Discussion Papers

Papers

[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.

2010

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 (January 2010) PDF (553KB)
1. PI-1001 Bayesian Stochastic Mortality Modelling for Two Populations Andrew Cairns, David Blake, Kevin Dowd, Guy Coughlan and Marwa Khalaf-Allah (January 2010) PDF (2.07MB)

2009

14. PI-0914 Decentralized Investment Management: Evidence from the Pension Fund Industry David Blake, Allan Timmermann, Ian Tonks and Russ Wermers (February 2010) PDF (739KB)
13. PI-0913 NDC v FDC: Pros, Cons and Replication David Blake (December 2009) PDF (90KB)
12. PI-0912 Systemic Risk in Financial Services D Besar, P. Booth, K. K. Chan, A. K. L. Milne and J. Pickles (December 2009)
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 (July 2009) PDF (597KB)
23. PI-0823 The Distribution of Future Annuity Prices under Interest-Rate and Longevity Risks Kevin Dowd, David Blake and Andrew J. G. Cairns (August 2008) PDF (182KB)
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 (October 2008) PDF (499KB)
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 Pen sions 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 Multi-Period-Ahead Density Forecasts Kevin Dowd, Andrew J.G. Cairns, David Blake, Guy D. Coughlan, David Epstein, and Marwa Khalaf-Allah (September 2008) PDF (576KB)
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 (September 2008) PDF (296KB)
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 (April 2008) PDF (2,474KB)

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 (September 2008) PDF (209KB)
12. PI-0712 Survivor Derivatives: A Consistent Pricing Framework. Paul Dawson, Kevin Dowd, A.J.G Cairns & David Blake (August 2009) PDF (279KB)
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 The Term Structure of Funding Spreads Joachim Inkmann and David Blake (July 2008) PDF (584KB)
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 (June 2008) PDF (273KB)
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 (1.22MB) 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 Models for Defined Contribution Pension Plan Members: A Simulation Study. Bonnie-Jeanne MacDonald and Andrew J.G. Cairns (October 2006) PDF (493KB)
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)

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).