vol. 22(3), pages 249-270., September.
    19. Jinhui Zhang & Sachi Purcal & Jiaqin Wei, 2017. "Optimal Time to Enter a Retirement Village," Risks, MDPI, vol. 5(1), pages 1-20, March.
    20. Olivia S. Mitchell, 2001. "Developments in Decumulation: The Role of Annuity Products in Financing Retirement," NBER Working Papers 8567, National Bureau of Economic Research, Inc.
    21. Mr. George A Mackenzie, 2002. "The Role of Private Sector Annuities Markets in an Individual Accounts Reform of a Public Pension Plan," IMF Working Papers 2002/161, International Monetary Fund.
    22. Jeffrey R. Brown & Olivia S. Mitchell & James M. Poterba, 2000. "Mortality Risk, Inflation Risk, and Annuity Products," NBER Working Papers 7812, National Bureau of Economic Research, Inc.
    23. Albrecht, Peter & Göbel, Thorsten, 2000. "Rentenversicherung versus Fondsentnahmepläne, oder: Wie groß ist die Gefahr, den Verzehr des eigenen Vermögens zu überleben?," Papers 00-31, Sonderforschungsbreich 504.
    24. Olivia S. Mitchell & David McCarthy, 2002. "Annuities for an Ageing World," NBER Working Papers 9092, National Bureau of Economic Research, Inc.

  89. David Blake, 1999. "Portfolio Choice Models of Pension Funds and Life Assurance Companies: Similarities and Differences," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 24(3), pages 327-357, July.

    Cited by:

    1. Jacek B Krawczyk, 2015. "Delivering Left-Skewed Portfolio Payoff Distributions in the Presence of Transaction Costs," Risks, MDPI, vol. 3(3), pages 1-20, August.
    2. Mr. Jorge A Chan-Lau, 2004. "Pension Funds and Emerging Markets," IMF Working Papers 2004/181, International Monetary Fund.
    3. Senderski, Marcin, 2014. "Assessing the strictness of portfolio-related regulation of pension funds: Rethinking the definition of prudent," MPRA Paper 56610, University Library of Munich, Germany.
    4. Broeders, Dirk & Chen, An & Koos, Birgit, 2011. "A utility-based comparison of pension funds and life insurance companies under regulatory constraints," Insurance: Mathematics and Economics, Elsevier, vol. 49(1), pages 1-10, July.

  90. Blake, David & Lehmann, Bruce N & Timmermann, Allan, 1999. "Asset Allocation Dynamics and Pension Fund Performance," The Journal of Business, University of Chicago Press, vol. 72(4), pages 429-461, October.

    Cited by:

    1. Kirsten L MacDonald & Robert J Bianchi & Michael E Drew, 2014. "Equity risk versus retirement adequacy: Asset allocation solutions for KiwiSaver," Discussion Papers in Finance finance:201402, Griffith University, Department of Accounting, Finance and Economics.
    2. Basu, Anup & Drew, Michael, 2006. "Appropriateness of Default Investment Options in Defined Contribution Plans: The Australian Evidence," MPRA Paper 3314, University Library of Munich, Germany, revised 02 Nov 2006.
    3. Akshentseva, Ksenya (Акшенцева, Ксения) & Abramov, Alexander (Абрамов, Александр) & Chernovа, Maria (Чернова, Мария), 2015. "Problems of Formation and Evaluation of Strategies for Portfolio Investment of Pension Reserves, Accruals and Collective Investments in Russia [Проблемы Формирования И Оценки Результативности Страт," Published Papers mn24, Russian Presidential Academy of National Economy and Public Administration.
    4. Mercedes Alda, 2021. "The dilemma between fund‐style consistency and active management over the economic cycle. Evidence from pension funds," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2219-2240, April.
    5. Darolles, Serge & Vaissié, Mathieu, 2012. "The alpha and omega of fund of hedge fund added value," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 1067-1078.
    6. Tonks, Ian, 2002. "Performance persistence of pension fund managers," LSE Research Online Documents on Economics 24942, London School of Economics and Political Science, LSE Library.
    7. Xiaohong Huang & Ronald Mahieu, 2012. "Performance Persistence of Dutch Pension Funds," De Economist, Springer, vol. 160(1), pages 17-34, March.
    8. Alda, Mercedes & Vicente, Ruth, 2020. "Behavioural analysis of socially responsible investment managers: specialists versus non-specialists," Research in International Business and Finance, Elsevier, vol. 54(C).
    9. Jacobs, Heiko & Müller, Sebastian & Weber, Martin, 2014. "How should individual investors diversify? An empirical evaluation of alternative asset allocation policies," Journal of Financial Markets, Elsevier, vol. 19(C), pages 62-85.
    10. Blake, David, 2003. "The United Kingdom pension system: key issues," LSE Research Online Documents on Economics 24851, London School of Economics and Political Science, LSE Library.
    11. Jiang, George J. & Yao, Tong & Yu, Tong, 2007. "Do mutual funds time the market? Evidence from portfolio holdings," Journal of Financial Economics, Elsevier, vol. 86(3), pages 724-758, December.
    12. Harry Mamaysky & Matthew Spiegel & Hong Zhang, 2008. "Estimating the Dynamics of Mutual Fund Alphas and Betas," The Review of Financial Studies, Society for Financial Studies, vol. 21(1), pages 233-264, January.
    13. Ian Tonks, 2002. "(UBS Pensions Series 1) Performance Persistence of Pension Fund Managers," FMG Discussion Papers dp423, Financial Markets Group.
    14. Blake, David & Tonks, Ian & Timmermann, Allan & Wermers, Russ, 2010. "Decentralized Investment Management: Evidence from the Pension Fund Industry," CEPR Discussion Papers 7679, C.E.P.R. Discussion Papers.
    15. Keith Cuthbertson & Dirk Nitzsche & Niall O' Sullivan, 2004. "UK Mutual Fund Performance: Genuine Stock-Picking Ability or Luck," Money Macro and Finance (MMF) Research Group Conference 2004 55, Money Macro and Finance Research Group.
    16. Fischer, Andreas & Greminger, Rafael P. & Grisse, Christian & Kaufmann, Sylvia, 2021. "Portfolio rebalancing in times of stress," CEPR Discussion Papers 15777, C.E.P.R. Discussion Papers.
    17. Bijapur, Mohan & Croci, Manuela & Zaidi, Rida, 2012. "Do Asset Regulations Impede Portfolio Diversification? Evidence from European Life Insurance Funds," MPRA Paper 54265, University Library of Munich, Germany.
    18. Dahlquist, Magnus & Odegaard, Bernt Arne, 2018. "A Review of Norges Bank's Active Management of the Government Pension Fund Global," UiS Working Papers in Economics and Finance 2018/1, University of Stavanger.
    19. Annaert, Jan & De Ceuster, Marc J. K. & Van Hyfte, Wim, 2005. "The value of asset allocation advice: Evidence from The Economist's quarterly portfolio poll," Journal of Banking & Finance, Elsevier, vol. 29(3), pages 661-680, March.
    20. Isabel Abinzano & Luis Muga & Rafael Santamaria, 2016. "The Role of Investor Type in the Fee Structures of Pension Plans," Journal of Financial Services Research, Springer;Western Finance Association, vol. 50(3), pages 387-417, December.
    21. Dreassi, Alberto & Miani, Stefano & Paltrinieri, Andrea, 2017. "Sovereign pension and social security reserve funds: A portfolio analysis," Global Finance Journal, Elsevier, vol. 34(C), pages 43-53.
    22. Valpy Fitzgerald, 2006. "International Risk Tolerance, Capital Market Failure and Capital Flows to Emerging Markets," WIDER Working Paper Series RP2006-35, World Institute for Development Economic Research (UNU-WIDER).
    23. Jansen, Kristy, 2021. "Essays on institutional investors, portfolio choice, and asset prices," Other publications TiSEM fd998408-d282-4e0f-b542-4, Tilburg University, School of Economics and Management.
    24. Blake, David, 2003. "UK pension fund management after Myners: the hunt for correlation begins," LSE Research Online Documents on Economics 24833, London School of Economics and Political Science, LSE Library.
    25. David R. Gallagher & Elvis Jarnecic, 2002. "The Performance of Active Australian Bond Funds," Australian Journal of Management, Australian School of Business, vol. 27(2), pages 163-185, December.
    26. Manuel Ammann & Andreas Zingg, 2008. "Investment Performance of Swiss Pension Funds and Investment Foundations," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 144(II), pages 153-195, June.
    27. Yafeh, Yishay & Kandel, Eugene & Hamdani, Assaf & Mugerman, Yevgeny, 2015. "Incentive Fees and Competition in Pension Funds: Evidence from a Regulatory Experiment in Israel," CEPR Discussion Papers 10911, C.E.P.R. Discussion Papers.
    28. Stephen Satchell & Wei Xia, 2005. "Estimation of the Risk Attitude of the Representative UK Pension Fund Investor," Birkbeck Working Papers in Economics and Finance 0509, Birkbeck, Department of Economics, Mathematics & Statistics.
    29. Dirk Broeders & Kristy Jansen, 2021. "Pension Funds and Drivers of Heterogeneous Investment Strategies," Working Papers 712, DNB.
    30. José Alvarez & Laura Andreu & Cristina Ortiz & José Sarto, 2014. "A nonparametric approach to market timing: evidence from Spanish mutual funds," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 38(1), pages 119-132, January.
    31. Huang, X. & Mahieu, R.J., 2012. "Performance persistence of Dutch pension plans," Other publications TiSEM 3dba651c-bb31-443f-963c-4, Tilburg University, School of Economics and Management.
    32. Gallagher, David R. & Jarnecic, Elvis, 2004. "International equity funds, performance, and investor flows: Australian evidence," Journal of Multinational Financial Management, Elsevier, vol. 14(1), pages 81-95, February.
    33. J. Annaert & J.K. De Ceuster & W. Van Hyfte, 2002. "The Value of Asset Allocation Advice - Evidence of The Economist’s Quarterly Portfolio Poll," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 02/160, Ghent University, Faculty of Economics and Business Administration.
    34. Blake, David & Cairns, Andrew & Dowd, Kevin, 2008. "Turning pension plans into pension planes: What investment strategy designers of defined contribution pension plans can learn from commercial aircraft designers," MPRA Paper 33749, University Library of Munich, Germany.
    35. Dirk W.G.A. Broeders & Damiaan H.J. Chen & Peter A. Minderhoud & C.J. Willem Schudel, 2021. "Pension Funds' Herding," International Journal of Central Banking, International Journal of Central Banking, vol. 17(1), pages 285-330, March.
    36. Blake, David, 2003. "Financial system requirements for successful pension reform," LSE Research Online Documents on Economics 24862, London School of Economics and Political Science, LSE Library.
    37. Fabrice Hervé, 2006. "Les fonds de pension protègent-ils les investisseurs des évolutions du marché?," Working Papers CREGO 1060101, Université de Bourgogne - CREGO EA7317 Centre de recherches en gestion des organisations.
    38. John Board & Charles Sutcliffe, 2007. "Joined-Up Pensions Policy in the UK: An Asset-Liability Model for Simultaneously Determining the Asset Allocation and Contribution Rate," Economic Analysis, Institute of Economic Sciences, vol. 40(3-4), pages 87-118.
    39. Al Janabi, Mazin A.M., 2014. "Optimal and investable portfolios: An empirical analysis with scenario optimization algorithms under crisis market prospects," Economic Modelling, Elsevier, vol. 40(C), pages 369-381.
    40. Blake, David & Sarno, Lucio & Zinna, Gabriele, 2017. "The market for lemmings: The herding behavior of pension funds," Journal of Financial Markets, Elsevier, vol. 36(C), pages 17-39.
    41. Anup K. Basu & Michael E. Drew, 2009. "The Case for Gender‐Sensitive Superannuation Plan Design," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 42(2), pages 177-189, June.
    42. Luis Ferruz & Luis Vicente & Laura Andreu, 2009. "Performance persistence and its influence on money and investor flows into Spanish pension plans," Review of Quantitative Finance and Accounting, Springer, vol. 32(1), pages 85-100, January.
    43. Carmen-Pilar Mart¨ª-Ballester, 2012. "A Comparative Analysis of the Performance of Collective Investment Institutions," Review of Economics & Finance, Better Advances Press, Canada, vol. 2, pages 43-52, May.
    44. Assaf Hamdani & Eugene Kandel & Yevgeny Mugerman & Yishay Yafeh, 2016. "Incentive Fees and Competition in Pension Funds: Evidence from a Regulatory Experiment," NBER Working Papers 22634, National Bureau of Economic Research, Inc.
    45. Ammann, Manuel & Fischer, Sebastian & Weigert, Florian, 2020. "Factor exposure variation and mutual fund performance," CFR Working Papers 20-06, University of Cologne, Centre for Financial Research (CFR).
    46. Daniella Acker & Nigel W. Duck, 2006. "A Tournament Model of Fund Management," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 33(9‐10), pages 1460-1483, November.
    47. Gordon L. Clark & Emiko Caerlewy‐Smith & John C. Marshall, 2009. "Solutions to the Asset Allocation Problem by Informed Respondents: The Significance of the Size‐of‐Bet and the 1/N Heuristic," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 12(2), pages 251-271, September.
    48. Brown, Keith C. & Garlappi, Lorenzo & Tiu, Cristian, 2010. "Asset allocation and portfolio performance: Evidence from university endowment funds," Journal of Financial Markets, Elsevier, vol. 13(2), pages 268-294, May.
    49. Bange, Mary M. & Khang, Kenneth & Miller Jr., Thomas W., 2008. "Benchmarking the performance of recommended allocations to equities, bonds, and cash by international investment houses," Journal of Empirical Finance, Elsevier, vol. 15(3), pages 363-386, June.
    50. Glassman, Debra A. & Riddick, Leigh A., 2006. "Market timing by global fund managers," Journal of International Money and Finance, Elsevier, vol. 25(7), pages 1029-1050, November.
    51. Matthew Spiegel & Harry Mamaysky & Hong Zhang, 2005. "Estimating the Dynamics of Mutual Fund Alphas and Betas," Yale School of Management Working Papers ysm353, Yale School of Management, revised 01 Apr 2005.
    52. Broeders, Dirk W.G.A. & van Oord, Arco & Rijsbergen, David R., 2019. "Does it pay to pay performance fees? Empirical evidence from Dutch pension funds," Journal of International Money and Finance, Elsevier, vol. 93(C), pages 299-312.
    53. Gabriele Zinna, 2014. "Price pressures in the UK index-linked market: an empirical investigation," Temi di discussione (Economic working papers) 968, Bank of Italy, Economic Research and International Relations Area.
    54. Bijapur, Mohan & Croci, Manuela & Zaidi, Rida, 2012. "Do asset regulations impede portfolio diversification? evidence from European life insurance funds," LSE Research Online Documents on Economics 56618, London School of Economics and Political Science, LSE Library.
    55. Matthew Spiegel & Harry Mamaysky & Hong Zhang, 2005. "Improved Forecasting of Mutual Fund Alphas and Betas," Yale School of Management Working Papers amz2361, Yale School of Management, revised 01 Mar 2006.
    56. Fabrice Hervé, 2006. "Famille de fonds de pension, performance et persistance de la performance," Working Papers CREGO 1060903, Université de Bourgogne - CREGO EA7317 Centre de recherches en gestion des organisations.
    57. Lawrence Kryzanowski & Abdul Rahman, 2008. "Portfolio performance ambiguity and benchmark inefficiency revisited," Journal of Asset Management, Palgrave Macmillan, vol. 9(5), pages 321-332, December.
    58. Clare, Andrew & Sherman, Meadhbh Brid & Thomas, Steve, 2016. "Multi-asset class mutual funds: Can they time the market? Evidence from the US, UK and Canada," Research in International Business and Finance, Elsevier, vol. 36(C), pages 212-221.
    59. MacLean, Leonard & Zhao, Yonggan & Ziemba, William, 2006. "Dynamic portfolio selection with process control," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 317-339, February.
    60. Willie Dion Reddic, 2021. "Under pressure: investment behaviour of insurers under different financial and regulatory conditions," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 46(1), pages 1-20, January.
    61. Gökçen, Umut & Yalçın, Atakan, 2015. "The case against active pension funds: Evidence from the Turkish Private Pension System," Emerging Markets Review, Elsevier, vol. 23(C), pages 46-67.
    62. Maximilian Vermorken & Marc Gendebien & Alphons Vermorken & Thomas Schröder, 2013. "Skilled monkey or unlucky manager?," Journal of Asset Management, Palgrave Macmillan, vol. 14(5), pages 267-277, October.
    63. Christoph Gort & Mei Wang, 2010. "Overconfidence and Active Management," Chapters, in: Brian Bruce (ed.), Handbook of Behavioral Finance, chapter 12, Edward Elgar Publishing.
    64. Mercedes Alda & Luis Ferruz, 2012. "The Role of Fees in Pension Fund Performance. Evidence from Spain," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 62(6), pages 518-535, December.
    65. Alda, Mercedes & Andreu, Laura & Sarto, José Luis, 2017. "Learning about individual managers’ performance in UK pension funds: The importance of specialization," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 654-667.
    66. Lang, Gunnar & Shen, Yu & Xu, Xian, 2014. "Chinese pension fund investment efficiency: Evidence from CNCSSF stock holdings," ZEW Discussion Papers 14-007, ZEW - Leibniz Centre for European Economic Research.
    67. Anastasia Petraki & Anna Zalewska, 2017. "Jumping over a low hurdle: personal pension fund performance," Review of Quantitative Finance and Accounting, Springer, vol. 48(1), pages 153-190, January.
    68. Joseph Gerakos & Juhani T. Linnainmaa & Adair Morse, 2016. "Asset Managers: Institutional Performance and Smart Betas," NBER Working Papers 22982, National Bureau of Economic Research, Inc.
    69. Dariusz Stanko, 2003. "Performance Evaluation of Public Pension Funds: The Reformed Pension System in Poland," Finance 0306002, University Library of Munich, Germany.
    70. Manuel Ammann & Sebastian Fischer & Florian Weigert, 2018. "Risk Factor Exposure Variation and Mutual Fund Performance," Working Papers on Finance 1817, University of St. Gallen, School of Finance, revised Nov 2018.
    71. Marshall, Andrew & Tang, Leilei, 2011. "Assessing the impact of heteroskedasticity for evaluating hedge fund performance," International Review of Financial Analysis, Elsevier, vol. 20(1), pages 12-19, January.
    72. Artiga González, Tanja & van Lelyveld, Iman & Lučivjanská, Katarína, 2020. "Pension fund equity performance: Patience, activity or both?," Journal of Banking & Finance, Elsevier, vol. 115(C).
    73. Manuel Ammann & Christian Ehmann, 2017. "Is Governance Related to Investment Performance and Asset Allocation? Empirical Evidence from Swiss Pension Funds," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 153(3), pages 293-339, July.
    74. Broeders, Dirk & Chen, An, 2010. "Pension regulation and the market value of pension liabilities: A contingent claims analysis using Parisian options," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1201-1214, June.
    75. Lehmann, Bruce & Timmermann, Allan, 2007. "Performance measurement and evaluation," LSE Research Online Documents on Economics 24505, London School of Economics and Political Science, LSE Library.
    76. Farah, N. & Satchell, S.E., 2003. "A Loss Aversion Performance Measure," Cambridge Working Papers in Economics 0333, Faculty of Economics, University of Cambridge.
    77. Victor Soucik & David E. Allen, 2006. "Benchmarking Australian fixed interest fund performance: finding the optimal factors," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 46(5), pages 865-898, December.
    78. Anastasia Petraki & Anna Zalewska, 2013. "Jumping over a low hurdle: Personal pension fund performance," The Centre for Market and Public Organisation 13/305, The Centre for Market and Public Organisation, University of Bristol, UK.
    79. Boermans, Martijn A. & Galema, Rients, 2019. "Are pension funds actively decarbonizing their portfolios?," Ecological Economics, Elsevier, vol. 161(C), pages 50-60.
    80. Gregory, Alan & Tonks, Ian, 2004. "Performance of personal pension schemes in the UK," LSE Research Online Documents on Economics 24698, London School of Economics and Political Science, LSE Library.
    81. Yundan Guo & Li Shen, 2023. "Commercial Retirement FOFs in China: Investment and Persistence Performance Analysis," Sustainability, MDPI, vol. 15(18), pages 1-22, September.
    82. Heaney, Richard & Sriananthakumar, Sivagowry, 2012. "Time-varying correlation between stock market returns and real estate returns," Journal of Empirical Finance, Elsevier, vol. 19(4), pages 583-594.
    83. Berkowitz, Michael K. & Kotowitz, Yehuda, 2000. "Investor risk evaluation in the determination of management incentives in the mutual fund industry," Journal of Financial Markets, Elsevier, vol. 3(4), pages 365-387, November.
    84. Castaneda, Pablo & Rudolph, Heinz P., 2011. "Upgrading investment regulations in second pillar pension systems : a proposal for Colombia," Policy Research Working Paper Series 5775, The World Bank.

  91. David Blake & Allan Timmermann, 1998. "Mutual Fund Performance: Evidence from the UK," Review of Finance, European Finance Association, vol. 2(1), pages 57-77.

    Cited by:

    1. Amporn SOONGSWANG & Yosawee SANOHDONTREE, 2011. "Equity Mutual Fund: Performances, Persistence and Fund Rankings," Journal of Knowledge Management, Economics and Information Technology, ScientificPapers.org, vol. 1(6), pages 1-27, October.
    2. S. M. Aamir Shah & Syed Tahir Hijazi, 2005. "Performance Evaluation of Mutual Funds in Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 44(4), pages 863-876.
    3. Basu, Anup K. & Huang-Jones, Jason, 2015. "The performance of diversified emerging market equity funds," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 35(C), pages 116-131.
    4. Cuthbertson, Keith & Nitzsche, Dirk & O'Sullivan, Niall, 2008. "UK mutual fund performance: Skill or luck?," Journal of Empirical Finance, Elsevier, vol. 15(4), pages 613-634, September.
    5. Cuthbertson, Keith & Nitzsche, Dirk & O'Sullivan, Niall, 2022. "Mutual fund performance persistence: Factor models and portfolio size," International Review of Financial Analysis, Elsevier, vol. 81(C).
    6. Colm Kearney & Valerio Poti, 2004. "Idiosyncratic Risk, Market Risk and Correlation Dynamics in European Equity Markets," The Institute for International Integration Studies Discussion Paper Series iiisdp015, IIIS.
    7. Isabel Abinzano & Luis Muga & Rafael Santamaria, 2010. "Do Managerial Skills Vary Across Fund Managers? Results Using European Mutual Funds," Journal of Financial Services Research, Springer;Western Finance Association, vol. 38(1), pages 41-67, August.
    8. Blake, David & Caulfield, Tristan & Ioannidis, Christos & Tonks, Ian, 2014. "Improved inference in the evaluation of mutual fund performance using panel bootstrap methods," Journal of Econometrics, Elsevier, vol. 183(2), pages 202-210.
    9. Berkowitz, Michael K. & Qiu, Jiaping, 2003. "Ownership, risk and performance of mutual fund management companies," Journal of Economics and Business, Elsevier, vol. 55(2), pages 109-134.
    10. Blake, David, 2003. "The United Kingdom pension system: key issues," LSE Research Online Documents on Economics 24851, London School of Economics and Political Science, LSE Library.
    11. Feng Dong & John A. Doukas, 2019. "The payback of mutual fund selectivity in European markets," European Financial Management, European Financial Management Association, vol. 25(1), pages 160-180, January.
    12. Abel, Ernest & Fletcher, Jonathan, 2004. "An empirical examination of UK emerging market unit trust performance," Emerging Markets Review, Elsevier, vol. 5(4), pages 389-408, December.
    13. Colm Kearney & Valerio Poti, 2005. "Correlation Dynamics in European Equity Markets," Finance 0507008, University Library of Munich, Germany.
    14. Keith Cuthbertson & Dirk Nitzsche & Niall O' Sullivan, 2004. "UK Mutual Fund Performance: Genuine Stock-Picking Ability or Luck," Money Macro and Finance (MMF) Research Group Conference 2004 55, Money Macro and Finance Research Group.
    15. Keith Cuthbertson & Dirk Nitzsche & Niall O'Sullivan, 2012. "False Discoveries in UK Mutual Fund Performance," European Financial Management, European Financial Management Association, vol. 18(3), pages 444-463, June.
    16. Dirk Nitzsche & Keith Cuthbertson & Niall O'Sullivan, 2005. "Mutual Fund Performance: Skill Or Luck?," Money Macro and Finance (MMF) Research Group Conference 2005 4, Money Macro and Finance Research Group.
    17. Jondeau, E. & Rockinger, M., 2004. "The Bank Bias: Segmentation of French Fund Families," Working papers 107, Banque de France.
    18. Hanke, Bernd & Keswani, Aneel & Quigley, Garrett & Zagonov, Maxim, 2018. "Survivorship bias and comparability of UK open-ended fund databases," Economics Letters, Elsevier, vol. 172(C), pages 110-114.
    19. Farah Naz & Hafsa Khan & Muhammad Ishfaq Ahmad & Ramiz Ur Rehman & Muhammad Akram Naseem, 2019. "Productivity and efficiency analysis of Pakistani mutual funds using Malmquist index approach," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 6(03), pages 1-21, September.
    20. Christensen, Michael, 2003. "Evaluating Danish Mutual Fund Performance," Finance Working Papers 03-4, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    21. Engstrom, Stefan, 2003. "Costly information, diversification and international mutual fund performance," Pacific-Basin Finance Journal, Elsevier, vol. 11(4), pages 463-482, September.
    22. George Woodward & Heather Anderson, 2003. "Does Beta React to Market Conditions? Estimates of Bull and Bear Betas using a Nonlinear Market Model with an Endogenous Threshold Parameter," Monash Econometrics and Business Statistics Working Papers 9/03, Monash University, Department of Econometrics and Business Statistics.
    23. Blake, David, 2003. "Financial system requirements for successful pension reform," LSE Research Online Documents on Economics 24862, London School of Economics and Political Science, LSE Library.
    24. Jonathan Fletcher & Andrew Marshall, 2005. "The Performance of UK International Unit Trusts," European Financial Management, European Financial Management Association, vol. 11(3), pages 365-386, June.
    25. Fabrice Hervé, 2003. "La persistance de la performance des fonds de pension individuels britanniques : une étude empirique sur des fonds investis en actions et des fonds obligataires," Post-Print hal-00488374, HAL.
    26. Fletcher, Jonathan & Forbes, David, 2002. "An exploration of the persistence of UK unit trust performance," Journal of Empirical Finance, Elsevier, vol. 9(5), pages 475-493, December.
    27. Fabrice Hervé, 2006. "Les fonds de pension protègent-ils les investisseurs des évolutions du marché?," Working Papers CREGO 1060101, Université de Bourgogne - CREGO EA7317 Centre de recherches en gestion des organisations.
    28. Ter Horst, J.R. & Nijman, T.E. & Verbeek, M.J.C.M., 2001. "Eliminating look-ahead bias in evaluating persistence in mutual fund performance," Other publications TiSEM 144f0bd4-7142-4af6-aeda-0, Tilburg University, School of Economics and Management.
    29. Sonal Babbar & Sanjay Sehgal, 2018. "Mutual Fund Characteristics and Investment Performance in India," Management and Labour Studies, XLRI Jamshedpur, School of Business Management & Human Resources, vol. 43(1-2), pages 1-30, February.
    30. Bechmann, Ken L. & Rangvid, Jesper, 2007. "Rating mutual funds: Construction and information content of an investor-cost based rating of Danish mutual funds," Journal of Empirical Finance, Elsevier, vol. 14(5), pages 662-693, December.
    31. Bernhard Breloer & Hannah Lea Hühn & Hendrik Scholz, 2016. "Jensen alpha and market climate," Journal of Asset Management, Palgrave Macmillan, vol. 17(3), pages 195-214, May.
    32. Yoshikatsu Shinozawa, 2007. "The Effect of Organisational Form on Investment Products: an empirical analysis of the UK unit trust industry," Corporate Governance: An International Review, Wiley Blackwell, vol. 15(6), pages 1244-1259, November.
    33. Alan Gregory & Julie Whittaker, 2007. "Performance and Performance Persistence of ‘Ethical’ Unit Trusts in the UK," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 34(7‐8), pages 1327-1344, September.
    34. Daniella Acker & Nigel W. Duck, 2006. "A Tournament Model of Fund Management," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 33(9‐10), pages 1460-1483, November.
    35. Alexandros Kostakis, 2009. "Performance measures and incentives: loading negative coskewness to outperform the CAPM," The European Journal of Finance, Taylor & Francis Journals, vol. 15(5-6), pages 463-486.
    36. Abramov, Alexander (Абрамов, Александр) & Akshentseva, Kseniya (Акшенцева, Ксения) & Radygin, Alexander (Радыгин, Александр), 2015. "The effectiveness of mutual funds: theoretical approaches and the experience of Russia [Эффективность Паевых Инвестиционных Фондов: Теоретические Подходы И Опыт России]," Ekonomicheskaya Politika / Economic Policy, Russian Presidential Academy of National Economy and Public Administration, vol. 4, pages 60-86.
    37. Gao, Jun & O’Sullivan, Niall & Sherman, Meadhbh, 2017. "Performance persistence in Chinese securities investment funds," Research in International Business and Finance, Elsevier, vol. 42(C), pages 1467-1477.
    38. Annaert, Jan & van den Broeck, Julien & Vander Vennet, Rudi, 2003. "Determinants of mutual fund underperformance: A Bayesian stochastic frontier approach," European Journal of Operational Research, Elsevier, vol. 151(3), pages 617-632, December.
    39. P.K. Mishra, 2012. "The Nexus between Resource Mobilization by Mutual Funds and Economic Growth in India," Global Business Review, International Management Institute, vol. 13(1), pages 123-136, February.
    40. Keith Cuthbertson & Dirk Nitzsche & Niall O’Sullivan, 2023. "UK mutual funds: performance persistence and portfolio size," Journal of Asset Management, Palgrave Macmillan, vol. 24(4), pages 284-298, July.
    41. Solórzano-Taborga, Pablo & Alonso-Conde, Ana Belén & Rojo-Suárez, Javier, 2018. "Efficiency and Persistence of Spanish Absolute Return Funds || Eficiencia y persistencia de los fondos de retorno absolutos españoles," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 25(1), pages 186-214, Junio.
    42. H. Pierre Hsieh & Imen Tebourbi & Wen‐Min Lu & Nai‐Yu Liu, 2020. "Mutual fund performance: The decision quality and capital magnet efficiencies," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 41(5), pages 861-872, July.
    43. Michael Busack & Wolfgang Drobetz & Jan Tille, 2017. "Can investors benefit from the performance of alternative UCITS funds?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 31(1), pages 69-111, February.
    44. Martin Rohleder & Hendrik Scholz & Marco Wilkens, 2010. "Survivorship Bias and Mutual Fund Performance: Relevance, Significance, and Methodical Differences," Review of Finance, European Finance Association, vol. 15(2), pages 441-474.
    45. Fabrice Hervé, 2006. "Famille de fonds de pension, performance et persistance de la performance," Working Papers CREGO 1060903, Université de Bourgogne - CREGO EA7317 Centre de recherches en gestion des organisations.
    46. Lawrence Kryzanowski & Abdul Rahman, 2008. "Portfolio performance ambiguity and benchmark inefficiency revisited," Journal of Asset Management, Palgrave Macmillan, vol. 9(5), pages 321-332, December.
    47. Mateus, Irina B. & Mateus, Cesario & Todorovic, Natasa, 2016. "UK equity mutual fund alphas make a comeback," International Review of Financial Analysis, Elsevier, vol. 44(C), pages 98-110.
    48. Michela Altieri & Giovanna Nicodano, 2020. "Survival and Pricing Puzzles," Carlo Alberto Notebooks 604, Collegio Carlo Alberto.
    49. Gao, Jun & O’Sullivan, Niall & Sherman, Meadhbh, 2020. "An evaluation of Chinese securities investment fund performance," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 249-259.
    50. Alda, Mercedes & Andreu, Laura & Sarto, José Luis, 2017. "Learning about individual managers’ performance in UK pension funds: The importance of specialization," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 654-667.
    51. Radnai, Márton & Szatmári, Alexandra, 2006. "A magyar pénzpiaci alapok összehasonlító elemzése [A comparative analysis of Hungarian money-market funds]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(5), pages 389-407.
    52. Veeravel. V & A. Balakrishnan, 2023. "Persistence of Large-Cap Equity Funds performance, market timing ability, and selectivity: evidence from India," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(1), pages 37-48, March.
    53. Del Giudice, Alfonso & Paltrinieri, Andrea, 2017. "The impact of the Arab Spring and the Ebola outbreak on African equity mutual fund investor decisions," Research in International Business and Finance, Elsevier, vol. 41(C), pages 600-612.
    54. Jonathan Fletcher & David Forbes, 2002. "U.K. Unit Trust Performance: Does it Matter Which Benchmark or Measure is Used?," Journal of Financial Services Research, Springer;Western Finance Association, vol. 21(3), pages 195-218, June.
    55. Anastasia Petraki & Anna Zalewska, 2017. "Jumping over a low hurdle: personal pension fund performance," Review of Quantitative Finance and Accounting, Springer, vol. 48(1), pages 153-190, January.
    56. Yaqoob Ahmad & Guangguo Sun & Waqas Bin Khidmat, 2017. "Fund-Specific Determinants of Performance: An Empirical Study of Islamic and Conventional Mutual Funds of Pakistan," International Journal of Economics and Financial Issues, Econjournals, vol. 7(5), pages 359-370.
    57. Amaral, Fatima & Reis, Pedro & Pinto, Pedro, 2019. "Evaluating investment fund performance in Portugal," Business and Economic Horizons (BEH), Prague Development Center (PRADEC), vol. 15(2).
    58. Christensen, Michael, 2005. "Danish Mutual Fund Performance - Selectivity, Market Timing and Persistence," Finance Research Group Working Papers F-2005-01, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    59. Bredin, Don & Cuthbertson, Keith & Nitzsche, Dirk & Thomas, Dylan C., 2014. "Performance and performance persistence of UK closed-end equity funds," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 189-199.
    60. Jonathan Fletcher & Patricia Ntozi-Obwale, 2009. "Exploring the Conditional Performance of U.K. Unit Trusts," Journal of Financial Services Research, Springer;Western Finance Association, vol. 36(1), pages 21-44, August.
    61. Chris GROSE & Theodoros KARGIDIS, 2012. "Persistence In Performance For Mutual Funds In Periods Of Crisis," Scientific Bulletin - Economic Sciences, University of Pitesti, vol. 11(1), pages 85-98.
    62. Anastasia Petraki & Anna Zalewska, 2013. "Jumping over a low hurdle: Personal pension fund performance," The Centre for Market and Public Organisation 13/305, The Centre for Market and Public Organisation, University of Bristol, UK.
    63. Sudipta Majumdar & Rohan Kumar Mishra & Abhijeet Chandra, 2024. "Fund Characteristics, Managerial Skills and Performance Persistence: Evidence from India," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 31(2), pages 335-354, June.
    64. Cuthbertson, Keith & Nitzsche, Dirk, 2013. "Performance, stock selection and market timing of the German equity mutual fund industry," Journal of Empirical Finance, Elsevier, vol. 21(C), pages 86-101.
    65. Mamatzakis, E & Babalos, Vassilios & filipas, n, 2013. "Fund Performance Evaluation in Greece Revisited: Evidence from the Impact of Operational Attributes," MPRA Paper 51640, University Library of Munich, Germany.
    66. Simon Stevenson, 2004. "A performance evaluation of portfolio managers: tests of micro and macro forecasting," The European Journal of Finance, Taylor & Francis Journals, vol. 10(5), pages 391-411.
    67. Fadillah Mansor & M. Ishaq Bhatti & Shafiqur Rahman & Hung Quang Do, 2020. "The Investment Performance of Ethical Equity Funds in Malaysia," JRFM, MDPI, vol. 13(9), pages 1-14, September.
    68. Jonathan Fletcher & Andrew Marshall, 2005. "An Empirical Examination of U.K. International Unit Trust Performance," Journal of Financial Services Research, Springer;Western Finance Association, vol. 27(2), pages 183-206, April.
    69. Paulo Armada Leite & Maria Ceu Cortez, 2009. "Conditioning information in mutual fund performance evaluation: Portuguese evidence," The European Journal of Finance, Taylor & Francis Journals, vol. 15(5-6), pages 585-605.
    70. Bangassa, Kenbata & Su, Chen & Joseph, Nathan L., 2012. "Selectivity and timing performance of UK investment trusts," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(5), pages 1149-1175.

  92. Blake, David, 1998. "Pension schemes as options on pension fund assets: implications for pension fund management," Insurance: Mathematics and Economics, Elsevier, vol. 23(3), pages 263-286, December.

    Cited by:

    1. Tim Besley & Andrea Prat, 2003. "Pension fund governance and the choice between defined benefit and defined contribution plans," IFS Working Papers W03/09, Institute for Fiscal Studies.
    2. Dirk Broeders & An Chen, 2013. "Pension Benefit Security: A Comparison of Solvency Requirements, a Pension Guarantee Fund, and Sponsor Support," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(2), pages 239-272, June.
    3. Blake, David, 2003. "The United Kingdom pension system: key issues," LSE Research Online Documents on Economics 24851, London School of Economics and Political Science, LSE Library.
    4. de Jong, Frank, 2008. "Pension fund investments and the valuation of liabilities under conditional indexation," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 1-13, February.
    5. Francesco Menoncin, 2005. "Risk management and asset allocation with jump-diffusion exogenous risks: Some algebraic approximated solutions," The European Journal of Finance, Taylor & Francis Journals, vol. 11(3), pages 223-246.
    6. Romaniuk, Katarzyna, 2019. "Premiums of the Pension Benefit Guarantee Corporation and risk-taking by pension plans," The Quarterly Review of Economics and Finance, Elsevier, vol. 74(C), pages 301-307.
    7. Yu Mei & Xie Haibin & Huang Xiaowei & Xu Jinhai & Ralescu Dan, 2014. "A Study on the Chinese Enterprise Annuity Replacement Rate Problem," Journal of Systems Science and Information, De Gruyter, vol. 2(1), pages 1-15, February.
    8. Blake, David, 2003. "UK pension fund management after Myners: the hunt for correlation begins," LSE Research Online Documents on Economics 24833, London School of Economics and Political Science, LSE Library.
    9. Lekniute, Z. & Beetsma, R.M.W.J. & Ponds, E.H.M., 2014. "A Value-Based Approach to the Redesign of US State Pension Plans," Other publications TiSEM 3156027d-33c6-4045-963a-d, Tilburg University, School of Economics and Management.
    10. Boonen, Tim J. & De Waegenaere, Anja, 2017. "Intergenerational risk sharing in closing pension funds," Insurance: Mathematics and Economics, Elsevier, vol. 74(C), pages 20-30.
    11. David Blake & Marco Morales & Wenjun Zhu & Ken Seng Tan & Chou-Wen Wang, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 477-493, April.
    12. Spyridon D Vrontos & Ioannis D Vrontos & Loukia Meligkotsidou, 2013. "Asset-liability management for pension funds in a time-varying volatility environment," Journal of Asset Management, Palgrave Macmillan, vol. 14(5), pages 306-333, October.
    13. Blake, David, 2003. "Financial system requirements for successful pension reform," LSE Research Online Documents on Economics 24862, London School of Economics and Political Science, LSE Library.
    14. Paul Klumpes & Mark Whittington & Yong Li, 2009. "Determinants of the Pension Curtailment Decisions of UK Firms," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 36(7‐8), pages 899-924, September.
    15. Hoevenaars, Roy P.M.M. & Ponds, Eduard H.M., 2008. "Valuation of intergenerational transfers in funded collective pension schemes," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 578-593, April.
    16. Katarzyna Romaniuk, 2007. "The optimal asset allocation of the main types of pension funds: a unified framework," The Geneva Papers on Risk and Insurance Theory, Springer;International Association for the Study of Insurance Economics (The Geneva Association), vol. 32(2), pages 113-128, December.
    17. Luuk Metselaar & Peter Zwaneveld & Casper Ewijk, 2022. "Reforming Occupational Pensions in the Netherlands: Contract and Intergenerational Aspects," De Economist, Springer, vol. 170(1), pages 7-36, February.
    18. Chen, Zhiqiang & Pelsser, Antoon & Ponds, Eduard, 2014. "Evaluating the UK and Dutch defined-benefit pension policies using the holistic balance sheet framework," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 89-102.
    19. Devolder, Pierre & Bosch Princep, Manuela & Dominguez Fabian, Inmaculada, 2003. "Stochastic optimal control of annuity contracts," Insurance: Mathematics and Economics, Elsevier, vol. 33(2), pages 227-238, October.
    20. Noël Bonneuil, 2013. "Early Warning to Insolvency in the Pension Fund: The French Case," Risks, MDPI, vol. 1(1), pages 1-13, January.
    21. Hoevenaars, J. & Ponds, E.H.M., 2008. "Valuation of intergenerational transfers in collective funded pension schemes," Other publications TiSEM 2c1afa01-df29-490e-bc52-8, Tilburg University, School of Economics and Management.
    22. Menoncin, Francesco, 2002. "Optimal portfolio and background risk: an exact and an approximated solution," Insurance: Mathematics and Economics, Elsevier, vol. 31(2), pages 249-265, October.
    23. Chen, Z. & Pelsser, A. & Ponds, E.H.M., 2013. "Evaluating the UK and Dutch Defined Benefit Policies Using the Holistic Balance Sheet Framework," Other publications TiSEM 2429d59c-207f-46d4-9fa2-e, Tilburg University, School of Economics and Management.
    24. Webb, David C., 2004. "Sponsoring company finance and investment and defined benefit pension scheme deficits," LSE Research Online Documents on Economics 24699, London School of Economics and Political Science, LSE Library.
    25. Dirk Broeders, 2010. "Valuation of Contingent Pension Liabilities and Guarantees Under Sponsor Default Risk," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 77(4), pages 911-934, December.
    26. Bégin, Jean-François, 2020. "Levelling the playing field: A VIX-linked structure for funded pension schemes," Insurance: Mathematics and Economics, Elsevier, vol. 94(C), pages 58-78.
    27. Lanying Sun & Changhao Su & Xinghui Xian, 2020. "Assessing the Sustainability of China’s Basic Pension Funding for Urban and Rural Residents," Sustainability, MDPI, vol. 12(7), pages 1-17, April.
    28. John Cotter & David Blake & Kevin Dowd, 2012. "What Should Be Done About The Underfunding of Defined Benefit Pension Schemes?," Working Papers 201202, Geary Institute, University College Dublin.
    29. Lijian Wang & Daniel Béland, 2014. "Assessing the Financial Sustainability of China’s Rural Pension System," Sustainability, MDPI, vol. 6(6), pages 1-20, May.
    30. de Haan, J. & Janssen, K. & Ponds, E.H.M., 2012. "The Holistic Balance Sheet as the New Framework for European Pension Supervision - Evaluation from a Dutch Perspective," Other publications TiSEM fc38c542-0617-487d-b106-a, Tilburg University, School of Economics and Management.
    31. Francesco MENONCIN, 2001. "How to Manage Inflation Risk in an Asset Allocation Problem : an Algebric Aproximated Solution," LIDAM Discussion Papers IRES 2001035, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    32. Francesco MENONCIN, 2002. "How the Financial Managers’ Remuneration Can Affect the Optimal Portfolio Composition ?," LIDAM Discussion Papers IRES 2002022, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    33. Andrea Prat, 2003. "(UBS Pensions series 12) Pension Fund Governance and the Choice Between Defined Benefit and Defined Contribution Plans," FMG Discussion Papers dp454, Financial Markets Group.
    34. Katarzyna Romaniuk, 2020. "Does surplus/deficit sharing increase risk-taking in a corporate defined benefit pension plan?," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 43(1), pages 229-249, June.

  93. David Blake & Angelika Nied, 1997. "The demand for alcohol in the United Kingdom," Applied Economics, Taylor & Francis Journals, vol. 29(12), pages 1655-1672.

    Cited by:

    1. Henry Saffer, 2000. "Alcohol Consumption and Alcohol Advertising Bans," NBER Working Papers 7758, National Bureau of Economic Research, Inc.
    2. Donald G. Freeman, 2000. "Alternative Panel Estimates of Alcohol Demand, Taxation, and the Business Cycle," Southern Economic Journal, John Wiley & Sons, vol. 67(2), pages 325-344, October.
    3. Donald Freeman, 2001. "Beer and the business cycle," Applied Economics Letters, Taylor & Francis Journals, vol. 8(1), pages 51-54.
    4. Don Freeman, 2009. "Beer in Good Times and Bad: A U.S. State-Level Analysis of Economic Conditions and Alcohol Consumption," Working Papers 0906, Sam Houston State University, Department of Economics and International Business.
    5. O'Donnell, Christopher J., 2000. "Estimating The Characteristics Of Homogeneous Functionsusing Flexible Functional Forms," 2000 Conference (44th), January 23-25, 2000, Sydney, Australia 123713, Australian Agricultural and Resource Economics Society.
    6. West, Sarah E. & Parry, Ian W.H., 2009. "Alcohol/Leisure Complementarity: Empirical Estimates and Implications for Tax Policy," RFF Working Paper Series dp-09-09, Resources for the Future.
    7. Emmanouil Mentzakis & Bayard Roberts & Marc Suhrcke & Martin McKee, 2016. "Psychological Distress and Problem Drinking," Health Economics, John Wiley & Sons, Ltd., vol. 25(3), pages 337-356, March.
    8. Hella, Heikki & Mankinen, Reijo, 1999. "Alcoholic Beverage Taxation: Alternatives and Impacts," Discussion Papers 696, The Research Institute of the Finnish Economy.
    9. Angulo, Ana Maria & Gil, Jose Maria & Gracia, Azucena, 2001. "The demand for alcoholic beverages in Spain," Agricultural Economics, Blackwell, vol. 26(1), pages 71-83, October.
    10. Giraud-Héraud, Eric & Surry, Yves, 2001. "Les réponses de la recherche aux nouveaux enjeux de l’économie viti-vinicole," Cahiers d'Economie et de Sociologie Rurales (CESR), Institut National de la Recherche Agronomique (INRA), vol. 60, pages 1-5.
    11. Rinaldi, Gustavo, 2007. "The use of economic tools to develop a consensus on alcohol policies within and between jurisdictions," MPRA Paper 21941, University Library of Munich, Germany, revised 18 Apr 2007.
    12. Giraud-Héraud Eric & Yves Surry, 2001. "Les réponses de la recherche aux nouveaux enjeux de l’économie viti-vinicole," Cahiers d'Economie et Sociologie Rurales, INRA Department of Economics, vol. 60, pages 5-24.
    13. Henry Saffer & Dhaval Dave, 2003. "Alcohol Advertising and Alcohol Consumption by Adolescents," NBER Working Papers 9676, National Bureau of Economic Research, Inc.
    14. Toro-González, Daniel & McCluskey, Jill J. & Mittelhammer, Ron C., 2014. "Beer Snobs do Exist: Estimation of Beer Demand by Type," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota 169787, Agricultural and Applied Economics Association.
    15. Chang, Hui-Shung (Christie) & Bettington, Nicholas, 2001. "Demand for Wine in Australia: Systems Versus Single Equation Approach," Working Papers 12923, University of New England, School of Economics.
    16. Kent Matthews & Jonathan Shepherd & Vaseekaran Sivarajasingham, 2006. "Violence-related injury and the price of beer in England and Wales," Applied Economics, Taylor & Francis Journals, vol. 38(6), pages 661-670.
    17. Ana Gil & José Molina, 2009. "Alcohol demand among young people in Spain: an addictive QUAIDS," Empirical Economics, Springer, vol. 36(3), pages 515-530, June.
    18. Ryan Donnar & Keith Jakee, 2004. "Australian beer wars and pub demand: how vertical restraints improved the drinking experience," Applied Economics, Taylor & Francis Journals, vol. 36(14), pages 1613-1622.
    19. Chang, Hui-Shung & Griffith, Garry & Bettington, Nicholas, 2002. "The Demand for Wine in Australia Using a Systems Approach: Industry Implications," Australasian Agribusiness Review, University of Melbourne, Department of Agriculture and Food Systems, vol. 10, pages 1-12, September.
    20. Eric Giraud-Héraud & Yves Surry, 2001. "Les réponses de la recherche aux nouveaux enjeux de l’économie viti-vinicole," Post-Print hal-01200932, HAL.
    21. Michele Santoni, 2017. "Protective Excise Taxation," Journal of Industry, Competition and Trade, Springer, vol. 17(4), pages 421-445, December.
    22. James Fogarty, 2010. "The Demand For Beer, Wine And Spirits: A Survey Of The Literature," Journal of Economic Surveys, Wiley Blackwell, vol. 24(3), pages 428-478, July.
    23. John Eakins & Liam Gallagher, 2003. "Dynamic almost ideal demand systems: an empirical analysis of alcohol expenditure in Ireland," Applied Economics, Taylor & Francis Journals, vol. 35(9), pages 1025-1036.

  94. Blake, David, 1996. "Financial Intermediation and Financial Innovation in a Characteristics Framework," Scottish Journal of Political Economy, Scottish Economic Society, vol. 43(1), pages 16-31, February.

    Cited by:

    1. Kristiaan Kerstens & Paolo Mazza & Tiantian Ren & Ignace van de Woestyne, 2022. "Multi-Time and Multi-Moment Nonparametric Frontier-Based Fund Rating: Proposal and Buy-and-Hold Backtesting Strategy," Post-Print hal-03833261, HAL.
    2. Bilbao-Terol, Amelia & Álvarez-Otero, Susana & Bilbao-Terol, Celia & Cañal-Fernández, Verónica, 2017. "Hedonic evaluation of the SRI label of mutual funds using matching methodology," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 213-227.
    3. Ozili, Peterson K, 2023. "Determinants of Fintech and Bigtech lending: the role of financial inclusion and financial development," MPRA Paper 117465, University Library of Munich, Germany.

  95. Blake, David, 1996. "Efficiency, Risk Aversion and Portfolio Insurance: An Analysis of Financial Asset Portfolios Held by Investors in the United Kingdom," Economic Journal, Royal Economic Society, vol. 106(438), pages 1175-1192, September.

    Cited by:

    1. Christian Baker & Jeremy Bejarano & Richard W. Evans & Kenneth L. Judd & Kerk L. Phillips, 2014. "A Big Data Approach to Optimal Sales Taxation," NBER Working Papers 20130, National Bureau of Economic Research, Inc.
    2. Pasquale Lucio Scandizzo, 2014. "The social rate of discount, climate change and real options," CEIS Research Paper 309, Tor Vergata University, CEIS, revised 18 Feb 2014.
    3. Adam S. Booij & Bernard M.S. Van Praag & Gijs Van De Kuilen & Bernard M.S. van Praag, 2009. "A Parametric Analysis of Prospect Theory's Functionals for the General Population," CESifo Working Paper Series 2609, CESifo.
    4. Ordine, Patrizia & Rose, Giuseppe, 2017. "On the State and Wealth dependence of risk aversion: An analysis using severance pay allocation," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 156-171.
    5. Blake, David & Cairns, Andrew J. G. & Dowd, Kevin, 2003. "Pensionmetrics 2: stochastic pension plan design during the distribution phase," LSE Research Online Documents on Economics 24830, London School of Economics and Political Science, LSE Library.
    6. Daniel Paravisini & Veronica Rappoport & Enrichetta Ravina, 2017. "Risk Aversion and Wealth: Evidence from Person-to-Person Lending Portfolios," Management Science, INFORMS, vol. 63(2), pages 279-297, February.
    7. Blake, David, 1998. "Pension schemes as options on pension fund assets: implications for pension fund management," Insurance: Mathematics and Economics, Elsevier, vol. 23(3), pages 263-286, December.
    8. Richard W. Evans, 2012. "Is Openness Inflationary? Policy Commitment and Imperfect Competition," BYU Macroeconomics and Computational Laboratory Working Paper Series 2012-06, Brigham Young University, Department of Economics, BYU Macroeconomics and Computational Laboratory.
    9. Blake, David & Cairns, Andrew J. G. & Dowd, Kevin, 2001. "Pensionmetrics: stochastic pension plan design and value-at-risk during the accumulation phase," Insurance: Mathematics and Economics, Elsevier, vol. 29(2), pages 187-215, October.
    10. Jakusch, Sven Thorsten, 2017. "On the applicability of maximum likelihood methods: From experimental to financial data," SAFE Working Paper Series 148, Leibniz Institute for Financial Research SAFE, revised 2017.
    11. J. Ignacio Conde Ruiz & Paola Profeta, 2004. "What Social Security: Beveridgean or Bismarckian?," 2004 Meeting Papers 317, Society for Economic Dynamics.
    12. J. Ignacio Conde-Ruiz & Paola Profeta, 2007. "The Redistributive Design of Social Security Systems," Working Papers 2007-07, FEDEA.
    13. Stamatios Tsigos & Kevin Daly, 2016. "“Fair go” for all? Wealth and Risk Aversion of Australian Households," Australian Economic Papers, Wiley Blackwell, vol. 55(3), pages 274-300, September.
    14. Loriana Pelizzon & Guglielmo Weber, 2006. "Are Household Portfolios Efficient? An Analysis Conditional on Housing," Working Papers 2006_55, Department of Economics, University of Venice "Ca' Foscari".
    15. Joseph G. Eisenhauer, 2003. "Approximation bias in estimating risk aversion," Economics Bulletin, AccessEcon, vol. 4(38), pages 1-10.
    16. Michael Hoy & Julia Witt, 2005. "Welfare Effects of Banning Genetic Information in the Life Insurance Market: The Case of BRCA1/2 Genes," Working Papers 0505, University of Guelph, Department of Economics and Finance.
    17. J. Board & C. Sutcliffe & E. Patrinos, 2000. "The performance of covered calls," The European Journal of Finance, Taylor & Francis Journals, vol. 6(1), pages 1-17.
    18. Joseph G. Eisenhauer, 2006. "The Shadow Price of Morality," Eastern Economic Journal, Eastern Economic Association, vol. 32(3), pages 437-456, Summer.
    19. Adeyemi Esuola & Michael Hoy & Zahirul Islam & Calum G. Turvey, 2007. "Evaluating the effects of asymmetric information in a model of crop insurance," Agricultural Finance Review, Emerald Group Publishing Limited, vol. 67(2), pages 341-356, November.
    20. Kelly, Clare & Gauthier Lanot, 2002. "Consumption Patterns Over Pay Periods," The Warwick Economics Research Paper Series (TWERPS) 656, University of Warwick, Department of Economics.
    21. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    22. Richard W. Evans & Laurence J. Kotlikoff & Kerk L. Phillips, 2012. "Game Over: Simulating Unsustainable Fiscal Policy," NBER Working Papers 17917, National Bureau of Economic Research, Inc.
    23. Dimitrios Koutmos, 2015. "Is there a Positive Risk†Return Tradeoff? A Forward†Looking Approach to Measuring the Equity Premium," European Financial Management, European Financial Management Association, vol. 21(5), pages 974-1013, November.
    24. Blake, David & Cairns, Andrew & Dowd, Kevin, 2008. "Turning pension plans into pension planes: What investment strategy designers of defined contribution pension plans can learn from commercial aircraft designers," MPRA Paper 33749, University Library of Munich, Germany.
    25. Flavin, Marjorie & Yamashita, Takashi, 1998. "Owner-Occupied Housing and the Composition of the Household Portfolio over the Life Cycle," University of California at San Diego, Economics Working Paper Series qt89x293v9, Department of Economics, UC San Diego.
    26. Markandya, Anil & De Cian, Enrica & Drouet, Laurent & Polanco-Martìnez, Josué M. & Bosello, Francesco, 2016. "Building Uncertainty into the Adaptation Cost Estimation in Integrated Assessment Models," EIA: Climate Change: Economic Impacts and Adaptation 232719, Fondazione Eni Enrico Mattei (FEEM).
    27. Blake, David & Boardman, Tom, 2010. "Spend more today: Using behavioural economics to improve retirement expenditure decisions," MPRA Paper 34234, University Library of Munich, Germany.
    28. Marjorie Flavin & Takashi Yamashita, 1998. "Owner-Occupied Housing and the Composition of the Household Portfolio Over the Life-Cycle," NBER Working Papers 6389, National Bureau of Economic Research, Inc.
    29. Louis Kaplow, 2003. "The Value of a Statistical Life and the Coefficient of Relative Risk Aversion," NBER Working Papers 9852, National Bureau of Economic Research, Inc.
    30. Gelles, Gregory M. & Mitchell, Douglas W., 2002. "Increasingly mean-seeking utility functions and n-asset portfolios," The Quarterly Review of Economics and Finance, Elsevier, vol. 42(5), pages 911-919.
    31. Bernard M.S. van Praag & Pedro Cardoso, 2003. "The Mix Between Pay-as-you-go and Funded Pensions and What Demography Has to Do with it," CESifo Working Paper Series 865, CESifo.
    32. Richard Watt, 2002. "Defending Expected Utility Theory: Comment," Journal of Economic Perspectives, American Economic Association, vol. 16(2), pages 227-229, Spring.
    33. Thomas J. Flavin, 2006. "How Risk Averse are Fund Managers? Evidence from Irish Mutual Funds," Economics Department Working Paper Series n1630206, Department of Economics, National University of Ireland - Maynooth.
    34. Joseph Eisenhauer & Luigi Ventura, 2003. "Survey measures of risk aversion and prudence," Applied Economics, Taylor & Francis Journals, vol. 35(13), pages 1477-1484.
    35. Pierre-André Chiappori & Monica Paiella, 2008. "Relative Risk Aversion Is Constant: Evidence from Panel Data," Discussion Papers 5_2008, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy.
    36. Coco, Giuseppe & Pignataro, Giuseppe, 2014. "The poor are twice cursed: Wealth inequality and inefficient credit market," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 149-159.
    37. J. François Outreville, 2015. "The Relationship Between Relative Risk Aversion And The Level Of Education: A Survey And Implications For The Demand For Life Insurance," Journal of Economic Surveys, Wiley Blackwell, vol. 29(1), pages 97-111, February.
    38. Roland Gillet & Isabelle Nagot & Ariane Szafarz, 2006. "Stratégies d'investissement en actions et fonds à capital garanti," Working Papers CEB 06-008.RS, ULB -- Universite Libre de Bruxelles.
    39. Just, David R. & Zilberman, David, 2005. "Behavior, Production and Competition," Working Papers 127075, Cornell University, Department of Applied Economics and Management.
    40. Blake, David & Wright, Douglas & Zhang, Yumeng, 2014. "Age-dependent investing: Optimal funding and investment strategies in defined contribution pension plans when members are rational life cycle financial planners," Journal of Economic Dynamics and Control, Elsevier, vol. 38(C), pages 105-124.
    41. Chaigneau, Pierre, 2013. "Explaining the structure of CEO incentive pay with decreasing relative risk aversion," Journal of Economics and Business, Elsevier, vol. 67(C), pages 4-23.
    42. Giuseppe Coco & Giuseppe Pignataro, 2013. "Unfair credit allocations," Small Business Economics, Springer, vol. 41(1), pages 241-251, June.
    43. Gee, C., 2007. "Risky Choice and Type-Uncertainty in "Deal or No Deal?"," Cambridge Working Papers in Economics 0758, Faculty of Economics, University of Cambridge.
    44. Andrew Ainsworth & Adam Corbett & Steve Satchell, 2018. "Psychic dividends of socially responsible investment portfolios," Journal of Asset Management, Palgrave Macmillan, vol. 19(3), pages 179-190, May.
    45. Jacques H. Dreze, 2000. "Economic and Social Security in the Twenty‐first Century, with Attention to Europe," Scandinavian Journal of Economics, Wiley Blackwell, vol. 102(3), pages 327-348, September.
    46. Eisenhauer, Joseph G., 2008. "Ethical preferences, risk aversion, and taxpayer behavior," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 37(1), pages 45-63, February.
    47. Goldsmith, Peter D. & Kane, Samuel, 2002. "The Farm Business Environment and New Generation Cooperatives as an Innovation Strategy," 2002 Annual Meeting, November 13 31826, NCERA-194 Research on Cooperatives.
    48. Donald Meyer & Jack Meyer, 2005. "Relative Risk Aversion: What Do We Know?," Journal of Risk and Uncertainty, Springer, vol. 31(3), pages 243-262, December.
    49. Patrizia Ordine & Giuseppe Rose, 2014. "Secure Job And Risky Choices? An Analysis Of State And Wealth Dependence Of Risk Aversion Using Severance Pay Allocation," Working Papers 201407, Università della Calabria, Dipartimento di Economia, Statistica e Finanza "Giovanni Anania" - DESF.
    50. David Blake & Tom Boardman, 2014. "Spend More Today Safely: Using Behavioral Economics to Improve Retirement Expenditure Decisions With SPEEDOMETER Plans," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 17(1), pages 83-112, March.
    51. Yang, Dan, 2023. "Income growth, income uncertainty, and urban–rural household savings rate in China," Regional Science and Urban Economics, Elsevier, vol. 99(C).
    52. Anil Markandya & Enrica Cian & Laurent Drouet & Josué M. Polanco-Martínez & Francesco Bosello, 2019. "Building Risk into the Mitigation/Adaptation Decisions simulated by Integrated Assessment Models," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 74(4), pages 1687-1721, December.
    53. J. Francois Outreville, 2014. "Risk Aversion, Risk Behavior, and Demand for Insurance: A Survey," Journal of Insurance Issues, Western Risk and Insurance Association, vol. 37(2), pages 158-186.
    54. Blaufus, Kay & Milde, Michael, 2018. "Learning to save tax-efficiently: Tax misperceptions and the effect of informational tax nudges on retirement savings," arqus Discussion Papers in Quantitative Tax Research 225, arqus - Arbeitskreis Quantitative Steuerlehre.
    55. Esteban Jaimovich, 2008. "Adverse Selection and Entrepreneurship in a Model of Development," Carlo Alberto Notebooks 78, Collegio Carlo Alberto.
    56. Paya, Ivan & Wang, Peng, 2016. "Wealth fluctuations and investment in risky assets: The UK micro evidence on households asset allocation," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 221-235.
    57. Booij, Adam S. & van de Kuilen, Gijs, 2009. "A parameter-free analysis of the utility of money for the general population under prospect theory," Journal of Economic Psychology, Elsevier, vol. 30(4), pages 651-666, August.
    58. G. Coco & G. Pignataro, 2012. "Wealth inequality, unequal opportunities and inefficient credit market," Working Papers wp851, Dipartimento Scienze Economiche, Universita' di Bologna.
    59. Ricardo M. Sousa, 2007. "Wealth Shocks and Risk Aversion," NIPE Working Papers 28/2007, NIPE - Universidade do Minho.
    60. Fuad Hasanov & Douglas Dacy, 2005. "Measuring and Analyzing Returns on Aggregate Residential Housing," Finance 0510005, University Library of Munich, Germany.
    61. Zuzana Janko, 2011. "A dynamic small open economy model with involuntary unemployment," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 44(4), pages 1350-1368, November.

  96. Kate Phylaktis & David Blake, 1993. "The fisher hypothesis: Evidence from three high inflation economies," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 129(3), pages 591-599, September.

    Cited by:

    1. Utku ALTUNÖZ, 2018. "Investigating the Presence of Fisher Effect for the China Economy," Sosyoekonomi Journal, Sosyoekonomi Society, issue 26(35).
    2. Chandra Utama & Miryam B.L. Wijaya & Charvin Lim, 2017. "The Role Of Interest Rates And Provincial Monetary Aggregate In Maintaining Inflation In Indonesia," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 19(3), pages 267-286, January.
    3. Sunal, Onur, 2022. "The efficiency of primary sovereign bond markets in Turkey: The so-called Fisher puzzle reconsidered," Economic Analysis and Policy, Elsevier, vol. 73(C), pages 255-261.
    4. Awomuse, Bernard O. & Alimi, Santos R., 2012. "The Relationship between Nominal Interest Rates and Inflation: New Evidence and Implication for Nigeria," MPRA Paper 49684, University Library of Munich, Germany.
    5. Nassar S. Al-Nassar & Razzaque H. Bhatti, 2019. "Are common stocks a hedge against inflation in emerging markets?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(3), pages 421-455, July.
    6. Jens Weidmann, 1997. "New Hope for the Fisher Effect? A Re-Examination Using Threshold Cointegration," Macroeconomics 9705005, University Library of Munich, Germany.
    7. Maghyereh, A. & Al-Zoubi, H., 2006. "Does Fisher Effect Apply in Developing Countries: Evidence From a Nonlinear Cotrending Test applied to Argentina, Brazil, Malysia, Mexico, Korea and Turkey," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 6(2).
    8. S, Surayya, 2018. "Alternative Specifications of Fisher Hypothesis: An Empirical Investigation," MPRA Paper 90320, University Library of Munich, Germany.
    9. NANDWA, Boaz, 2006. "On The Fisher Effect And Inflation Dynamics In Low-Income Countries: An Assessment Of Sub-Saharan Africa Economies," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 6(1).
    10. Muhammed TIRAŞOĞLU, 2018. "Fisher Hipotezinin MINT Ülkeleri İçin İncelenmesi: Eşik Değerli Adl Eşbütünleşme Testi Yaklaşımı," EKOIST Journal of Econometrics and Statistics, Istanbul University, Faculty of Economics, vol. 14(28), pages 31-43, December.
    11. H.a. Mitchell‐innes & M.j. Aziakpono & A.p. Faure, 2007. "Inflation Targeting And The Fisher Effect In South Africa: An Empirical Investigation," South African Journal of Economics, Economic Society of South Africa, vol. 75(4), pages 693-707, December.
    12. Rene Coppe Pimentel & Taufiq Choudhry, 2014. "Stock Returns Under High Inflation and Interest Rates: Evidence from the Brazilian Market," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 50(1), pages 71-92, January.
    13. Peter Kehinde, Mogaji, 2010. "Fisher Effect and the Relationship between Nominal Interest Rates and Inflation: The Case of Nigeria," MPRA Paper 98760, University Library of Munich, Germany.
    14. Muse, Bernard & Alimi, R. Santos, 2012. "Testing an Augmented Fisher Hypothesis for a Small Open Economy: The Case of Nigeria," MPRA Paper 44987, University Library of Munich, Germany.
    15. Somayeh Madadpour & Mohsen Asgari, 2019. "The puzzling relationship between stocks return and inflation: a review article," International Review of Economics, Springer;Happiness Economics and Interpersonal Relations (HEIRS), vol. 66(2), pages 115-145, June.
    16. Martin Ruzima & Micheal Kofi Boachie & Tatjana Põlajeva & Abdul-Aziz Iddrisu, 2023. "Does the Fisher effect hold in Rwanda?," Quality & Quantity: International Journal of Methodology, Springer, vol. 57(3), pages 2657-2672, June.
    17. Mustafa Kasim & Bentouir Naima, 2018. "The Relationship Between Inflation Rate and Nominal Interest Rate in Bolivarian Republic Of Venezuela: Revisiting Fisher’s Hypothesis," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, vol. 7(4), pages 214-224, November.

  97. Blake, David & Boyle, Sean, 1992. "The Demand for Cider in the United Kingdom," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(1), pages 73-86, February.

    Cited by:

    1. David Blake & Angelika Nied, 1997. "The demand for alcohol in the United Kingdom," Applied Economics, Taylor & Francis Journals, vol. 29(12), pages 1655-1672.

  98. Blake, David & Pradhan, Mahmood, 1991. "Debt-equity swaps as bond conversions: implications for pricing," Journal of Banking & Finance, Elsevier, vol. 15(1), pages 29-41, February.

    Cited by:

    1. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    2. Michael Bowe & James W. Dean, 1997. "Debt-equity swaps and the enforcement of sovereign loan contracts," Journal of International Development, John Wiley & Sons, Ltd., vol. 9(1), pages 59-83.

  99. Blake, David, 1990. "Portfolio Behaviour and Asset Pricing in a Characteristics Framework," Scottish Journal of Political Economy, Scottish Economic Society, vol. 37(4), pages 343-359, November.

    Cited by:

    1. Bilbao-Terol, Amelia & Álvarez-Otero, Susana & Bilbao-Terol, Celia & Cañal-Fernández, Verónica, 2017. "Hedonic evaluation of the SRI label of mutual funds using matching methodology," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 213-227.

  100. Blake, David & Beenstock, Michael, 1988. "The stochastic analysis of competitive unemployment insurance premiums," European Economic Review, Elsevier, vol. 32(1), pages 7-25, January.

    Cited by:

    1. Wooi Chen Khoo & Kim Leng Yeah & Shun Yi Hong, 2022. "Modeling unemployment duration, determinants and insurance premium pricing of Malaysia: insights from an upper middle-income developing country," SN Business & Economics, Springer, vol. 2(8), pages 1-25, August.
    2. Soltwedel, Rüdiger & Bothe, Adrian & Hoffmeyer, Martin & Laaser, Claus-Friedrich & Lammers, Konrad & Merz, Monika & Reuter, Dieter, 1990. "Regulierungen auf dem Arbeitsmarkt der Bundesrepublik," Open Access Publications from Kiel Institute for the World Economy 418, Kiel Institute for the World Economy (IfW Kiel).

  101. Blake, David & Beenstock, Michael & Brasse, Valerie, 1986. "The Performance of UK Exchange Rate Forecasters," Economic Journal, Royal Economic Society, vol. 96(384), pages 986-999, December.

    Cited by:

    1. Beckmann, Joscha & Czudaj, Robert, 2017. "Exchange rate expectations and economic policy uncertainty," European Journal of Political Economy, Elsevier, vol. 47(C), pages 148-162.
    2. Joscha Beckmann & Robert L. Czudaj, 2022. "Exchange rate expectation, abnormal returns, and the COVID-19 pandemic," Chemnitz Economic Papers 054, Department of Economics, Chemnitz University of Technology, revised Jan 2022.
    3. Dornbusch, Rudiger & Frankel, Jeffrey, 1988. "The Flexible Exchange Rate System: Experience and Alternatives," Department of Economics, Working Paper Series qt5ct1w459, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
    4. Schüssler, Rainer & Beckmann, Joscha & Koop, Gary & Korobilis, Dimitris, 2018. "Exchange rate predictability and dynamic Bayesian learning," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy 181523, Verein für Socialpolitik / German Economic Association.
    5. Beckmann, Joscha, 2021. "Measurement and effects of euro/dollar exchange rate uncertainty," Journal of Economic Behavior & Organization, Elsevier, vol. 183(C), pages 773-790.
    6. Ronald MacDonald & Lukas Menkhoff & Rafael R. Rebitzky, 2009. "Exchange Rate Forecasters' Performance: Evidence of Skill?," CESifo Working Paper Series 2615, CESifo.
    7. Elkin Castaño & Luis Fernando Melo, 1998. "Métodos de Combinación de Pronósticos: Una Aplicación a la Inflación Colombiana," Borradores de Economia 109, Banco de la Republica de Colombia.
    8. Beckmann, Joscha & Czudaj, Robert, 2017. "Exchange rate expectations since the financial crisis: Performance evaluation and the role of monetary policy and safe haven," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168291, Verein für Socialpolitik / German Economic Association.
    9. Beckmann, Joscha & Czudaj, Robert L., 2020. "Fundamental determinants of exchange rate expectations," VfS Annual Conference 2020 (Virtual Conference): Gender Economics 224617, Verein für Socialpolitik / German Economic Association.
    10. Ash, J. C. K. & Smyth, D. J. & Heravi, S. M., 1997. "The accuracy of OECD forecasts of the international economy: balance of payments," Journal of International Money and Finance, Elsevier, vol. 16(6), pages 969-987, December.
    11. Beckmann, Joscha & Reitz, Stefan, 2020. "Information rigidities and exchange rate expectations," Journal of International Money and Finance, Elsevier, vol. 105(C).
    12. MacDonald, Ronald & Menkhoff, Lukas & Rebitzky, Rafael R., 2009. "Exchange rate forecasters’ performance: evidence of skill?," SIRE Discussion Papers 2009-10, Scottish Institute for Research in Economics (SIRE).
    13. Markus Spiwoks & Oliver Hein, 2007. "Die Währungs-, Anleihen- und Aktienmarktprognosen des Zentrums für Europäische Wirtschaftsforschung," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 1(1), pages 43-52, June.
    14. Glennon, Dennis & Kiefer, Hua & Mayock, Tom, 2018. "Measurement error in residential property valuation: An application of forecast combination," Journal of Housing Economics, Elsevier, vol. 41(C), pages 1-29.
    15. Elkin Castaño Vélez & Luis Fernando Melo Velandia, 2000. "Metodos de combinacion de pronosticos: una aplicacion a la inflacion," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 52, pages 113-165, Enero Jun.
    16. Cheng, Xian & Wu, Peng & Liao, Stephen Shaoyi & Wang, Xuelian, 2023. "An integrated model for crude oil forecasting: Causality assessment and technical efficiency," Energy Economics, Elsevier, vol. 117(C).
    17. Beckmann, Joscha & Czudaj, Robert, 2017. "The impact of uncertainty on professional exchange rate forecasts," Journal of International Money and Finance, Elsevier, vol. 73(PB), pages 296-316.
    18. Agnès Bénassy-Quéré & Hélène Raymond, 1996. "Les erreurs de prévision de change ont-elles des caractéristiques hétérogènes ?," Économie et Prévision, Programme National Persée, vol. 125(4), pages 137-157.
    19. Ron Jongen & Willem F.C. Verschoor & Christian C.P. Wolff, 2008. "Foreign Exchange Rate Expectations: Survey And Synthesis," Journal of Economic Surveys, Wiley Blackwell, vol. 22(1), pages 140-165, February.
    20. Kwas, Marek & Beckmann, Joscha & Rubaszek, Michał, 2024. "Are consensus FX forecasts valuable for investors?," International Journal of Forecasting, Elsevier, vol. 40(1), pages 268-284.
    21. M. Manzur, 1990. "Key Issues in Exchange Rate Economics," Economics Discussion / Working Papers 90-07, The University of Western Australia, Department of Economics.
    22. Mary Thomson & Andrew Pollock & Karen Henriksen & Alex Macaulay, 2004. "The influence of the forecast horizon on judgemental probability forecasts of exchange rate movements," The European Journal of Finance, Taylor & Francis Journals, vol. 10(4), pages 290-307.

  102. Blake, David, 1984. "Complete systems methods of estimating models with rational and adaptive expectations : A case study," European Economic Review, Elsevier, vol. 24(2), pages 137-150, March.

    Cited by:

    1. Silva Lopes, Artur, 1994. "A "hipótese das expectativas racionais": teoria e realidade (uma visita guiada à literatura até 1992) [The "rational expectations hypothesis": theory and reality (a guided tour ," MPRA Paper 9699, University Library of Munich, Germany, revised 23 Jul 2008.

  103. Desai, Meghnad & Blake, David, 1982. "Monetarism and the US economy: A re-evaluation of Stein's model 1960-1973," Journal of Monetary Economics, Elsevier, vol. 10(1), pages 111-125, July.

    Cited by:

    1. Akhtar Hossain, 1990. "The Monetarist versus the Neo-Keynesian Views on the Acceleration of Inflation: Some Evidence from South Asian Countries (with Special Emphasis on Pakistan)," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 29(1), pages 19-32.

  104. Desai, Meghnad & Blake, David, 1981. "Modelling the Ultimate Absurdity: A Comment on "A Quantitative Study of the Strategic Arms Race in the Missile Age."," The Review of Economics and Statistics, MIT Press, vol. 63(4), pages 629-632, November.

    Cited by:

    1. Karamanis, Dimitrios & Kechrinioti, Alexandra, 2023. "The Greek-Turkish rivalry: A Bayesian VAR approach," MPRA Paper 116827, University Library of Munich, Germany.
    2. Dunne J. Paul & Nikolaidou Eftychia & Smith Ron P., 2005. "Is there an Arms Race between Greece and Turkey?," Peace Economics, Peace Science, and Public Policy, De Gruyter, vol. 11(2), pages 140-174, November.
    3. Ron Smith & J. Paul Dunne & Eftychia Nikolaidou, 2000. "The econometrics of arms races," Defence and Peace Economics, Taylor & Francis Journals, vol. 11(1), pages 31-43.
    4. Michael Don Ward & A. K. Mahajan, 1984. "Defense Expenditures, Security Threats, and Governmental Deficits," Journal of Conflict Resolution, Peace Science Society (International), vol. 28(3), pages 382-419, September.

Chapters

  1. David Blake, 2004. "Contracting Out of the State Pension System: The British Experience of Carrots and Sticks," Chapters, in: Martin Rein & Winfried Schmähl (ed.), Rethinking the Welfare State, chapter 1, Edward Elgar Publishing.

    Cited by:

    1. Kaifala, Gabriel B. & Paisey, Catriona & Paisey, Nicholas J., 2021. "The UK pensions landscape – A critique of the role of accountants and accounting technologies in the treatment of social and societal risks," CRITICAL PERSPECTIVES ON ACCOUNTING, Elsevier, vol. 75(C).

  2. David Blake, 2002. "The United Kingdom: Examining the Switch from Low Public Pensions to High-Cost Private Pensions," NBER Chapters, in: Social Security Pension Reform in Europe, pages 317-348, National Bureau of Economic Research, Inc.

    Cited by:

    1. Andreas Oehler & Christina Werner, 2008. "Saving for Retirement—A Case for Financial Education in Germany and UK? An Economic Perspective," Journal of Consumer Policy, Springer, vol. 31(3), pages 253-283, September.
    2. Marianne A. Ferber & Patricia Simpson, 2009. "Whither Systemic Reform? A Critical Review of the Literature on the Distributional and Income Adequacy Effects of Systemic Pension Reforms," management revue - Socio-Economic Studies, Nomos Verlagsgesellschaft mbH & Co. KG, vol. 20(3), pages 254-276.
    3. Robert Fenge & Martin Werding, 2003. "Ageing and the Tax Implied in Public Pension Schemes: Simulations for Selected OECD Countries," CESifo Working Paper Series 841, CESifo.
    4. Huixin Bi & Sarah Zubairy, 2020. "Public Pension Reforms and Fiscal Foresight: Narrative Evidence and Aggregate Implications," Research Working Paper RWP 20-06, Federal Reserve Bank of Kansas City.

Books

  1. Blake, David, 2003. "Pension Schemes and Pension Funds in the United Kingdom," OUP Catalogue, Oxford University Press, edition 2, number 9780199243532, Decembrie.

    Cited by:

    1. Richard L. Johnson, 2000. "The effect of old-age insurance on male retirement : evidence from historical cross-country data," Research Working Paper RWP 00-09, Federal Reserve Bank of Kansas City.
    2. Richard Disney & Carl Emmerson & Sarah Smith, 2003. "Pension Reform and Economic Performance in Britain in the 1980s and 1990s," NBER Working Papers 9556, National Bureau of Economic Research, Inc.
    3. Franz Rothenbacher, 2004. "The Welfare State of the Civil (or Public) Servants in Europe: A Comparison of the Pension Systems for Civil (or Public) Servants in France, Great Britain, and Germany," MZES Working Papers 74, MZES.
    4. Blake, David, 2003. "The United Kingdom pension system: key issues," LSE Research Online Documents on Economics 24851, London School of Economics and Political Science, LSE Library.
    5. Luciano Fanti, 2012. "PAYG pensions and fertility drop: some (pleasant) arithmetic," Discussion Papers 2012/147, Dipartimento di Economia e Management (DEM), University of Pisa, Pisa, Italy.
    6. Blake, David & Tonks, Ian & Timmermann, Allan & Wermers, Russ, 2010. "Decentralized Investment Management: Evidence from the Pension Fund Industry," CEPR Discussion Papers 7679, C.E.P.R. Discussion Papers.
    7. Josiah, J. & Gough, O. & Haslam, J. & Shah, N., 2014. "Corporate reporting implication in migrating from defined benefit to defined contribution pension schemes: A focus on the UK," Accounting forum, Elsevier, vol. 38(1), pages 18-37.
    8. Danzer, Alexander M. & Dolton, Peter & Bondibene, Chiara Rosazza, 2016. "Who wins? Evaluating the impact of UK public sector pension scheme reforms," National Institute Economic Review, National Institute of Economic and Social Research, vol. 237, pages 38-46, August.
    9. Blake, David, 2003. "UK pension fund management after Myners: the hunt for correlation begins," LSE Research Online Documents on Economics 24833, London School of Economics and Political Science, LSE Library.
    10. Eich, Frank, 2009. "Public sector pensions: Rationale and international experiences," EconStor Preprints 54560, ZBW - Leibniz Information Centre for Economics.
    11. Blake, David, 2003. "Financial system requirements for successful pension reform," LSE Research Online Documents on Economics 24862, London School of Economics and Political Science, LSE Library.
    12. Alessandra Guariglia & Sheri Markose, 2000. "Voluntary Contributions to Personal Pension Plans: Evidence from the British Household Panel Survey," Fiscal Studies, Institute for Fiscal Studies, vol. 21(4), pages 469-488, December.
    13. Blake, David & Sarno, Lucio & Zinna, Gabriele, 2017. "The market for lemmings: The herding behavior of pension funds," Journal of Financial Markets, Elsevier, vol. 36(C), pages 17-39.
    14. Gabriele Zinna, 2016. "Price Pressures on UK Real Rates: An Empirical Investigation," Review of Finance, European Finance Association, vol. 20(4), pages 1587-1630.
    15. Coslor, Erica & Spaenjers, Christophe, 2016. "Organizational and epistemic change: The growth of the art investment field," Accounting, Organizations and Society, Elsevier, vol. 55(C), pages 48-62.
    16. Blake, David, 2003. "What is a promise from the government worth?:: measuring and assessing the implications of political risk in state and personal pension schemes in the United Kingdom," LSE Research Online Documents on Economics 24856, London School of Economics and Political Science, LSE Library.
    17. David Blake, 2008. "What is a Promise from the Government Worth? Quantifying Political Risk in State and Personal Pension Schemes in the United Kingdom," Economica, London School of Economics and Political Science, vol. 75(298), pages 342-361, May.
    18. Gabriele Zinna, 2014. "Price pressures in the UK index-linked market: an empirical investigation," Temi di discussione (Economic working papers) 968, Bank of Italy, Economic Research and International Relations Area.
    19. Glaessner, Thomas Charles & Valdes-Prieto, Salvador, 1998. "Pension reform in small developing countries," Policy Research Working Paper Series 1983, The World Bank.
    20. Peter Diamond, 1998. "The Economics of Social Security Reform," NBER Working Papers 6719, National Bureau of Economic Research, Inc.
    21. Emmanouil Platanakis & Charles Sutcliffe, 2017. "Pension Schemes, Taxation and Stakeholder Wealth: The USS Rule Changes," ICMA Centre Discussion Papers in Finance icma-dp2017-08, Henley Business School, University of Reading.
    22. Michael E. Drew, 2010. "The Puzzle of Financial Reporting and Corporate Short- Termism: A Universal Ownership Perspective," Discussion Papers in Finance finance:201005, Griffith University, Department of Accounting, Finance and Economics.
    23. Anastasia Petraki & Anna Zalewska, 2017. "Jumping over a low hurdle: personal pension fund performance," Review of Quantitative Finance and Accounting, Springer, vol. 48(1), pages 153-190, January.
    24. Amy Finkelstein & James Poterba, 1999. "Selection Effects in the Market for Individual Annuities: New Evidence from the United Kingdom," NBER Working Papers 7168, National Bureau of Economic Research, Inc.
    25. Bill Martin, 2019. "Resurrecting the UK Sector National Accounts after 1945," Working Papers wp514, Centre for Business Research, University of Cambridge.
    26. Paul Bridgen & Traute Meyer, 2018. "Individualisation reversed: the cross-class politics of social regulation in the UK’s public/private pension mix," Transfer: European Review of Labour and Research, , vol. 24(1), pages 25-41, February.
    27. Armando Barrientos, 1998. "Supplementary pension coverage in Britain," Fiscal Studies, Institute for Fiscal Studies, vol. 19(4), pages 429-446, November.
    28. Anastasia Petraki & Anna Zalewska, 2013. "Jumping over a low hurdle: Personal pension fund performance," The Centre for Market and Public Organisation 13/305, The Centre for Market and Public Organisation, University of Bristol, UK.
    29. Barria, Rodrigo & Pinter, Gabor, 2023. "Mispricing in inflation markets," Bank of England working papers 1034, Bank of England.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.