Discussion Papers
Papers
[2014][2013][2012][2011][2010][2009] [2008] [2007] [2006] [2005] [2004] [2003] [2002] [2001] [2000] [1999] [1998] [1997] [1996]
We welcome submissions of discussion papers and practitioner notes [working papers can be submitted in Word, Postscript or PDF formats (notes for contributors)]
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Research disseminated by the Pensions Institute may include views on policy but the Pensions Institute itself takes no institutional policy positions.
2015
- 2.PI-1502. Longevity Risk and Capital Markets: The 2013-14 Update. Ken Seng Tang, David Blake and Richard MacMinn. (April 2015). PDF.
- 1. PI-1501. The Replacement Rate: An Imperfect Indicator of Pension Adequacy in Cross Country Analyses. Filip Chybalski & Edyta Marcinkiewicz. (February 2015). PDF.
2014
- 11. PI-1411 Personal Care Savings Bonds: A New Way of Saving Towards Social Care in Later Life. Les Mayhew & David Smith. (October2014). PDF.
- 10. PI-1410 Phantoms Never Die: Living with Unreliable Mortality Data. Andrew Cairns, David Blake, Kevin Dowd & Amy Kessler. (October 2014). PDF
- 9.PI-1409 The Consequences of Not Having to Buy an Annuity. David Blake. (June 2014). PDF
- 8.PI-1408 The Market for Lemmings: Is the Investment Behavior of Pension Funds Stabilizing or Destabilizing? David Blake, Lucio Sarno and Gabriele Zinna. (Februar 2015). PDF.
- 7.PI-1407 On the Disclosure of the Cost of Investment Management. David Blake. (May 2014). PDF
- 6.PI-1406 A Parsimonious Approach to Stochastic Mortality Modelling with Dependent Residuals. George Mavros, Andew Cairns, Torsten Kleinow & George Streftaris. (May 2014). PDF.
- 5.PI-1405 Improved Inference in the Evaluation of Mutual Fund Performance using Panel Bootstrap Methods. David Blake, Tristan Caulfield, Christos Ioannidis & Ian Tonks. (June 2014). PDF
- 4.PI-1404 New Evidence on Mutual Fund Performance: A Comparison of Alternative Bootstrap Methods. David Blake, Tristan Caulfield, Christos Ioannides & Ian Tonks. (June 2014). PDF
- 3. PI-1403 Value-Time Curve Psychology. David Blake and John Pickles. (April 2014). PDF.
- 2.PI-1402 A Multivariate Model of Strategic Asset Allocation with Longevity Risk. Carlo Favero and Claudia Tebaldi. (February 2014). PDF.
- 1. PI-1401 What Should Be Done About the Underfunding of Defined Benefit Pension Schemes? A Case Study of Ireland. John Cotter, David Blake and Kevin Dowd (March 2014) PDF
2013
- 7. PI-1307 Private Infrastructure Finance and Investment in Europe. George Inderst. (June 2013) PDF
- 6. PI-1306 Long Term Care and Longevity. Christian Gourieroux and Yang Lu (November 2013) PDF
- 5. PI-1305 Longevity Insurance Annuities: Lessons from the United Kingdom David Blake and John A. Turner (July 2013) PDF
- 4. PI-1304 Cohort mortality risk or adverse selection in the UK annuity market? Edmund Cannon and Ian Tonks (April 2013) PDF
- 3. PI-1303 Adjusted Money’s Worth Ratios In Life Annuities Jaime Casassus and Eduardo Walker (February 2013) PDF
- 2. PI-1302 Good Practice Principles in Modelling Defined Contribution Pension Plans Kevin Dowd and David Blake (September 2013) PDF (335KB)
- 1. PI-1301 A General Procedure for Constructing Mortality Models Andrew Hunt and David Blake (January 2015) PDF FAQs (945KB)
2012
- 9. PI-1209 Cypriot Mortality and Pension Benefits Andreas Milidonis (December 2012) PDF
- 8. PI-1208 Defining and Measuring Green Investments: Implications for Institutional Investors’ Asset Allocations Georg Inderst, Christopher Kaminker and Fiona Stewart (August 2012) PDF (984KB)
- 7. PI-1207 Keeping Some Skin in the Game: How to Start a Capital Market in Longevity Risk Transfers Enrico Biffis and David Blake (December 2013) PDF (161KB)
- 6. PI-1206 Robust Hedging of Longevity Risk Andrew J.G. Cairns (August 2012) PDF (180KB)
- 5. PI-1205 Modelling the Cohort Effect in CBD Models Using a Piecewise Linear Approach Y. Zhao and P.J. Sweeting (May 2012) PDF (1401KB)
- 4. PI-1204 Measuring the multidimensional adequacy of pension systems in European countries Filip Chybalski (March 2012) PDF (174KB)
- 3. PI-1203 Informed Intermediation of Longevity Exposures Enrico Biffis and David Blake (November 2012) PDF (366KB)
- 2. PI-1202 The Design of Supplementary Pension Schemes in Poland and Longevity Risk: Current Situation and Proposed Changes Marek Szczepańsk (January 2012) PDF (174KB)
- 1. PI-1201 Pension Funding Constraints and Corporate Expenditures Weixi Liu and Ian Tonks (January 2012) PDF (324KB)
2011
- 15. PI-1115 Can Large Pension Funds Beat the Market? Asset Allocation, Market Timing, Security Selection, and the Limits of Liquidity Aleksandar Andonov, Rob M. M. J. Bauer and K. J. Martijn Cremers (October 2011) PDF (1290KB)
- 14. PI-1114 The Value and Risk of Defined Contribution Pension Schemes: International Evidence Edmund Cannon and Ian Tonks (September 2011) PDF (302KB)
- 13. PI-1113 Longevity Risks and Capital Markets: The 2010-2011 Update David Blake, Christophe Courbage, Richard MacMinn and Michael Sherris (September 2011) PDF (121KB)
- 12. PI-1112 Target-Driven Investing: Optimal Investment Strategies in Defined Contribution Pension Plans under Loss Aversion David Blake, Douglas Wright, and Yumeng Zhang (August 2012) PDF (490KB) Press Release
- 11. PI-1111 Age Dependent Investing: Optimal Funding and Investment Strategies in Defined Contribution Pension Plans when Members are Rational Life Cycle Financial Planners David Blake, Douglas Wright, and Yumeng Zhang (September 2011) PDF (625KB) Press Release
- 10. PI-1110 A Gravity Model of Mortality Rates for Two Related Populations Kevin Dowd, Andrew J. G. Cairns, David Blake, Guy D. Coughlan, and Marwa Khalaf-Allah PDF (627KB)Published: North American Actuarial Journal, Volume 15, Number 2, 2011
- 9. PI-1109 Key q-duration: A Framework for Hedging Longevity Risk Johnny Siu-Hang Li, and Ancheng Luo (July 2011) PDF (261KB)
- 8. PI-1108 Progress in Medicine, Limits to Life and Forecasting Mortality Carlo A. Favero, and Marco Giacoletti (September 2011) PDF (264KB)
- 7. PI-1107 The Cost of Counterparty Risk and Collateralization in Longevity Swaps Enrico Biffis, David Blake, Lorenzo Pitotti, and Ariel Sun (November 2012) PDF (385KB)
- 6. PI-1106 Longevity Hedge Effectiveness: A Decomposition Andrew J.G. Cairns, Kevin Dowd, David Blake, and Guy D. Coughlan (August 2012) PDF (341KB)
- 5. PI-1105 Modelling and Management of Longevity Risk: Approximations to Survivor Functions and Dynamic Hedging Andrew J.G. Cairns (July 2011) PDF (725KB)
- 4. PI-1104 Longevity Risk and Capital Markets: The 2009-2010 Update David Blake, Patrick Brockett, Samuel Cox and Richard MacMinn PDF (182KB) Published: North American Actuarial Journal, Volume 15, Number 2, 2011
- 3. PI-1103 Infrastructure as an Asset Class Georg Inderst (Note: This article was first published in Volume 15 (1) of the EIB papers 2010. The author acknowledges financial support from the EIB for this article) PDF (556KB)
- 2. PI-1102 The Choice of Open Pension Fund made by Citizens of Poland in the Years 2003-2009: The Analysis of the Criteria Filip Chybalski (January 2011) PDF (146KB)
- 1. PI-1101 Mortality Regimes and Pricing Andreas Milidonis, Yijia Lin and Samuel H. Cox (June 2010) PDF (469KB)
2010
- 15. PI-1015 One-Year Value-At-Risk For Longevity And Mortality Richard Plat (December 2010) PDF (285KB)
- 14. PI-1014 Spend More Today Safely: Using Behavioural Economics to Improve Retirement Expenditure Decisions David Blake and Tom Boardman (February 2012) PDF (249KB) Slides (344KB)
- 13. PI-1013 Longevity Hedging 101: A Framework for Longevity Basis Risk Analysis and Hedge Effectiveness Guy D. Coughlan, Marwa Khalaf-Allah, Yijing Ye, Sumit Kumar, Andrew J.G. Cairns, David Blake and Kevin Dowd PDF (404KB) Published: North American Actuarial Journal, Volume 15, Number 2, 2011
- 12. PI-1012 Making the Most of Experience Data - an Augmented Beta-Binomial Approach P.J. Sweeting (November 2010) PDF(102KB)
- 11. PI-1011 Back to the Future: A Long Term Solution to the Occupational Pensions Crisis Charles Sutcliffe (June 2010) PDF (275KB)
- 10. PI-1010 Pension Fund Performance and Costs: Small is Beautiful Rob M.M.J. Bauer, K. J. Martijn Cremers and Rik G. P.Frehen (April 2010) PDF (353KB)
- 9. PI-1009 Why
does Mutual Fund Performance not Persist? The Impact and Interaction of
Fund Flows and Manager Changes Wolfgang Bessler, David Blake, Peter
Lückoff and Ian Tonks
(May 2014) PDF (429KB) - 8. PI-1008 Do Endowment Funds Select the Optimal Mix of Active and Passive Risk Keith C. Brown and Cristian Tiu (October 2009) PDF (276KB)
- 7. PI-1007 Asset Allocation and Portfolio Performance: Evidence from University Endowment Funds Keith C. Brown, Lorenzo Garlappi and Cristian Tiu (July 2009) PDF (385KB)
- 6. PI-1006 Decentralized Downside Risk Management Andrea Reed, Cristian Tiu and Uzi Yoeli (November 2009) PDF (527KB)
- 5. PI-1005 Longevity Risk, Retirement Savings, and Financial Innovation João F. Cocco and Francisco J. Gomes (November 2009) PDF (402KB)
- 4. PI-1004 Longevity Indices and Pension Fund Risk P. J. Sweeting (February 2010) PDF (256KB)
- 3. PI-1003 Estimation and Pricing with the Cairns-Blake-Dowd Model of Mortality Edmund Cannon (January 2010) PDF (1.64MB)
- 2. PI-1002 Sharing Longevity Risk: Why Governments Should Issue Longevity Bonds David Blake, Tom Boardman and Andrew Cairns (February 2013) PDF (338KB)
- 1. PI-1001 Bayesian Stochastic Mortality Modelling for Two Populations Andrew J.G. Cairns, David Blake, Kevin Dowd, Guy D. Coughlan and Marwa Khalaf-Allah (June 2011) PDF (886KB) Published: Astin Bulletin, Volume 41, Number 1, 2011
2009
- 14. PI-0914 Decentralized Investment Management: Evidence from the Pension Fund Industry David Blake, Alberto Rossi, Allan Timmermann, Ian Tonks and Russ Wermers (July 2012) PDF (739KB) Online Appendix
- 13. PI-0913 NDC v FDC: Pros, Cons and Replication David Blake (September 2011) PDF (137KB)
- 12. PI-0912 Systemic Risk in Financial Services D Besar, P. Booth, K. K. Chan, A. K. L. Milne and J. Pickles (December 2009) PDF (769KB)
- 11. PI-0911 Valuation of Guaranteed Annuity Options using a Stochastic Volatility Model for Equity Prices Alexander van Haastrecht, Richard Plat and Antoon Pelsser (August 2009) PDF (288KB)
- 10. PI-0910 Barriers to Increased Effectiveness of Investment by Pension Funds in Poland Filip Chybalski (July 2009) PDF (210KB)
- 9. PI-0909 Taking the Long View David Blake, Tom Boardman, Andrew Cairns and Kevin Dowd (April 2009) PDF (339KB) Press Release
- 8. PI-0908 On Stochastic Mortality Modeling Richard Plat (July 2009) PDF (277KB) fitModelsPlat.rtf
- 7. PI-0907 Longevity Risk and Capital Markets: The 2008-2009 Update David Blake, Anja De Waegenaere, Richard McMinn and Theo Nijman (February 2010) PDF (194KB)
- 6. PI-0906 Pension Fund Investment in Infrastructure George Inderst (January 2009) PDF (773KB)
- 5. PI-0905 Longevity Insurance: Strengthening Social Security at Advanced Ages John A. Turner (February 2009) PDF (133KB)
- 4. PI-0904 A Trend-Change Extension of the Cairns-Blake-Dowd Model Paul Sweeting (February 2009) PDF (358KB)
- 3. PI-0903 Pension Plan Decisions Alistair Byrne, David Blake and Graham Mannion (September 2009) PDF (109KB)
- 2. PI-0902 Modelling Adult Mortality in Small Populations: The Saint Model Søren Fiig Jarner and Esben Masotti Kryger (January 2009) PDF (442KB)
- 1. PI-0901 Mortality-Linked Securities and Derivatives Enrico Biffis and David Blake (October 2009) PDF (970KB)
2008
- 28. PI-0828 Longevity Risk and Capital Markets: The 2007-2008 Update Richard McMinn, Jennifer Wang and David Blake (November 2008) PDF (54KB)
- 27.PI-0827 Social Security and Retirement during Transition: Microeconometric evidence from Slovenia Aleš Ahcan and Sašo Polanec (October 2008) PDF (223KB)
- 26. PI-0826 Stochastic Portfolio Specific Mortality and the Quantification of Mortality Basis Risk Richard Plat (March 2009) PDF (188KB)
- 25. PI-0825 Designing a Defined-Contribution Plan: What to learn from Aircraft Designers? David Blake, Andrew Cairns and Kevin Dowd PDF (153KB) Published: Financial Analysts Journal, 2009, Vol. 65, No. 1, 37-42
- 24. PI-0824 Securitizing and Tranching Longevity Exposures Enrico Biffis and David Blake (February 2010) PDF (754MB) Published: Insurance: Mathematics and Economics 46 (2010) 186-197
- 23. PI-0823 A Computationally Efficient Algorithm for Estimating the Distribution of Future Annuity Values under Interest-Rate and Longevity Risks Kevin Dowd, David Blake and Andrew J. G. Cairns (March 2010) PDF(308KB) Published: North American Actuarial Journal, Volume 15, Number 2, 2011
- 22. PI-0822 Stochastic Mortality Made Easy Paul Sweeting (June 2008) PDF (412KB) Spreadsheet (4.57MB)
- 21. PI-0821 Large Declines in Defined Benefit Plans Are Not Inevitable: The Experience of Canada, Ireland, the United Kingdom, and the United States John A. Turner and Gerard Hughes (April 2008) PDF (295KB)
- 20. PI-0820 Optimal Pension Asset Allocation Strategy when Terminal Utility is a Function of Replacement Ratio Qing-Ping Ma (September 2008) PDF (598KB)
- 19. PI-0819 Sub-Optimality of Threshold and Constant Proportion Portfolio Insurance Strategies in Defined Contribution Pension Plans Qing-Ping Ma (September 2008) PDF (539KB)
- 18. PI-0818 Inter-Temporal Optimization and Deterministic Lifestyle Strategy in Managing Defined-Contribution Pension Plans Qing-Ping Ma (September 2008) PDF (518KB)
- 17. PI-0817 Integrating Financial and Demographic Longevity Risk Models: An Australian Model for Financial Applications Samuel Wills and Michael Sherris (May 2008) PDF (819KB)
- 16. PI-0816 Securitization, Structuring and Pricing of Longevity Risk Samuel Wills and Michael Sherris (June 2008) PDF (587KB)
- 15. PI-0815 Optimal Asset Allocation Strategy for Defined-Contribution Pension Plans with Power Utility Qing-Ping Ma (September 2008) PDF (354KB)
- 14. PI-0814 Modelling and Management of Mortality Risk: A Review Andrew Cairns, David Blake and Kevin Dowd (January 2008) PDF (492KB)
- 13. PI-0813 Does Regulation Hurt Pension Funds’ Performance? Evidence from Strongly Regulated Pension Fund Industries Martin T. Bohl , Judith Lischewski and Svitlana Voronkova (April 2008) PDF (165KB)
- 12. PI-0812 Policy Risk in Action: Pension Reforms and Social Security Wealth in Hungary, Czech Republic and Slovakia Libor Dušek and Juraj Kopecsni (April 2008) PDF (366KB)
- 11. PI-0811 Optimal Pension Asset Allocation Strategy for Defined-contribution Plans with Exponential Utility Qing-Ping Ma (April 2008) PDF (346KB)
- 10. PI-0810 Can UK Pension Fund Managers Time the Market? Andrew Clare, Keith Cuthbertson, Dirk Nitzsche and Stephen Thomas (April 2008) PDF (124KB)
- 9. PI-0809 By how much can a Diversified Approach to Investing Improve the Prospects of Reducing a DB Pensions Deficit? Andrew Brigden, Andrew Clare and Shamik Dhar (April 2008) PDF (143KB)
- 8. PI-0808 Defined Contribution Pensions: Dealing with the Reluctant Investor Alistair Byrne, Debbie Harrison and David Blake PDF (108KB) Published: Journal of Financial Regulation and Compliance, 2008, Vol. 16, No. 3, 206-219
- 7. PI-0807 The Birth of the Life Market David Blake, Andrew Cairns and Kevin Dowd (October 2008) PDF (532KB)
- 6. PI-0806 Turning Pension Plans into Pension Planes: What Investment Strategy Designers of Defined Contribution Pension Plans can Learn from Commercial Aircraft Designers David Blake, Andrew Cairns and Kevin Dowd (April 2008) PDF (614KB)
- 5. PI-0805 Risk and Valuation of Mortality Contingent Catastrophe Bonds Daniel Bauer and Florian W. Kramer (January 2008) PDF (440KB)
- 4. PI-0804 The Volatility of Mortality Daniel Bauer, Matthias Borger, Jochen Rub and Hans-Joachim Zwiesler (January 2008) PDF (1.08MB)
- 3. PI-0803 - Backtesting Stochastic Mortality Models: An Ex Post Evaluation of Multiperiod-Ahead Density Forecasts Kevin Dowd, Andrew J.G. Cairns, David Blake, Guy D. Coughlan, David Epstein, and Marwa Khalaf-Allah (December 2010) PDF (337KB) Published: North American Actuarial Journal, Volume 14, Number 3, 2010
- 2. PI-0802 - Evaluating the goodness of fit of stochastic mortality models Kevin Dowd, Andrew J.G. Cairns, David Blake, Guy D. Coughlan, David Epstein, and Marwa Khalaf-Allah (December 2010) PDF (312KB)
- 1. PI-0801 - Mortality Density Forecasts: An Analysis of Six Stochastic Mortality Models Andrew J. G. Cairns, David Blake, Kevin Dowd, Guy D. Coughlan, David Epstein, and Marwa Khalaf-Allah (March 2011) PDF (1255 KB)
2007
- 15. PI-0715 Do Health Care Investments Hedge Health Care Liabilities? William W. Jennings, Steve P. Fraser & Brian C. Payne (November 2007) PDF (180KB)
- 14. PI-0714 Evaluating the Advanced Life Deferred Annuity- An Annuity People Might Actually Buy. Guan Gong and Anthony Webb (September 2007) PDF (272KB)
- 13. PI-0713 Options on Normal Underlyings with an Application to the Pricing of Survivor Swaptions. Paul Dawson, Kevin Dowd, A.J.G. Cairns & David Blake (2009) PDF (260KB) Published: Journal of Futures Markets, 29:2, 2009, 757-774
- 12. PI-0712 Survivor Derivatives: A Consistent Pricing Framework. Paul Dawson, Kevin Dowd, A.J.G Cairns & David Blake (2010) PDF (264KB)
- 11. PI-0711 Financial risks and the Pension Protection Fund: Can it survive them? David Blake, John Cotter & Kevin Dowd (September 2007) PDF (186KB)
- 10. PI-0710 DB or not DB-the Choice of Pension Plan Provision by Employers. Paul Sweeting (August 2007) PDF (215KB)
- 9. PI-0709 Managing Financially Distressed Pension Plans in the Interest of Beneficiaries Joachim Inkmann and David Blake (November 2012) PDF (308KB)
- 8. PI-0708 Tax-Efficient Pension Choices in the UK. Paul Sweeting (June 2007) PDF (217KB)
- 7. PI-0707 Individual Accounts for Social Security Reform: Lessons From the United Kingdom. David Blake and John Turner (April 2007) PDF (88KB)
- 6. PI-0706 Its all Back to Front: Critical Issues in the Design of Defined Contribution Pension Plans. David Blake (2008) PDF (264KB) Published in Dirk Broeders, Sylvester Eijffinger and Aerdt Houben (eds) Frontiers in Pensions, Edward Elgar, Cheltenham, 2008, 99-159
- 5. PI-0705 Longevity Risk and the Grim Reaper's Toxic Tail: The Survivor Fan Charts. David Blake, Kevin Dowd and A.J.G. Cairns (682KB) PDF Published in Insurance: Mathematics and Economics 42 (2008) 1062–1066
- 4. PI-0704 The Myth of Methuselah and the Uncertainty of Death: The Mortality Fan Charts. Kevin Dowd, David Blake and A.J.G. Cairns (November 2007) PDF (144KB)
- 3. PI-0703 Facing Up to Uncertain Life Expectancy: The Longevity Fan Charts. Kevin Dowd, David Blake and A.J.G. Cairns (February 2010) PDF (896KB) Published: Demography, 47, 2010, 67-78
- 2. PI-0702 Optimal Retirement Asset Decumulation Strategies: The Impact of Housing Wealth. Wei Sun, Robert K. Triest and Anthony Webb (March 2007) PDF (366KB)
- 1. PI-0701 A Quantitative Comparison of Stochastic Mortality Models Using Data from England & Wales and the United States. Andrew J.G. Cairns, David Blake, Kevin Dowd, Guy D. Coughlan, David Epstein, Alen Ong and Igor Balevich (April 2009) PDF (865KB) Published: North American Actuarial Journal, 2009, Vol.13, No. 1, 1-35
2006
- 24. PI-0624 Longevity Risk and Capital Markets. Richard MacMinn, Patrick Brockett and David Blake (December 2006) PDF (56KB) Published: Journal of Risk and Insurance, 2006, Vol.73, No.4, 551-557
- 23. PI-0623 The Effect of Pension Accounting on Corporate Pension Asset Allocation: A Comparative Study of UK and US. Eli Amir, Yanling Guan and Dennis Oswald (December 2007) PDF (235KB)
- 22. PI-0622 Pricing Basis Risk in Survivor Swaps. Paul Sweeting (September 2007) PDF (181KB)
- 21. PI-0621 Three Retirement Decision Models for Defined Contribution Pension Plan Members: A Simulation Study. Bonnie-Jeanne MacDonald and Andrew J.G. Cairns (December 2010) PDF (545KB) Published: Insurance: Mathematics and Economics, 48 (2010) 1-18
- 20. PI-0620 Optimal Portfolio Choice with Annuitization. Ralph S.J.Koijen, Theo E. Nijman and Bas J.M. Werker (August 2006) PDF (414KB)
- 19. PI-0619 An Investment based valuation approach for pension fund cash flows. Jürg Tobler-Oswald (August 2006) PDF (125KB)
- 18. PI-0618 The Cost and Benefit of UK Defined Benefit Provision. Paul Sweeting (August 2006) PDF (99KB)
- 17. PI-0617 Longevity Bonds: Financial Engineering, Valuation and Hedging. David Blake, Andrew Cairns, Kevid Dowd and Richard MacMinn (December 2006) PDF (920KB) Published: Journal of Risk and Insurance, 2006, Vol.73, No.4, 647-672
- 16. PI-0616 Overregulating your pension out of existence: The long term consequences of British pension policy over the last 30 years. David Blake (15 June 2005) PDF (97KB)
- 15. PI-0615 A Sustainable and Scalable Approach in Indian Pension Reform. Ajay Shah (August 2006) PDF (345KB)
- 14. PI-0614 Pyrrhic Victory? The Unintended Consequence of the Pensions Act 2004. Alistair Byrne, Debbie Harrison, Bill Rhodes and David Blake (June 2006) PDF (177KB) Published: Economic Affairs, June, 9-16
- 13. PI-0613 Life is Cheap: Using Mortality Bonds to Hedge Aggregate Mortality Risk. Leora Friedberg and Anthony Webb (May 2006) PDF (540KB)
- 12. PI-0612 Mortality heterogeneity and the distributional consequences of mandatory annuitization. Guan Gong and Anthony Webb (April 2006) PDF (476KB)
- 11. PI-0611 A Two-Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration. Andrew J.G. Cairns, David Blake, Kevin Dowd (December 2006) PDF (301KB) Published: Journal of Risk and Insurance, 2006, Vol.73, No.4, 687-718
- 10. PI-0610 Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk. Andrew J.G. Cairns, David Blake, and Kevin Dowd (August 2006) PDF (620KB)
- 9. PI-0609 Mortality - Dependent Financial Risk Measures. Kevin Dowd, Andrew J. G. Cairns, and David Blake (May 2006) PDF (255KB) Published: Insurance: Mathematics and Economics 38 (2006) 427-440
- 8. PI-0608 Can a coherent risk measure be too subadditive? J. Dhaene, R.J.A. Laeven, S. Vanduffel, G. Darkiewicz, M.J. Goovaerts (May 2006) PDF (231KB)
- 7. PI-0607 Risk Measures and Comonotonicity: a Review. J. Dhaene S. Vanduffel Q. Tang M. J. Goovaerts R. Kaas D. Vyncke (May 2006) PDF (321KB)
- 6. PI-0606 There's No Time Like the Present: The Cost of Delaying Retirement Saving. David Blake, Alistair Byrne, Andrew Cairns and Kevin Dowd (June 2006) PDF Published Financial Services Review, 15, 2006, 213-231 (101KB)
- 5. PI-0605 The Impact of Occupation and Gender on Pensions from Defined Contribution Plans David Blake, Andrew Cairns and Kevin Dowd (October 2007) PDF Published: Geneva Papers on Risk & Insurance, 32, 2007, 458-82 (2.73MB)
- 4. PI-0604 Survivor Swaps Kevin Dowd, David Blake, Andrew G.J Cairns and Paul Dawson (March 2006) PDF (391KB) Published: Journal of Risk and Insurance, 73, 2006, 1-17
- 3. PI-0603 After VaR: The Theory, Estimation and Insurance Applications of Quantile-Based Risk Measures. Kevin Dowd and David Blake (June 2006) PDF (270KB) Published: Journal of Risk and Insurance, 73, 2006, 193-229
- 2. PI-0602 The UK State Pension System: Analyses of proposed reforms and the viability of immigration based policies in response to ageing demographics. Krishna Kotecha (October 2005) PDF (382KB)
- 1. PI-0601 Living with Mortality: Longevity Bonds and other Mortality-Linked Securities. D.Blake, A. Cairns and K.Dowd (January 2006) PDF (381KB), with discussion at the Faculty of Actuaries PDF and the Institute of Actuaries PDF
2005
- 12. PI-0512 Stochastic Mortality Under Measure Changes. Enrico Biffis, Michel Denuit and Pierre Devolder (September 2009) PDF (467KB)
- 11. PI-0511 Employee Attitudes to Pensions: Evidence From Focus Groups. Alistair Byrne and Bill Rhodes (October 2005) PDF (89KB)
- 10. PI-0510 Investment Practice - Full Circle? Alastair Ross Goobey (October 2005) PDF (65KB)
- 9. PI-0509 Towards a ‘balanced’ approach to pensions reform? Individuals, the state and employers in the restructuring of post-retirement income in the UK. Paul Bridgen and Traute Meyer (October 2005) PDF (129KB)
- 8. PI-0508 Pricing Risk on Longevity Bonds. Andrew Cairns, David Blake, Paul Dawson, Kevin Dowd (October 2005) PDF (336KB)
- 7. PI-0507 Strategic Interest rate hedges or How Derivatives Can Help Solve the Pension Fund Crisis Part II Janwillem P.W. Engel, Harry M. Kat, Theo P. Kocken (September 2005) PDF (332KB)
- 6. PI-0506 Pensions taxation and retirement incomes in New Zealand. Susan St John (July 2005) PDF (572KB)
- 5. PI-0505 Barriers to pension scheme participation in small-and medium-sized enterprises Alistair Byrne, David Blake and Debbie Harrison (March 2005) PDF (142KB)
- 4. PI-0504 Socially Responsible Investment by trustees of charities and occupational pension funds (SRI) Paul Palmer (January 2005) PDF (112KB)
- 3. PI-0503 Why People Don't Choose Private Pensions: The Impact of 'Contagion' Bernard H Casey (December 2004) PDF (177KB)
- 2. PI-0502 Is there a Link Between Pension-Fund Assets and Economic Growth? - A Cross-Country Study E Philip Davis and Yuwei Hu (December 2004) PDF (918KB)
- 1. PI-0501 Do a Firm's Equity Returns Reflect the Risk of Its Pension Plan? Li Jin, Robert C. Merton and Zvi Bodie (December 2004) PDF (127KB)
2004
- 13. PI-0413 On the sustainability of the United Kingdom state pension system in the light of population ageing and declining fertility David Blake and Les Mayhew (June 2006) PDF (327KB)
- 12. PI-0412 Employee Saving and Investment Decisions in Defined Contribution Pension Plans: Survey Evidence from the UK Alistair Byrne (September 2004) PDF (271KB)
- 11. PI-0411 Default Funds in UK Defined Contribution Pension Plans David Blake, Alistair Byrne, Andrew Cairns & Kevin Dowd. Published in Financial Analysts Journal, 63, 2007, 40-51 PDF (416KB)
- 10. PI-0410 Disaggregated TIPS: The case for disaggregating inflation-linked bonds into bonds linked to narrower CPI components including Notes for Non-US Readers and Inspiration William W. Jennings (March 2004) PDF (318KB) Forthcoming: Journal of Pension Economics and Finance, November 2006
- 9. PI-0409 What is a Promise from the Government Worth? Quantifying Political Risk in State and Personal Pension Schemes in the United Kingdom. David Blake (March 2008) PDF (198KB) Published: Economica, 2008, 75, 342-361
- 8. PI-0408 Why Are Older People Not More "Active"? Bernard H Casey (May 2004) PDF (203KB)
- 7. PI-0407 The Japanese Retirement Income System: A Special Case? Bernard H Casey (June 2004) PDF (269KB)
- 6. PI-0406 Investment Decision-Making in Defined Contribution Pension Plans Alistair Byrne (June 2004) PDF (157KB)
- 5. PI-0405 Evaluating Pension Reform Bernard H Casey PDF (175KB) Published: Scandinavian Insurance Quarterly, April 2004
- 4. PI-0404 Why People Don't Choose Private Pensions: The Impact of 'Contagion' Bernard H Casey (April 2004) PDF (180KB)
- 3. PI-0403 Quantifying the Costs of Investment Limits for Chilean Pension Funds Solange M. Berstein and Romulo A. Chumacero (December 2003) PDF (320KB)
- 2. PI-0402 What Discount Rate Should be used to Valued Defined Benefit Pension Liabilities? Zaki Khorasanee (January 2004) PDF (98KB)
- 1. PI-0401 Is there a Pensions Crisis in the UK? E Philip Davis (March 2004) PDF (265KB)
2003
- 16. PI-0316 What Social Security: Beveridgean or Bismarckian? J. Ignacio Conde-Ruiz and Paola Profeta (September 2003) PDF (718KB)
- 15. PI-0315 Pension-Fund Mathematics Andrew J. G. Cairns (August 2003) PDF (201KB)
- 14. PI-0314 Institutional Trading and Return Autocorrelation: Empirical Evidence on Polish Pension Fund Investors' Behavior Bartosz Gebka, Harald Henke and Martin T. Bohl (July 2003) PDF (241KB)
- 13. PI-0313 Competition in a World with Markups and Sales Agents: The Chilean Pension Fund Industry Solange Berstein and Alejandro Micco (July 2003) PDF (494KB)
- 12. PI-0312 How Derivatives Can Help Solve the Pension Fund Crisis Huub F. van Capelleveen, Harry M. Kat and Theo P. Kochen (June 2003) PDF (154KB)
- 11. PI-0311 Defined Contribution Pension Plans: Determinants of Participation and Contribution Rates Gur Huberman, Sheena Iyengar and Wei Jiang (June 2003) PDF (986KB)
- 10. PI-0310 Institutional Traders' Behavior in an Emerging Stock Market: Empirical Evidence on Polish Pension Fund Investors Svitlana Voronkova and Martin T. Bohl (July 2003) PDF (166KB)
- 9. PI-0309 Valuing Defined-Benefit Plans Williams W Jennings and William Reichenstein (June 2003) PDF (154KB) Published: Financial Services Review, 12(3), 2003, 179-200
- 8. PI-0308. Performance Evaluation of Public Pension Funds: The Reformed Pension System in Poland Dariusz Stanko (April 2003) PDF (715KB)
- 7. PI-0307. Annuities and Individual Welfare Thomas Davidoff, Jeffrey Brown and Peter Diamond (May 2003) PDF (412KB)
- 6. PI-0306. Towards a Model of the Personal Retirement Savings Decision Lester Wills and Donald Ross (November 2002) PDF (284KB)
- 5. PI-0305. UK
Pension Fund Management After Myners: The Hunt for Correlation Begins
David Blake
(March 2003) PDF (385KB)
Published: Journal of Asset Management Vol. 4, 1, 32-72 - 4. PI-0304. Take
(Smoothed) Risks When You Are Young, Not When You Are Old: How To Get The
Best From Your Pension Plan
David Blake (September 2003) PDF (167KB)
Published: IMA Journal of Management Mathematics (2003) 14, 145-161 - 3. PI-0303. Institutional Investors, Financial Market Efficiency and Financial Stability E Philip Davis (January 2003) PDF (985KB)
- 2. PI-0302. Polish Pension Funds, Does The System Work? Cost, Efficiency and Performance Measurement Issues Dariusz Stanko (January 2003) PDF (646KB)
- 1. PI-0301. What Has the Fund Manager Done for Me? A Value-Based Approach to Investment Performance Measurement Gordon Bagot and Seth Armitage (January 2003) PDF (1,106KB)
2002
- 13. PI-0213. Issues in the Regulation of Annuities Markets E Philip Davis (February 2003) PDF (511KB)
- 12. PI-0212. The European Pension Management Industry E Philip Davis (October 2002) PDF (152KB)
- 11. PI-0211. Optimal Asset Allocation and The Real Option to Delay Annuitization: It's Not Now-or-Never Moshe A. Milevsky and Virginia R. Young (September 2002) PDF (413KB)
- 10. PI-0210. The Shift from Defined Benefit to Defined Contribution Retirement Plans and the Provisioning of Retirement Savings Donald Ross and Lester Wills (July 2002) PDF (154KB)
- 9. PI-0209. Exploring the Retirement Savings Gap: An Australian Perspective Lester Wills and Donald Ross (May 2002) PDF (232KB)
- 8. PI-0208. Life-Cycle Finance in Theory and in Practice Zvi Bodie (April 2002) PDF (69KB)
- 7. PI-0207. Institutional Investors, Corporate Governance and the Performance of the Corporate Sector E Philip Davis (May 2002) PDF (172KB)
- 6. PI-0206. Pension Fund Management and International Investment - A Global Perspective E Philip Davis (May 2002) PDF (178KB)
- 5. PI-0205. Company Stock in Pension Plans: How Costly Is It? Lisa Meulbroek (March 2002) PDF (1,035KB)
- 4. PI-0204. Redistribution and Insurance: Mandatory Annuitization with Mortality Heterogeneity Jeffrey R. Brown (published in The Journal of Risk and Insurance, 70, 2003: 17-41) PDF (301KB)
- 3. PI-0203. Social Security Development and Reform in Asia and the Pacific John A. Turner (March 2002) PDF (143KB)
- 2. PI-0202. Relative Rate of Return Guarantees for Social Security Defined Contribution Plans: What Do They Accomplish? John A. Turner and David M. Rajnes (March 2002) PDF (169KB)
- 1. PI-0201. Strengthening Employment-Based Pensions In Japan Robert L. Clark and Olivia S. Mitchell (February 2002) PDF (127KB)
2001
- 14. PI-0114. International Pension Swaps Zvi Bodie and Robert C. Merton (October 2001) PDF (140KB)
- 13. PI-0113. Lost Pensions, Lost Pensioners: Is a National Registry of Pension Plans the Answer? David Blake and John Turner (August 2001) PDF (180KB) Published: Benefits Quarterly, 18:3, 2002, 51-64
- 12. PI-0112. Lost Pensions: The U.S, U.K and Australia Take Different Approaches to Find Them David Blake and John Turner (August 2001) PDF (84KB)
- 11. PI-0111. Ageing and Financial Stability E Philip Davis (July 2001) PDF
- 10. PI-0110. Developments in Decumulation: The Role of Annuity Products in Financing Retirement Olivia S. Mitchell (June 2001) PDF Discussion by David Blake
- 9. PI-0109. From Financial Economics to Fair Valuation Andrew J. G. Cairns (May 2001) PDF
- 8. PI-0108. Japan's Longevity Revolution and the Implications for Health Care Finance and Long-Term Care Les Mayhew (February 2001) PDF
- 7. PI-0107. The United Kingdom Pension System: Key Issues David Blake (June 2002) PDF (published in Pensions, 8, July 2003, 330-375)
- 6. PI-0106. Performance
Benchmarks for Institutional Investors: Measuring, Monitoring and Modifying
Investment Behaviour David
Blake and Allan Timmermann
(June 2002) PDF
Published: Chapter 5 in John Knight and Stephen Satchell (eds) Performance Measurement in Finance: Firms, Funds and Managers, Butterworth Heinemann, Oxford, June 2002 - 5. PI-0105. Retirement Investing: A New Approach. Zvi Bodie (February 2001) PDF
- 4. PI-0104. UK Pension Fund Management: How is Asset Allocation Influenced by the Valuation of Liabilities? David Blake (February 2001) PDF
- 3. PI-0103. Pensionmetrics 2: Stochastic Pension Plan Design During the Distribution Phase. David Blake, Andrew Cairns, Kevin Dowd (Published in Insurance: Mathematics and Economis 33 (2003) 29-47) PDF (405KB)
- 2. PI-0102. Pension Metrics: Stochastic Pension Plan Design and Value-at-Risk During the Accumulation Phase. David Blake, Andrew Cairns, Kevin Dowd (October 2001) PDF (329KB) Published: Insurance: Mathematics & Economics, 29, 2001, 187-215
- 1. PI-0101. Portfolio Regulation of Life Insurance Companies and Pension Funds. E. Philip Davis (January 2001) PDF
2000
- 12. PI-0012. International Asset Allocation with Time-varying Investment Opportunities. Allan Timmermann and David Blake (January 2002) PDF Published: Journal of Business, 78, 2005, 71-98
- 11. PI-0011. Returns from Active Management in International Equity Markets: Evidence From a Panel of UK Pension Funds. Allan Timmermann and David Blake (August 2002) PDF Published: Journal of Asset Management, 6, 2005, 5-20
- 10. PI-0010. Pension Funds, Financial Intermediation and the New Financial Landscape. E. Philip Davis (July 2000) PDF
- 9. PI-0009. Regulation of Private Pensions - A Case Study of the UK. E. Philip Davis (July 2000; revised October 2000) (forthcoming in Revue d'Économie Financière) PDF
- 8. PI-0008. International Investment Performance: Evidence from Institutional Investors' Foreign Equity Holdings. Allan Timmermann and David Blake (June 2000) PDF
- 7. PI-0007. Modelling the Composition of Personal Sector Wealth in the United Kingdom. David Blake (published in Applied Financial Economics, 2004, 14, 611-630) PDF
- 6. PI-0006. Long-Term Value at Risk. Kevin Dowd, David Blake, Andrew Cairns, (Revised June 2001) Journal of Risk Finance, 5 (2), 2004, 52-57 PDF
- 5. PI-0005. Measuring Value Added in the Pensions Industry. David Blake, John Board, (October 2000) PDF (362KB) Published: The Geneva Papers on Risk and Insurance Vol. 25 No. 4 (October 2000) 539-567
- 4. PI-0004. Two Decades of Pension Reform in the UK: What are the Implications for Occupational Pension Schemes? David Blake, (March 2000) PDF Published: Employee Relations, 22, 2000, 223-245
- 3. PI-0003. Stochastic Lifestyling: Optimal Dynamic Asset Allocation for Defined-Contribution Pension Plans. Andrew J.G. Cairns, David Blake, Kevin Dowd (September 2004) PDF
- 2. PI-0002. The Future of Supplementary pensions in Europe. FEFSI (January 2000) PDF
- 1. PI-0001. Implications of the growth of institutional investors for the financial sectors. E. Philip Davis (January 2000) PDF
1999
- 12. PI-9912. Why Australia's Pension System is Not a Good International Model. Dan Scheiwe (April 1999) PDF
- 11. PI-9911. Efficient Timing of Retirement. Geoffrey H. Kingston (December, 1998; revised February 1999)
- 10. PI-9910. Survivor
Bonds: Helping to Hedge Mortality Risk. David
Blake and William Burrows (The Journal of Risk and Insurance, 2001,
Vol.68, No. 2, 339-348) PDF
Survivor Bonds: A Comment on Blake and Burrows, Kevin Dowd (The Journal of Risk and Insurance, 2003, Vol.70, No. 2, 339-348)
Reply to "Survivor Bonds: A Comment on Blake and Burrows" David Blake (The Journal of Risk and Insurance, 2003, Vol.70, No. 2, 348-351) - 9. PI-9909. Linkages between Pension Reform and Financial Sector Development. E Philip Davis (February, 1999)
- 8. PI-9908. Investment of Mandatory Funded Pension Schemes. E Philip Davis (February, 1999)
- 7. PI-9907. Annuity Markets: Problems and Solutions. David Blake (published in Geneva Papers on Risk and Insurance, 24, July, p358-75) PDF
- 6. PI-9906. Financial System Requirements for Successful Pension Reform. David Blake (published in Pensions 9, 1, 59-87) PDF
- 5. PI-9905. Does it Matter What Type of Pension Scheme You Have? David Blake (published in Economic Journal, 110, February 2000, F46-F81) PDF
- 4. PI-9904. The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis. Asger Lunde, Allan Timmermann and David Blake (published in Journal of Empirical Finance, 6, 1999, p121-52) PDF
- 3. PI-9903. Mutual Fund Performance: Evidence from the UK. David Blake and Allan Timmermann (published in European Finance Review, 2, 1998, p57-77) PDF
- 2. PI-9902. Asset Allocation Dynamics and Pension Fund Performance. David Blake, Bruce Lehmann and Allan Timmermann (published in Journal of Business, 72, 1999, p429-62) PDF
- 1. PI-9901. Performance Clustering and Incentives in the UK Pension Industry. David Blake, Bruce Lehmann and Allan Timmermann (July, 2001) (published in Journal of Asset Management, 3, 2002, p 173-194) PDF
1998
- 12. PI-9812. Pension Sharing on Divorce: Comments on Consultation Document and Draft Bill. Heather Joshi and Hugh Davies (August, 1998)
- 11. PI-9811. Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time. Andrew Cairns (published in ASTIN Bulletin, 30, 2000, 19-55)
- 10. PI-9810. An Analysis of the Level of Security Provided by the Minimum Funding Requirement. Andrew Cairns (published in British Actuarial Journal, 5, 1999, 585-610)
- 9. PI-9809. The Future of Pensions in Germany. Manfred Laux (published as 'Germany: The personal pension fund for the second and third pillar' in Journal of Pensions Management, 4, 1999, 339-356)
- 8. PI-9808. By Accident or Design? The Case of Occupational Pension Schemes in the Formation of Employer Reward Strategy. Stephen Taylor (August, 1998)
- 7. PI-9807. The Role of Occupational Pension Schemes in Employer Reward Strategies: Evidence from the UK. Stephen Taylor (August, 1998).
- 6. PI-9806. Performance of Publicly Mandated Private Pension Funds in Mexico: Simulations with Transactions Cost. Tapen Sinha, Felípe Martínez and Constanza Barrios-Muñoz (June, 1998)
- 5. PI-9805. Social Security and the Provision of Retirement Income (Larry Willmore) (February, 1998)
- 4. PI-9804. The Impact of Wealth on Consumption and Retirement Behaviour in the UK, David Blake (published in Applied Financial Economics, 2004, 14, 555-576) PDF
- 3. PI-9803. The Impact of Pension Funds on Capital Markets, David Blake and J. Michael Orszag (January, 1998).
- 2. PI-9802. The Simple Economics of Funded and Unfunded Pension Systems, David Blake and J. Michael Orszag (published in The Actuary, November 1998).
- 1. PI-9801. Labour and the Future of Pensions: A Reply, David Blake and J. Michael Orszag (published in Journal of Pensions Management, 3, 1998, p263-71).
1997
- 14. PI-9714. An Analysis of the Hedging Approach to Modelling Pension Fund Liabilities. John Randall and Stephen Satchell (published in Journal of Pensions Management: Part I: 4, 1998, 183-198; Part II: 4, 1999, 259-268).
- 13. PI-9713. The German Pensions Sondervermoegen. David Blake (November 1997).
- 12. PI-9712. Regulation of Pension Fund Assets. E. Philip Davis (September 1997).
- 11. PI-9711. Endogenous Growth and Social Security. Giancarlo Marini and Pasquale Scaramozzino (August 1997).
- 10. PI-9710. Social Security and Intergenerational Equity. Giancarlo Marini and Pasquale Scaramozzino (August 1997).
- 9. PI-9709. Dynamics and Optimal Control of Stochastic Pension Plan Models. Andrew J.G. Cairns (July 1997).
- 8. PI-9708. The Reform of Retirement Income Provision in the EU, E. Philip Davis (June, 1997).
- 7. PI-9707. Pensions in the Corporate Sector, E. Philip Davis (June, 1997; Revised, Sept. 1997).
- 6. PI-9706. Pension Funds and Capital Markets: Necessary but not Sufficient Vehicles for Delivering the Pension Promise, David Blake (Revised Sept. 1997; original, June, 1997).
- 5. PI-9705 (Practitioner Note). Measuring the Performance of Pension Funds using Liability-Driven Performance Attribution, David Blake (published in Journal of Pensions Management, 3, 1998, p105-9).
- 4. PI-9704. Performance Measurement Using Multiple Asset Class Portfolio Data: A Study of UK Pension Funds., David Blake (Birkbeck College), Bruce Lehmann (Univ. of California, San Diego), and Allan Timmermann (University of California, San Diego) (April, 1997).
- 3. PI-9703. Financial Markets, Ageing and Social Welfare, David Miles (February, 1997).
- 2. PI-9702. The Birth and Death Processes of Mutual Funds, David Blake and Allan Timmermann (January, 1997).
- 1. PI-9701. The Actuarially Appropriate Management of Public Pensions: Funding or Pay-As-You-Go, Anthony Asher (January, 1997).
1996
- 11. PI-9611. International Experience of Pension Fund Reform and its Applicability to the Netherlands, E. Philip Davis (October, 1996).
- 10. PI-9610. Portfolio Choice Models of Pension Funds and Life Assurance Companies: Similarities and Differences, David Blake (published in Geneva Papers on Risk and Insurance, 24, July, p327-57) PDF
- 9. PI-9609. Old-age Pensions, Retirement Behaviour and Personal Saving, Knut Magnussen (August, 1996)
- 8. PI-9608. Annual Estimates of Personal Wealth Holdings in the United Kingdom Since 1948. David Blake and J. Michael Orszag (published in Applied Financial Economics, 9, 1999, p397-421) PDF
- 7. PI-9607. An Introduction to Stochastic Pension Fund Management, Andrew Cairns, (July 1996).
- 6. PI-9606. Pension Schemes as Options on Pension Fund Assets: Implications for Pension Fund Management, David Blake (published in Insurance: Mathematics and Economics, 23 December, 1998, p263-86) PDF
- 5. PI-9605. Portfolio Performance Measurement, David Blake (published, in Dean Paxon and Douglas Wood (eds.), Blackwell Encyclopedic Dictionary of Finance, Blackwell, 1997).
- 4. PI-9604. Pension Choices and Pension Policy in the United Kingdom, David Blake (published, in Salvador Valdés-Prieto(ed.), The Economics of Pensions: Principles, Policies and International Experience, Cambridge Univ. Press, 1997).
- 3. PI-9603. Efficiency, risk aversion and portfolio insurance: an analysis of financial asset portfolios held by investors in the United Kingdom, David Blake (published in Economic Journal, 106, September 1996, p1175-1192) PDF
- 2. PI-9602. A Closed form Formula for Calculating Bond Convexity, David Blake and J.M. Orszag (published in Journal of Fixed Income, 6, June 1996, p88-91).
- 1. PI-9601. On the long term risks facing pension schemes and pension funds in Europe, David Blake. (published in Journal of Pensions Management, 1, April 1996, p225-244).