Selected publications and preprints (most recent first)

• Dowd, K., Blake, D., and Cairns, A.J.G. (2010) Facing up to Uncertain Life Expectancy: The Longevity Fan Charts. Demography 47: 67-78.
• Blake, D., Boardman, T., and Cairns, A.J.G. (2010) Sharing Longevity Risk: Why Governments Should Issue Longevity Bonds PDF file.
• Cairns, A.J.G., Blake, D., Dowd, K., Coughlan, G.D., and Khalaf-Allah, M. (2010) Bayesian Stochastic Mortality Modelling for Two Populations. Working Paper, Heriot-Watt University. PDF file.
• Dawson, P., Dowd, K., Cairns, A.J.G., and Blake, D. (2009) Survivor Derivatives: A Consistent Pricing Framework. To appear in Journal of Risk and Insurance.
• MacDonald, B.-J. and Cairns, A.J.G., (2009) Getting feedback on defined contribution pension plans. Journal of Risk and Insurance. 76(2): 385-417. (PDF file.) [Original version: 10/2006]
• Blake, D., Cairns, A.J.G. and Dowd, K. (2009) Designing a defined-contribution pension plan: what to learn from aircraft designers. Financial Analysts Journal, 65(1): 37-42.
• Cairns, A.J.G., Blake, D., Dowd, K., Coughlan, G.D., Epstein, D., Ong, A., and Balevich, I. (2009) A quantitative comparison of stochastic mortality models using data from England and Wales and the United States.
  • North American Actuarial Journal 13(1): 1-35. (Reprint.)
    Copyright 2009 by the Society of Actuaries, Schaumburg, Illinois. Reprinted with permission.
  • Longer version (preprint, 2007) (PDF file.)
• Blake, D., Cairns, A.J.G., and Dowd, K. (2008) The birth of the life market.Alternative Investment Quarterly. (PDF)
• Dowd, K., Cairns, A.J.G., Blake, D., Coughlan, G.D., Epstein, D., and Khalaf-Allah, M. (2008) Backtesting Stochastic Mortality Models: An Ex-Post Evaluation of Multi-Period-Ahead Density Forecasts. Working Paper.
• Dowd, K., Cairns, A.J.G., Blake, D., Coughlan, G.D., Epstein, D., and Khalaf-Allah, M. (2008) Evaluating the Goodness of Fit of Stochastic Mortality Models. Working Paper.
• MacDonald, B.-J. and Cairns, A.J.G., (2008) Three Retirement Models for Defined Contribution Pension Plan Members: A Simulation Study. Preprint. (PDF file.)
• Blake, D., Cairns, A.J.G., and Dowd, K. (2008) Longevity risk and the grim reaper's toxic tail: the survivor fan charts. Insurance: Mathematics and Economics, 42: 1062-1066
• Cairns, A.J.G., Blake, D., Dowd, K., Coughlan, G.D., Epstein, D., and Khalaf-Allah, M. (2008) Mortality density forecasts: an analysis of six stochastic mortality models. Working Paper. (PDF file.)
• Cairns, A.J.G., Blake, D., Dowd, K. (2008) Modelling and management of mortality risk: a review. Scandinavian Actuarial Journal 2008(2-3): 79-113. (PDF file.)
• Cairns, A.J.G., (2007) A Multifactor Generalisation of the Olivier-Smith Model for Stochastic Mortality. In Proceedings of the 1st IAA Life Colloquium, Stockholm, 2007. (PDF file.)
• Byrne, A., Blake, D., Cairns, A., and Dowd, K. (2007) Default funds in UK defined-contribution plans. Financial Analysts Journal 64(4): 40-51.
• Blake, D., Cairns, A.J.G., and Dowd, K. (2007) The Impact of Occupation and Gender on the Pensions from Defined Contribution Plans, Geneva Papers on Risk and Insurance, 32: 458-82 (.)
• MacDonald, B.-J. and Cairns, A.J.G., (2007) The impact of DC pension systems on population dynamics. North Americal Actuarial Journal 11(1): 17-48. (PDF file.)
  Copyright 2007 by the Society of Actuaries, Schaumburg, Illinois. Reprinted with permission.
  (A previous version of this paper under the title "DC pension plans for all: What if" was presented at the AFIR Colloquium in Zurich, September 2005.)
• Byrne, A., Blake, D., Cairns, A.J.G., and Dowd, K. (2006) There's no time like the present: the cost of delaying retirement saving. Financial Services Review 15: 213-231.
• Blake, D., Cairns, A.J.G.,, Dowd, K., and MacMinn, R. (2006) Longevity Bonds: Financial Engineering, Valuation and Hedging. Journal of Risk and Insurance, 73: 647-672.
• Cairns, A.J.G., Blake, D., and Dowd, K., (2006) Stochastic Lifestyling: Optimal Dynamic Asset Allocation for Defined Contribution Pension Plans Journal of Economic Dynamics and Control 30(5): 843-877. (Please e-mail me for a reprint.)
• Blake, D., Cairns, A.J.G., and Dowd, K. (2006) Living with mortality: longevity bonds and other mortality-linked securities British Actuarial Journal 12: 153-197.
  Discussed at the Faculty of Actuaries on 16 January, 2006 and at the Institute of Actuaries on 27 February, 2006. (PDF file.)
• Cairns, A.J.G., Blake, D., and Dowd, K., (2006) Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk ASTIN Bulletin, 36: 79-120. (PDF file.)
  Earlier version in Proceedings of the International AFIR Colloquium, Boston, November 2004, pages 509-540:
  
  • Cairns, A.J.G., Blake, D., and Dowd, K., (2004) Pricing Frameworks for Securitization of Mortality Risk Preprint, 32 pages: (PDF file.)
• Dowd, K., Blake, D., Cairns, A.J.G., and Dawson, P. (2006) Survivor swaps. Journal of Risk and Insurance, 73: 1-17.
• Dowd, K., Blake, D., and Cairns, A. J. G., (2006) The Grave Problem of Longevity Risk. Financial Engineering News, No. 49, May-June 2006, pp. 19, 30.
• Cairns, A.J.G., 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.
  • Revised version 28/6/2006: (PDF file.) to appear in Journal of Risk and Insurance.
  • Version 1: (PDF file.)
• Dowd, K. Cairns, A.J.G., and Blake, D. (2006) Mortality-dependent financial risk measures. Insurance: Mathematics and Economics 38: 427-440. (Please e-mail me for a reprint.)
• Huang, H.-C., and Cairns, A.J.G. (2005) On the control of defined-benefit pension plans. Insurance: Mathematics and Economics. 38: 113-131. (Please e-mail me for a reprint.)
• Dowd, K., Blake, D., and Cairns, A.J.G.PensionMetrics: designing defined-contribution pension plans. Risk May 2005: 81-82.
• Cairns, A.J.G., Blake, D., Dawson, P., and Dowd, K., (2005) Pricing the Risk on Longevity Bonds. Life and Pensions October: 41-44. (PDF file.)
• Cairns, A.J.G., and Garcia Rosas, S.A. (2003) A Family Of Term-structure Models with Stochastic Volatility Preprint, 24 pages. (PDF file.)
• Cairns, A.J.G., (2004) A family of term-structure models for long-term risk management and derivative pricing Mathematical Finance, 14: 415-444. (PDF file.)
• Huang, H-C., and Cairns, A.J.G., (2004) Valuation and Hedging of Limited Price Indexed Liabilities. British Actuarial Journal, 10: 627-663. (Please e-mail me for a reprint.)
  
• Cairns, A.J.G. (2004) Pension-Fund Mathematics. To appear in the Encyclopaedia of Actuarial Science. (PDF file)
• Cairns, A.J.G. (2004) Interest-Rate Models To appear in the Encyclopaedia of Actuarial Science. (PDF file)
• Blake, D., Cairns, A.J.G., and Dowd, K., (2003) Pensionmetrics II: Stochastic pension plan design during the distribution phase. Insurance: Mathematics and Economics 33: 29-47. (Please e-mail me for a reprint.)
  (PDF file.)
• Cairns, A.J.G., (2001) From financial economics to fair valuation. In Proceedings of the 11th International AFIR Colloquium, Toronto, September 2001, Volume 1, pp135-166. (PDF file )
  
• Blake, D., Cairns, A.J.G., and Dowd, K., (2001) Pensionmetrics: Stochastic pension plan design and value-at-risk during the accumulation phase. Insurance: Mathematics and Economics, 29: 187-215. (Please e-mail me for a reprint.)
  (PDF file.)
• Cairns, A.J.G., and Pritchard, D.J., (2001) Stability of descriptive models for the term structure of interest rates with application to German market data. British Actuarial Journal 7: 467-507. (PDF file - 342 Kb)
• Cairns, A.J.G., Blake, D., and Dowd, K., (2000) Optimal dynamic asset allocation for defined-contribution pension plans (Preprint - updated 6/11/2000) 25 pages. (PDF file )
  An earlier version appears in Proceedings of the 10th AFIR Colloquium, Tromsoe, June, 2000, pp131-154.
  A substantially updated version of this paper appears above as "Stochastic lifestyling ....".
  
• Cairns, A.J.G., (2000) A multifactor model for the term structure and inflation for long-term risk management with an extension to the equities market. Preprint 31 pages. (PDF file - 367 Kb)
  (An earlier version of this paper appears in Proceedings of the 9th AFIR Colloquium, Tokyo, August, 1999, Volume 3: 93-113.)
• Cairns, A.J.G., (2000) A Discussion of Parameter and Model Uncertainty in Insurance Insurance: Mathematics and Economics, 27: 313-330. (Reprints) (PDF file.)
• Cairns, A.J.G., (2000) Some notes on the dynamics and optimal control of stochastic pension fund models in continuous time ASTIN Bulletin 30: 19-55. (Please e-mail me for a reprint or they can be downloaded from the ASTIN Bulletin website.)
  ERRATUM: PDF file.
• Head, S.J., Adkins, D., Cairns, A.J.G., Corvesor, A., Cule, D., Exley, J., Johnson, I., Spain, J., and Wise, A. (2000) Pension fund valuations and market values. (Discussed at sessional meetings of the Institute of Actuaries, October 1999 and the Faculty of Actuaries, November, 2000.) British Actuarial Journal, 6: 55-118 (with discussion on pages 119-141). (PDF file WARNING 32 MB - may take ages to download!)
• Cairns, A.J.G., (1999) An analysis of the level of security provided by the Minimum Funding Requirement British Actuarial Journal, 5: 585-610. (PDF file)
• Cairns, A.J.G., Dickson, D.C.M., Macdonald, A.S., Waters, H.R., and Willder, M., (1998) Stochastic processes: learning the language. (Presented to the Faculty of Actuaries Students' Society, November, 1998.) (PDF file - 1.1 Mb!!!!) (postscript file)
• Cairns, A.J.G., (1998) Descriptive bond-yield and forward-rate models for the British government securities' market. (with discussion) British Actuarial Journal, 4(2): 265-321 and 350-383. (PDF - 1.88Mb !)
• Feldman, K.S., Bergman, B., Cairns, A.J.G., Chaplin, G.B., Gwilt, G.D., Lockyer, P.R., and Turley, F.B., (1998) Report of the Fixed Interest Working Group. (with discussion) British Actuarial Journal 4(2): 213-263 and 350-383.
• Macdonald, A.S., Cairns, A.J.G., Gwilt, P.L., and Miller, K.A., (1998) An international comparison of recent trends in population mortality. British Actuarial Journal 4: 3-141. (Please e-mail me for a reprint.)
• Cairns, A.J.G., and Parker, G., (1997) Stochastic pension fund modelling. Insurance: Mathematics and Economics, 21: 43-79. (Please e-mail me for a reprint or from the IME website.)
• Cairns, A.J.G., Sensitivity analysis of epidemic models, (1998) in The Encyclopaedia of Biostatistics, Volume 5, pages 4056-4069, Wiley.
• Cairns, A.J.G., (1996) Continuous-Time Pension-Fund Modelling in Proceedings of the 6th AFIR Colloquium, Nuremberg, October 1996, 1: 609-624. (PDF copy)
  (See also the paper Some Notes on Stochastic Pension Fund Models in Continuous Time above.)
• Cairns, A.J.G., (1994) An introduction to stochastic pension fund modelling. (Paper for the Vancouver Interest Rate Risk Workshop) (PDF copy).
• Cairns, A.J.G., (1995) Pension funding in a stochastic environment: the role of objectives in selecting an asset allocation strategy. Proceedings of the 5th AFIR International Symposium, Brussels, 1: 429-453. (PDF copy).
• Cairns, A.J.G., The present value of a series of cash flows: convergence in a random environment. ASTIN Bulletin, 25: 81-94, 1995. (Please e-mail me for a reprint.)
• Cairns, A.J.G., (1995) Primary components of epidemic models, in Epidemic Models editor D.Mollison, Cambridge University Press, pages 350-371.
• Cairns, A.J.G., (1991) Model fitting and projection of the AIDS epidemic, Mathematical Biosciences, 107: 451-489.
• Cairns, A.J.G., (1990) Epidemics in heterogeneous populations II: non-exponential incubation periods and variable infectiousness, IMA Journal of Mathematics Applied in Medicine and Biology, 7: 219-230.
• Cairns, A.J.G., (1989) Epidemics in heterogeneous populations: aspects of optimal vaccination policies, IMA Journal of Mathematics Applied in Medicine and Biology, 6: 137-159.