Andrew Cairns
Title
Cited by
Cited by
Year
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
9732006
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
6802009
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
4512006
Living with mortality: Longevity bonds and other mortality-linked securities
D Blake, AJG Cairns, K Dowd
British Actuarial Journal 12 (1), 153-197, 2006
4212006
Interest rate models: an introduction
AJG Cairns
Princeton University Press, 2018
3392018
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
3262006
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
3172011
Portfolio constraints and the fundamental law of active management
R Clarke, H De Silva, S Thorley
Financial Analysts Journal 58 (5), 48-66, 2002
317*2002
Modelling and management of mortality risk: a review
AJG Cairns, D Blake, K Dowd
Scandinavian Actuarial Journal 2008 (2-3), 79-113, 2008
3082008
Survivor swaps
K Dowd, D Blake, AJG Cairns, P Dawson
Journal of Risk and Insurance 73 (1), 1-17, 2006
2752006
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
2572006
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
2352003
Bayesian stochastic mortality modelling for two populations
AJGB CAIRNS, D Blake, K Dowd, GD Coughlan, M Khalaf-Allah
ASTIN Bulletin-Actuarial Studies in non LifeInsurance 41 (1), 29, 2011
2302011
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
2222001
A discussion of parameter and model uncertainty in insurance
AJG Cairns
Insurance: Mathematics and Economics 27 (3), 313-330, 2000
1992000
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
1902000
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
1752010
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
1532010
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
1492011
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
1422011
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