### Papers

[2021] [2020][2019] [2018] [2017] [2016] [2015 ] [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].**

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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.

### 2021

- 4.
**PI-2104**. Smart defaults: Determining the number of default funds in a pension scheme. David Blake, Mel Duffield, Ian Tonks, Alistair Haig, Dean Blower and Laura MacPhee. June 2021. PDF. **3. PI-2103**. Financing Development: Private Capital Mobilization and Institutional Investors. Georg Inderst. March 2021. PDF. (1,415KB)**2. PI-2102.**Longevity Risk and Capital Markets: The 2019-2020 Update. David Blake and Andrew J.G. Cairns. April 2021. (PDF). (1.13MB)**1. PI-2101**. Pension Systems in the Developing World: Current Challenges and Future Directions. Seda Peksevim. March 2021. PDF. (1.1MB).

### 2020

**10. PI-2010**. Longevity Risk and Capital Markets: The 2018-19 Update. David Blake & Andrew J.G. Cairns. June 2020. PDF. (729KB).**9.****PI-2009**. Nudges and Networks: How to use behavioural economics to improve the life cycle savings-consumption balance. David Blake. June 2020. PDF (538KB).**8. PI-2008**. Modelling Seasonal Mortality with Individual Data. S.J. Richards, S.J. Ramonat, G.T. Vesper and T. Kleinow. May 2020. PDF. (2MB)**7. PI-2007**. The Impact of Covid-19 on Future Higher-Age Mortality. Andrew J.G. Cairns, David Blake, Amy R. Kessler & Marsha Kessler. May 2020. PDF (2MB). Link to Webinar. Update 15 June.**6. PI-2006**. Social Infrastructure Finance and Institutional Investors. A Global Perspective. Georg Inderst. March 2020. PDF (1.72MB).**5. PI-2005.**Simple Explicit Formula for Near-Optimal Stochastic Lifestyling. Ales Cerny and Igor Melichercik. March 2020. PDF (470KB). The link to the published version here can be found here: https://doi.org/10.1016/j.ejor.2019.12.032**4. PI-2004.**One size fits all: How many default funds does a pension scheme need? David Blake, Mel Duffield, Ian Tonks, Alistair Haig, Dean Blower & Laura MacPhee. February 2020. PDF ( 731KB)**3. PI-2003.**Grouping Individual Investment Preferences in Retirement Savings: A Cluster Analysis of a USS Members Risk Attitude Survey. David Blake, Mel Duffield, Ian Tonks, Alistair Haig, Dean Blower & Laura MacPhee. February 2020. PDF. (932KB).**2. PI-2002**. CBDX: A Workhorse Mortality Model from the Cairns-Blake-Dowd Family. Kevin Dowd, Andrew J.G. Cairns & David Blake . January 2020. PDF. (1MB).**1. PI-2001**. Insight into Stagnating Life Expectancy: Analysing Cause of Death Patterns across Socio-economic Groups. Malene Kallestrup-Lamb, Soren Kjaergaard & Carsten P.T. Rosenskjold. January 2020. PDF. (430KB).

### 2019

**12. PI-1912**. Quantifyng Loss Aversion: Evidence from a UK Population Survey. David Blake, Edmund Cannon and Douglas Wright. July 2021. PDF. Press Release.**11. PI-1911**. The Valuation of No-Negative Equity Guarantees and Equity Release Mortgages. Kevin Dowd, David Blake, Dean Buckner and John Fry. September 2019. PDF. (985KB).**10.PI-1910**. Closed-form Solutions for an Explicit Modern Ideal Tontine with Bequest Motive. John Dagpunar. August 2019. PDF. (799KB).**9.PI-1909.**On the Projection of Mortality Rates to Extreme Old Age. Kevin Dowd and David Blake. December 2019. PDF. (497KB).**8**.**PI-1908**. Longevity Risk and Capital Markets: The 2017-18 Update. David Blake, Richard MacMinn, Jason Chenghsien Tsai and Jennifer Wang. December 2018. PDF. (581KB)**7.PI-1907.**A Simple Approach to Projecting Extreme Old Age Mortality Rates and Value Mortality-Related Financial Instruments. Kevin Dowd, Andrew J.G. Cairns and David Blake. December 2019. PDF. (131KB).**6.PI-1906.**Deaths in England and Wales are falling – does the austerity theory still apply? Rodney P. Jones. May 2019. PDF (384KB).**5.PI-1905.**How on/off Switching in Deaths Creates Periods of Unexplained Higher Life Insurance Costs. Rodney P. Jones. April 2019. PDF (216KB).**4.PI-1904**. How do CDC Schemes Qualify under the IORP II Directive? P. Bennett and H. van Meerten. PDF. (463KB).**3.PI-1903.**Pension De-Risking and Firm Risk: Traditional versus Innovative Strategies. Zezeng Li and Alper Kara. April 2019. PDF. (486KB).**2.PI-1902**. The Case of Pension Funds Evolution and Reforms in South Africa: Shift from PAYG to FF. Nthabiseng Moleko and Sylvanus Ikhide. March 2019. PDF (271KB).**1.PI-1901**. The Impact of Deferral and Adverse Selection on the Actuarial Fairness and Cost Neutrality of the UK State Pension. John Dagpunar. February 2019. PDF (808KB).

### 2018

**6.PI-1806.**Longevity Risk and Capital Markets: The 2016-17 Update. David Blake and Richard MacMinn. August 2018. PDF. (104KB)**5.PI-1805.**Longevity: A New Asset Class. David Blake. June 2018. PDF (986KB). Link to the published paper.**4.PI-1804**. Still Living with Mortality: The Longevity Risk Transfer Market after One Decade. David Blake, Andrew Cairns, Kevin Dowd & Amy Kessler. January 2018. PDF. (107MB)**3.PI-1803**Apples and oranges: a comparison of the key features of the legislative and regulatory framework for UK and Dutch defined benefit pension schemes (including Dutch CDC Schemes). Philip Bennett and Hans Van Meerten. April 2018. PDF. (260KB)**2.PI-1802**Actuarially Fair Accrual Rates and Deferral of the UK State Pension. John Dagpunar. February 2018. PDF. (634KB)**1.PI-1801**The Legal Differences between CIDC and CDC. Hans van Meerten and Elmar Schmidt. February 2018. PDF. (209KB)

### 2017

**5.PI-1705**Can sustainable withdrawal rates be enhanced by trend following? Andrew Clare, James Seaton, Peter N Smith & Stephen Thomas. July 2017. PDF (764KB)- 4.
**PI-1704**Longevity Risk and Capital Markets: The 2015-16 Update. David Blake, Nicole El Karoui, Richard MacMinn and Stephane Loisel. September 2017. PDF (441KB) **3.PI-1703**Optimum Strategies for UK state Pension Deferral with Particular Reference to Partners Right to Inherit Benefits. John Dagpunar. August 2017. PDF. (745KB)**2.PI-1702**. Longevity Risk and Capital Markets: The 2014-15 update. David Blake and Marco Morales. (February 2017). PDF. (288KB)**1.PI-1701.**How to measure and compare pension expenditures in cross-country analyses? Some methodological remarks. Edyta Marcinkiewicz and Filip Chybalski. (March 2017). PDF. (887KB).

### 2016

**9.PI-1609.**Network Centrality and Delegated Investment Performance**.**Alberto G Rossi, David Blake, Allan Timmermann, Ian Tonks & Russ Wermers. (December 2016) PDF. (2.65MB).**8.PI-1608**. Pension Funds Evolution, Reforms and Trends in South Africa. Nthabiseng Moleko and Sylvanus Ikhide. (October 2016). PDF. (410KB).**7.PI-1607.**The Cost and Value of Defined Benefit Pension Schemes, and the Implications for Defined Contribution Pension Provision. Paul Sweeting. (October 2016). PDF. (1000KB).**6.PI-1606**. Sequencing, Perfect Withdrawal Rates and Trend Following Investing Strategies: Making the Decumulation Experience more Predictable. Andrew Clare, James Seaton, Peter N. Smith and Stephen Thomas (July 2016). PDF. (1.46MB).**5. PI-1605**.**Human Longevity and Implications for Social Security Actuarial Status**. Steven Goss, Karen Glenn, Michael Morris, K. Mark Bye and Felicitie Bell. (June 2016). PDF (407KB).**4. PI-1604**Modelling Socio-Economic Differences in the Mortality of Danish Males using a New Affluence Index. Andrew Cairns, Malene Kallestrup-Lamb, Carsten Rosenskjold, David Blake and Kevin Dowd. (February 2017). PDF (717KB).**3.PI-1603**. Paying for Care Cost Later in Life Using the Value in People’s Homes. Les Mayhew, David Smith and Duncan O’Leary. (April 2016) PDF (347KB)**2.PI-1602**. Forward Mortality Rates in Discrete Time II: Longevity Risk and Hedging Strategies. Andrew Hunt and David Blake. (January 2016). PDF (965KB)**1. PI-1601**. Basis Risk and Pension Schemes: A Relative Modelling Approach. Andrew Hunt and David Blake. (January 2016). PDF (671KB)

### 2015

**12.PI-1512**.**Pension Pots and how to survive them.**Les Mayhew, David Smith and Doulas Wright. (November 2015). PDF (546kb)**11. PI-1511**. Forward Mortality Rates in DiscreteTime I: Calibration and Securities Pricing. Andrew Hunt and David Blake. (September 2015). PDF (433KB)**10. PI-1510**. A Bayesian Approach to Modelling and Projecting Cohort Effects. Andrew Hunt and David Blake. (September 2015). PDF (840KB)**9.PI-1509.**Identifiablity in Age/Period/Cohort Mortality Models. Andrew Hunt and David Blake. (September 2015). PDF (450KB)**8.PI-1508**. Identifiablity in Age/Period Mortality Models. Andrew Hunt and David Blake. (July 2015). PDF (544KB)**7.PI-1507**The Multidimensional Efficiency of Pension System. Definition and Measurement in Cross-Country Studies. Filip Chybakski. (June 2015). PDF. (831KB)**6.PI-1506**On the Structure and Classification of Mortality Models. Andrew Hunt and David Blake. (August 2015). PDF. (299KB)**5.PI-1505**Identifiability, Cointegration and the Gravity Model. Andrew Hunt & David Blake. (July 2017). PDF 310KB)- 4.
**PI-1504**Modelling Longevity Bonds: Analysing the Swiss Re Kortis Bond. Andrew Hunt & David Blake. (May 2015). PDF (1.01MB). ‘Kortis update’ **3. PI-1503**. Does the professional activity of older workers contribute to youth unemployment? A cross-section study of European countries. Filip Chybalski & Edyta Marcinkiewicz. (June 2015). PDF. (535KB)**2. PI-1502**. Longevity Risk and Capital Markets: The 2013-14 Update. Ken Seng Tang, David Blake and Richard MacMinn. (April 2015). PDF. (487KB)**1. PI-1501**. The Replacement Rate: An Imperfect Indicator of Pension Adequacy in Cross Country Analyses. Filip Chybalski & Edyta Marcinkiewicz. (February 2015). PDF. (425KB)

### 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. (319KB)**10. PI-1410**Phantoms Never Die: Living with Unreliable Population Data. Andrew Cairns, David Blake, Kevin Dowd & Amy Kessler. (Published in Journal of the Royal Statistical Society, Series A, 2016). PDF (1.50MB)**9.PI-1409**The Consequences of Not Having to Buy an Annuity. David Blake. (June 2014). PDF (479KB)**8.PI-1408**The Market for Lemmings: The Investment Behavior of Pension Funds. David Blake, Lucio Sarno and Gabriele Zinna. (December 2016). PDF (698KB)**7.PI-1407**On the Disclosure of the Cost of Investment Management. David Blake. (May 2014). PDF (251KB)**6.PI-1406**A Parsimonious Approach to Stochastic Mortality Modelling with Dependent Residuals. George Mavros, Andew Cairns, Torsten Kleinow & George Streftaris. (May 2014).**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 (676KB)**4.PI-1404**New Evidence on Mutual Fund Performance: A Comparison of Alternative Bootstrap Methods. David Blake, Tristan Caulfield, Christos Ioannides & Ian Tonks. (February 2017). PDF. Appendix (574KB)**3. PI-1403**Mental Time Travel and the Valuation of Financial Investments. David Blake and John Pickles. (January 2021). PDF. (300KB)**2.PI-1402**A Multivariate Model of Strategic Asset Allocation with Longevity Risk. Carlo Favero and Claudia Tebaldi. (February 2014). PDF. (522KB)**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 (423KB)

**2013**

**7. PI-1307**Private Infrastructure Finance and Investment in Europe**.**George Inderst. (June 2013) PDF(1022KB)**6. PI-1306**Long Term Care and Longevity. Christian Gourieroux and Yang Lu (November 2013) PDF (690KB)**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 (608KB)**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 (3KB)**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 Rish 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**A Piecewise Linear Cohort Extension to the Cairns-Blake-Dowd Model. P.J. Sweeting and Y. Zhao (November 2016) 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 PlannersDavid 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**Fund flows, manager change and performance persistence. Wolfgang Bessler, David Blake, Peter Lückoff and Ian Tonks (May 2017) PDF (636KB)**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 Christian 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 DeWaegenaere, 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. Turnerand 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, CzechRepublic 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, David Blake and Zhen Shi. (January 2015) PDF (307KB)**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, Sylvster 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 Andrew .J.G. Cairns (July 2016) PDF (536KB)**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.**Stochastic Mortality Under Measure Changes. Enrico Biffis, Michel Denuit and Pierre Devolder (September 2009) PDF (467KB)**PI-0512****11.**Employee Attitudes to Pensions: Evidence From Focus Groups. Alistair Byrne and Bill Rhodes (October 2005) PDF (89KB)**PI-0511****10.**Investment Practice – Full Circle? Alistair Ross Gooby (October 2005) PDF (65KB)**PI-0510****9.**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)**PI-0509****8.**Pricing Risk on Longevity Bonds. Andrew Cairns, David Blake, Paul Dawson, Kevin Dowd (October 2005) PDF (336KB)**PI-0508****7.**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)**PI-0507****6.**Pensions taxation and retirement incomes in New Zealand. Susan St John (July 2005) PDF (572KB)**PI-0506****5.**Barriers to pension scheme participation in small-and medium-sized enterprises Alistair Byrne, David Blake and Debbie Harrison (March 2005) PDF (142KB)**PI-0505****4.**Socially Responsible Investment by trustees of charities and occupational pension funds (SRI) Paul Palmer (January 2005) PDF (112KB)**PI-0504****3.**Why People Don’t Choose Private Pensions: The Impact of ‘Contagion’**PI-0503**

Bernard H Casey (December 2004) PDF (177KB)**2.**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)**PI-0502****1.**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)**PI-0501**

### 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 andthe 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 Economics 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. PDF. (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 Deliverint 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).