Who are we?
The principals of PensionMetrics are two pensions academics who have worked on pension issues for more than 50 years in total:
The PensionMetrics software was designed by two academics who have worked on pension issues for more than 50 years in total:
Professor David Blake is Director of the Pensions Institute:
Professor David Blake is Director of the Pensions Institute:
- Brings expertise in pensions and financial economics
Professor Kevin Dowd is Professor of Finance and Economics at Durham University Business School
- Brings expertise in modelling, finance and risk management ;
We (in association with Professor Andrew J. G. Cairns) are:
The PensionMetrics model is based on decades’ work of scientific research carried out by the PensionMetrics principals and their collaborators. The results of this research have been published in major scientific research journals in the fields of pensions, financial economics and actuarial science.
This research covers the following topics:
- Inventors of the PensionMetrics model
- Inventors of the stochastic lifestyling asset allocation strategy
- Inventors of the Cairns-Blake-Dowd stochastic mortality model
- Designed the first calibrated mortality and longevity fan charts
- Inventors of longevity bonds, longevity swaps and other longevity derivatives
- Worked with LifeMetrics team at JPMorgan to design the foundations of the new Life Market.
The PensionMetrics model is based on decades’ work of scientific research carried out by the PensionMetrics principals and their collaborators. The results of this research have been published in major scientific research journals in the fields of pensions, financial economics and actuarial science.
This research covers the following topics:
- Our PensionMetrics research studies
- Our behavioural research studies
- Our research studies on longevity risk
- Our research studies on pension fund performance
Our PensionMetrics research studies
- Blake, D., Cairns, A., and Dowd, K. (2001) PensionMetrics: Stochastic Pension Plan Design and Value-at-Risk during the Accumulation Phase. Insurance: Mathematics & Economics, 29, 187-215.
- Blake, D., Cairns, A., and Dowd, K. (2003) PensionMetrics 2: Stochastic Pension Plan Design during the Distribution Phase, Insurance: Mathematics & Economics, 33, 29-47.
- Blake, D., Cairns, A., and Dowd, K. (2003) The Impact of Occupation and Gender on Pensions from Defined Contribution Plans, The Geneva Papers on Risk & Insurance, 32, 458–482.
- Cairns, A., Blake, D., and Dowd, K. (2006) Stochastic Lifestyling: Optimal Dynamic Asset Allocation for Defined Contribution Pension Plans, Journal of Economic Dynamics & Control, 30, 843–877.
- Blake, D., Cairns, A., and Dowd, K. (2009) Designing a Defined-Contribution Plan: What to Learn from Aircraft Designers, Financial Analysts Journal, 65, 37–42.
- Blake, D., Wright, D, and Zhang, Y. (2014) Age-dependent investing: Optimal funding and investment strategies in defined contribution pension plans when members are rational lifecycle financial planners, Journal of Economic Dynamics & Control, 38, 105-124.
- Harrison, D., D. Blake and K. Dowd, Caveat Venditor: the Brave New World of Auto-Enrolment Should Be Governed by the Principle of Seller Not Buyer Beware. Pensions Institute Report October 2012.
- Harrison, D., D. Blake and K. Dowd, VfM: Assessing Value for Money in Defined Contribution Default Funds. Pensions Institute Report January 2014.
- Dowd, K., and D. Blake, “Good Practice Principles in Modeling Defined-Contribution Pension Plans.” (Pensions Institute Discussion Paper 1302, March 2013.
Our behavioural research studies
- Byrne, A., Blake, D., and Harrison, D. (2008) Defined Contribution Pensions: Dealing with the Reluctant Investor, Journal of Financial Regulation and Compliance, 16:3, 206-19.
- Byrne, A., Blake, D., and Mannion, G. (2010) Pension Plan Decisions, Review of Behavioral Finance, 2, 19-36.
- Blake, D., and Boardman, T. (2013) Spend More Today Safely: Using Behavioural Economics to Improve Retirement Expenditure Solutions , Risk Management & Insurance Review, 17, 83-112
- Blake, D., Wright, D, and Zhang, Y. (2013) Target-Driven Investing: Optimal Investment Strategies in Defined Contribution Pension Plans under Loss Aversion, Journal of Economic Dynamics & Control, 37, 195–209
Our research studies on longevity risk
- Blake, D., and Burrows, W. (2001) Survivor Bonds: Helping to Hedge Mortality Risk, Journal of Risk and Insurance, 68, 339-348.
- Blake, D., Cairns, A., Dowd, K., and MacMinn, R. (2006) Longevity Bonds: Financial Engineering, Valuation & Hedging, Journal of Risk and Insurance, 73, 647-72.
- Dowd, K., Blake, D., Cairns, A., and Dawson., P. (2006) Survivor Swaps, Journal of Risk and Insurance, 73, 1-17.
- Cairns, A., Blake, D., and Dowd, K. (2006) A Two-Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration, Journal of Risk and Insurance, 73, 687-718.
- Dowd, K., Blake, D., and Cairns, A. (2010) Facing Up to Uncertain Life Expectancy: The Longevity Fan Charts, Demography, 47, 67-78.
Our research studies on pension fund performance
- Blake, D., Timmermann, A., and Lehmann, B. (1999) Asset Allocation Dynamics and Pension Fund Performance, Journal of Business, 72, 429-62.
- Blake, D., Timmermann, A., and Lehmann, B. (2002) Performance Clustering and Incentives in the UK Pension Fund Industry, Journal of Asset Management, 3, 173-194.
- Timmermann, A., and Blake, D. (2005) International Asset Allocation with Time-Varying Investment Opportunities, Journal of Business, 78, 71-98.
- Blake, D., and Timmermann, A. (2005) Returns from Active Management in International Equity Markets: Evidence from a Panel of UK Pension Funds, Journal of Asset Management, 6, 5-20.
- Blake, D., Rossi, A., Timmermann, A., Tonks, I., and Wermers, R. (2013) Decentralized Investment Management: Evidence from the Pension Fund Industry, Journal of Finance, 68, 1133-1178.