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Andrew Cairns
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A two‐factor model for stochastic mortality with parameter uncertainty: theory and calibration
AJG Cairns, D Blake, K Dowd
Journal of Risk and Insurance 73 (4), 687-718, 2006
11702006
A quantitative comparison of stochastic mortality models using data from England and Wales and the United States
AJG Cairns, D Blake, K Dowd, GD Coughlan, D Epstein, A Ong, I Balevich
North American Actuarial Journal 13 (1), 1-35, 2009
8282009
Pricing death: Frameworks for the valuation and securitization of mortality risk
AJG Cairns, D Blake, K Dowd
ASTIN Bulletin: The Journal of the IAA 36 (1), 79-120, 2006
4892006
Living with mortality: Longevity bonds and other mortality-linked securities
D Blake, AJG Cairns, K Dowd
British Actuarial Journal 12 (1), 153-197, 2006
4302006
Mortality density forecasts: An analysis of six stochastic mortality models
AJG Cairns, D Blake, K Dowd, GD Coughlan, D Epstein, M Khalaf-Allah
Insurance: Mathematics and Economics 48 (3), 355-367, 2011
3772011
Interest rate models: an introduction
AJG Cairns
Princeton University Press, 2004
3652004
Stochastic lifestyling: Optimal dynamic asset allocation for defined contribution pension plans
AJG Cairns, D Blake, K Dowd
Journal of Economic Dynamics and Control 30 (5), 843-877, 2006
3612006
Modelling and management of mortality risk: a review
AJG Cairns, D Blake, K Dowd
Scandinavian Actuarial Journal 2008 (2-3), 79-113, 2008
3592008
Survivor swaps
K Dowd, D Blake, AJG Cairns, P Dawson
Journal of Risk and Insurance 73 (1), 1-17, 2006
3012006
Bayesian stochastic mortality modelling for two populations
AJG Cairns, D Blake, K Dowd, GD Coughlan, M Khalaf-Allah
ASTIN Bulletin: The Journal of the IAA 41 (1), 29-59, 2011
2772011
Pensionmetrics 2: Stochastic pension plan design during the distribution phase
D Blake, AJG Cairns, K Dowd
Insurance: Mathematics and Economics 33 (1), 29-47, 2003
2582003
Longevity bonds: financial engineering, valuation, and hedging
D Blake, A Cairns, K Dowd, R MacMinn
Journal of Risk and Insurance 73 (4), 647-672, 2006
2542006
Pensionmetrics: stochastic pension plan design and value-at-risk during the accumulation phase
D Blake, AJG Cairns, K Dowd
Insurance: Mathematics and Economics 29 (2), 187-215, 2001
2362001
A discussion of parameter and model uncertainty in insurance
AJG Cairns
Insurance: Mathematics and Economics 27 (3), 313-330, 2000
2182000
Some notes on the dynamics and optimal control of stochastic pension fund models in continuous time
A Cairns
ASTIN Bulletin: The Journal of the IAA 30 (1), 19-55, 2000
2072000
Backtesting stochastic mortality models: an ex post evaluation of multiperiod-ahead density forecasts
K Dowd, AJG Cairns, D Blake, GD Coughlan, D Epstein, M Khalaf-Allah
North American Actuarial Journal 14 (3), 281-298, 2010
2052010
A gravity model of mortality rates for two related populations
K Dowd, AJG Cairns, D Blake, GD Coughlan, M Khalaf-Allah
North American Actuarial Journal 15 (2), 334-356, 2011
1822011
Evaluating the goodness of fit of stochastic mortality models
K Dowd, AJG Cairns, D Blake, GD Coughlan, D Epstein, M Khalaf-Allah
Insurance: Mathematics and Economics 47 (3), 255-265, 2010
1712010
Longevity hedging 101: A framework for longevity basis risk analysis and hedge effectiveness
GD Coughlan, M Khalaf-Allah, Y Ye, S Kumar, AJG Cairns, D Blake, ...
North American Actuarial Journal 15 (2), 150-176, 2011
1672011
The new life market
D Blake, A Cairns, G Coughlan, K Dowd, R MacMinn
Journal of Risk and Insurance 80 (3), 501-558, 2013
1202013
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