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Cairns, Andrew J. G.

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Author ID: cairns.andrew-j-g Recent zbMATH articles by "Cairns, Andrew J. G."
Published as: Cairns, Andrew J. G.; Cairns, Andrew; Cairns, A. J. G.
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Publications by Year

Citations contained in zbMATH Open

33 Publications have been cited 729 times in 498 Documents Cited by Year
Pricing death frameworks for the valuation and securitization of mortality risk. Zbl 1162.91403
Cairns, Andrew J. G.; Blake, David; Dowd, Kevin
108
2006
Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans. Zbl 1200.91297
Cairns, Andrew J. G.; Blake, David; Dowd, Kevin
74
2006
Modeling and management of mortality risk: a review. Zbl 1224.91048
Cairns, Andrew J. G.; Blake, David; Dowd, Kevin
62
2008
A gravity model of mortality rates for two related populations. Zbl 1228.91032
Dowd, Kevin; Cairns, Andrew J. G.; Blake, David; Coughlan, Guy D.; Khalaf-Allah, Marwa
62
2011
Some notes on the dynamics and optimal control of stochastic pension fund models in continuous time. Zbl 1018.91028
Cairns, Andrew
57
2000
Interest rate models: an introduction. Zbl 1140.91039
Cairns, Andrew J. G.
44
2004
A discussion of parameter and model uncertainty in insurance. Zbl 0971.62063
Cairns, Andrew J. G.
41
2000
Evaluating the goodness of fit of stochastic mortality models. Zbl 1231.91179
Dowd, Kevin; Cairns, Andrew J. G.; Blake, David; Coughlan, Guy D.; Epstein, David; Khalaf-Allah, Marwa
40
2010
Pensionmetrics 2: Stochastic pension plan design during the distribution phase. Zbl 1043.62086
Blake, David; Cairns, Andrew J. G.; Dowd, Kevin
38
2003
Longevity hedge effectiveness: a decomposition. Zbl 1294.91072
Cairns, Andrew J. G.; Dowd, Kevin; Blake, David; Coughlan, Guy D.
36
2014
Pensionmetrics: Stochastic pension plan design and value-at-risk during the accumulation phase. Zbl 0989.62057
Blake, David; Cairns, Andrew J. G.; Dowd, Kevin
24
2001
Modelling and management of longevity risk: approximations to survivor functions and dynamic hedging. Zbl 1230.91068
Cairns, Andrew J. G.
21
2011
Longevity risk and the Grim Reaper’s toxic tail: The survivor fan charts. Zbl 1141.91485
Blake, David; Dowd, Kevin; Cairns, Andrew J. G.
16
2008
Multi-population mortality models: fitting, forecasting and comparisons. Zbl 1401.62206
Enchev, Vasil; Kleinow, Torsten; Cairns, Andrew J. G.
14
2017
Mortality-dependent financial risk measures. Zbl 1168.91411
Dowd, Kevin; Cairns, Andrew J. G.; Blake, David
12
2006
A computationally efficient algorithm for estimating the distribution of future annuity values under interest-rate and longevity risks. Zbl 1228.91031
Dowd, Kevin; Blake, David; Cairns, Andrew J. G.
11
2011
Stochastic pension fund modelling. Zbl 0919.62118
Cairns, Andrew J. G.; Parker, Gary
10
1997
Sharing longevity risk: why governments should issue longevity bonds. Zbl 1412.91033
Blake, David; Boardman, Tom; Cairns, Andrew
8
2014
Epidemics in heterogeneous populations: Aspects of optimal vaccination policies. Zbl 0687.92010
Cairns, Andrew J. G.
7
1989
Modelling socio-economic differences in mortality using a new affluence index. Zbl 1427.91201
Cairns, Andrew J. G.; Kallestrup-Lamb, Malene; Rosenskjold, Carsten; Blake, David; Dowd, Kevin
6
2019
On the control of defined-benefit pension plans. Zbl 1157.91380
Huang, Hong-Chih; Cairns, Andrew J. G.
6
2006
Optimal dynamic asset allocation for defined contribution pension plans. Zbl 1141.91492
Cairns, Andrew J. G.; Blake, David; Dowd, Kevin
5
2008
A familiy of term-structure models for long-term risk management and derivative pricing. Zbl 1134.60355
Cairns, Andrew J. G.
5
2004
Model fitting and projection of the AIDS epidemic. Zbl 0729.92534
Cairns, Andrew J. G.
4
1991
Small population bias and sampling effects in stochastic mortality modelling. Zbl 1394.91201
Chen, Liang; Cairns, Andrew J. G.; Kleinow, Torsten
4
2017
Basis risk in index-based longevity hedges: a guide for longevity hedgers. Zbl 1467.91137
Cairns, Andrew J. G.; El Boukfaoui, Ghali
3
2021
Primary components of epidemic models. Zbl 0838.92022
Cairns, Andrew
2
1995
Stochastic mortality modeling: key drivers and dependent residuals. Zbl 1414.91219
Mavros, George; Cairns, Andrew J. G.; Streftaris, George; Kleinow, Torsten
2
2017
Factor risk quantification in annuity models. Zbl 1304.91116
Karabey, Uǧur; Kleinow, Torsten; Cairns, Andrew J. G.
2
2014
A quantitative comparison of stochastic mortality models using data from England and Wales and the United States. Zbl 07472689
Cairns, Andrew J. G.; Blake, David; Dowd, Kevin; Coughlan, Guy D.; Epstein, David; Ong, Alen; Balevich, Igor
2
2009
Hedging annuity risks with the age-period-cohort two-population gravity model. Zbl 1461.91243
Dowd, Kevin; Cairns, Andrew J. G.; Blake, David
1
2021
Epidemic estimation with removal time data. Zbl 0751.92013
Cairns, A. J. G.
1
1992
Epidemics in heterogeneous populations. II: Nonexponential incubation periods and variable infectiousness. Zbl 0726.92019
Cairns, Andrew J. G.
1
1990
Basis risk in index-based longevity hedges: a guide for longevity hedgers. Zbl 1467.91137
Cairns, Andrew J. G.; El Boukfaoui, Ghali
3
2021
Hedging annuity risks with the age-period-cohort two-population gravity model. Zbl 1461.91243
Dowd, Kevin; Cairns, Andrew J. G.; Blake, David
1
2021
Modelling socio-economic differences in mortality using a new affluence index. Zbl 1427.91201
Cairns, Andrew J. G.; Kallestrup-Lamb, Malene; Rosenskjold, Carsten; Blake, David; Dowd, Kevin
6
2019
Multi-population mortality models: fitting, forecasting and comparisons. Zbl 1401.62206
Enchev, Vasil; Kleinow, Torsten; Cairns, Andrew J. G.
14
2017
Small population bias and sampling effects in stochastic mortality modelling. Zbl 1394.91201
Chen, Liang; Cairns, Andrew J. G.; Kleinow, Torsten
4
2017
Stochastic mortality modeling: key drivers and dependent residuals. Zbl 1414.91219
Mavros, George; Cairns, Andrew J. G.; Streftaris, George; Kleinow, Torsten
2
2017
Longevity hedge effectiveness: a decomposition. Zbl 1294.91072
Cairns, Andrew J. G.; Dowd, Kevin; Blake, David; Coughlan, Guy D.
36
2014
Sharing longevity risk: why governments should issue longevity bonds. Zbl 1412.91033
Blake, David; Boardman, Tom; Cairns, Andrew
8
2014
Factor risk quantification in annuity models. Zbl 1304.91116
Karabey, Uǧur; Kleinow, Torsten; Cairns, Andrew J. G.
2
2014
A gravity model of mortality rates for two related populations. Zbl 1228.91032
Dowd, Kevin; Cairns, Andrew J. G.; Blake, David; Coughlan, Guy D.; Khalaf-Allah, Marwa
62
2011
Modelling and management of longevity risk: approximations to survivor functions and dynamic hedging. Zbl 1230.91068
Cairns, Andrew J. G.
21
2011
A computationally efficient algorithm for estimating the distribution of future annuity values under interest-rate and longevity risks. Zbl 1228.91031
Dowd, Kevin; Blake, David; Cairns, Andrew J. G.
11
2011
Evaluating the goodness of fit of stochastic mortality models. Zbl 1231.91179
Dowd, Kevin; Cairns, Andrew J. G.; Blake, David; Coughlan, Guy D.; Epstein, David; Khalaf-Allah, Marwa
40
2010
A quantitative comparison of stochastic mortality models using data from England and Wales and the United States. Zbl 07472689
Cairns, Andrew J. G.; Blake, David; Dowd, Kevin; Coughlan, Guy D.; Epstein, David; Ong, Alen; Balevich, Igor
2
2009
Modeling and management of mortality risk: a review. Zbl 1224.91048
Cairns, Andrew J. G.; Blake, David; Dowd, Kevin
62
2008
Longevity risk and the Grim Reaper’s toxic tail: The survivor fan charts. Zbl 1141.91485
Blake, David; Dowd, Kevin; Cairns, Andrew J. G.
16
2008
Optimal dynamic asset allocation for defined contribution pension plans. Zbl 1141.91492
Cairns, Andrew J. G.; Blake, David; Dowd, Kevin
5
2008
Pricing death frameworks for the valuation and securitization of mortality risk. Zbl 1162.91403
Cairns, Andrew J. G.; Blake, David; Dowd, Kevin
108
2006
Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans. Zbl 1200.91297
Cairns, Andrew J. G.; Blake, David; Dowd, Kevin
74
2006
Mortality-dependent financial risk measures. Zbl 1168.91411
Dowd, Kevin; Cairns, Andrew J. G.; Blake, David
12
2006
On the control of defined-benefit pension plans. Zbl 1157.91380
Huang, Hong-Chih; Cairns, Andrew J. G.
6
2006
Interest rate models: an introduction. Zbl 1140.91039
Cairns, Andrew J. G.
44
2004
A familiy of term-structure models for long-term risk management and derivative pricing. Zbl 1134.60355
Cairns, Andrew J. G.
5
2004
Pensionmetrics 2: Stochastic pension plan design during the distribution phase. Zbl 1043.62086
Blake, David; Cairns, Andrew J. G.; Dowd, Kevin
38
2003
Pensionmetrics: Stochastic pension plan design and value-at-risk during the accumulation phase. Zbl 0989.62057
Blake, David; Cairns, Andrew J. G.; Dowd, Kevin
24
2001
Some notes on the dynamics and optimal control of stochastic pension fund models in continuous time. Zbl 1018.91028
Cairns, Andrew
57
2000
A discussion of parameter and model uncertainty in insurance. Zbl 0971.62063
Cairns, Andrew J. G.
41
2000
Stochastic pension fund modelling. Zbl 0919.62118
Cairns, Andrew J. G.; Parker, Gary
10
1997
Primary components of epidemic models. Zbl 0838.92022
Cairns, Andrew
2
1995
Epidemic estimation with removal time data. Zbl 0751.92013
Cairns, A. J. G.
1
1992
Model fitting and projection of the AIDS epidemic. Zbl 0729.92534
Cairns, Andrew J. G.
4
1991
Epidemics in heterogeneous populations. II: Nonexponential incubation periods and variable infectiousness. Zbl 0726.92019
Cairns, Andrew J. G.
1
1990
Epidemics in heterogeneous populations: Aspects of optimal vaccination policies. Zbl 0687.92010
Cairns, Andrew J. G.
7
1989
all top 5

Cited by 678 Authors

30 Blake, David
28 Cairns, Andrew J. G.
19 Li, Johnny Siu-Hang
14 Dowd, Kevin
14 Haberman, Steven
11 Vigna, Elena
10 Josa-Fombellida, Ricardo
9 Li, Jackie Ji
9 Liang, Zongxia
9 Rincón-Zapatero, Juan Pablo
8 Hunt, Andrew
8 Liu, Yanxin
8 Sherris, Michael
7 Lin, Yijia
7 MacMinn, Richard D.
7 Mamon, Rogemar S.
7 Steffensen, Mogens
6 Christiansen, Marcus Christian
6 Liu, Xiaoming
6 Milevsky, Moshe Arye
6 Tsai, Cary Chi-Liang
6 Young, Virginia R.
5 Cox, Samuel H. jun.
5 Devolder, Pierre
5 Dong, Yinghui
5 Forsyth, Peter A.
5 Gerrard, Russell
5 Hainaut, Donatien
5 He, Lin
5 Kleinow, Torsten
5 Luciano, Elisa
5 Menoncin, Francesco
5 Millossovich, Pietro
5 Tan, Ken Seng
5 Tzeng, Larry Yu-Ren
5 Wang, Chou-Wen
5 Yao, Haixiang
5 Zhou, Rui
4 Antonio, Katrien
4 Balasooriya, Uditha
4 Börger, Matthias
4 Delong, Łukasz
4 Hardy, Mary Rosalyn
4 Huang, Hong-Chih
4 Jarner, Søren Fiig
4 Korn, Ralf
4 Li, Zhongfei
4 Lin, Tzuling
4 Loisel, Stéphane
4 MacDonald, Bonnie-Jeanne
4 Nielsen, Jens Perch
4 O’Hare, Colin
4 Rong, Ximin
4 Sun, Jingyun
4 Vellekoop, Michel H.
4 Wang, Jennifer L.
4 Wu, Huiling
3 Biffis, Enrico
3 Bravo, Jorge Miguel
3 Brody, Dorje C.
3 Chen, An
3 Chen, Hua
3 Chen, Ping
3 Coughlan, Guy D.
3 De Waegenaere, Anja
3 Denuit, Michel M.
3 Di Giacinto, Marina
3 Federico, Salvatore
3 Gao, Huan
3 Gatzert, Nadine
3 Giacometti, Rosella
3 Guan, Guohui
3 Guillen, Montserrat
3 Kault, David Abraham
3 Kogure, Atsuyuki
3 Konicz, Agnieszka Karolina
3 Li, Han
3 Ludkovski, Michael
3 Maurer, Raimond H.
3 Møller, Thomas H.
3 Pantelous, Athanasios A.
3 Peng, Liang
3 Pitacco, Ermanno
3 Planchet, Frédéric
3 Regis, Luca
3 Ruß, Jochen
3 Shen, Yang
3 Shi, Yanlin
3 Siu, Tak Kuen
3 Tsai, Jeffrey Tzuhao
3 Wang, Jian
3 Wu, Zhen
3 Zeng, Yan
3 Zhang, Ling
3 Zhang, Xin
3 Zhao, Hui
3 Zhou, Kenneth Q.
2 Ausín, María Concepción
2 Bacinello, Anna Rita
2 Baltas, Ioannis D.
...and 578 more Authors
all top 5

Cited in 72 Serials

191 Insurance Mathematics & Economics
57 North American Actuarial Journal
38 Scandinavian Actuarial Journal
38 ASTIN Bulletin
17 European Actuarial Journal
14 European Journal of Operational Research
11 Journal of Economic Dynamics & Control
10 Mathematical Biosciences
7 International Journal of Theoretical and Applied Finance
7 Quantitative Finance
6 Journal of Computational and Applied Mathematics
6 Communications in Statistics. Theory and Methods
6 Journal of Industrial and Management Optimization
5 Finance and Stochastics
4 Stochastic Analysis and Applications
4 Annals of Operations Research
4 Mathematical Finance
4 Decisions in Economics and Finance
4 Stochastics
3 European Journal of Control
3 Discrete Dynamics in Nature and Society
3 Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik)
2 Lithuanian Mathematical Journal
2 Mathematical Problems in Engineering
2 Mathematical Methods of Operations Research
2 Methodology and Computing in Applied Probability
2 Journal of Dynamics and Games
1 International Journal of Control
1 Journal of Engineering Mathematics
1 Journal of Mathematical Analysis and Applications
1 Journal of Mathematical Biology
1 Journal of Optimization Theory and Applications
1 Theoretical Population Biology
1 Statistics & Probability Letters
1 Statistics
1 Optimization
1 Computers & Operations Research
1 Mathematical and Computer Modelling
1 Journal of Applied Mathematics and Stochastic Analysis
1 Random Structures & Algorithms
1 Economics Letters
1 Japan Journal of Industrial and Applied Mathematics
1 Computational Statistics and Data Analysis
1 Applied Mathematics. Series B (English Edition)
1 Computational and Applied Mathematics
1 Applied Mathematical Finance
1 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
1 Australian & New Zealand Journal of Statistics
1 Chaos
1 Journal of Applied Statistics
1 CEJOR. Central European Journal of Operations Research
1 Probability in the Engineering and Informational Sciences
1 Applied Stochastic Models in Business and Industry
1 The ANZIAM Journal
1 Matematicheskoe Modelirovanie
1 OR Spectrum
1 Stochastics and Dynamics
1 Asia-Pacific Financial Markets
1 Computational Management Science
1 Mathematics and Financial Economics
1 AStA. Advances in Statistical Analysis
1 East Asian Mathematical Journal
1 SIAM Journal on Financial Mathematics
1 Risk and Decision Analysis
1 Dynamic Games and Applications
1 Mathematical Control and Related Fields
1 Journal of Theoretical Biology
1 East Asian Journal on Applied Mathematics
1 Dependence Modeling
1 The Scientific World Journal. Probability and Statistics
1 Journal of the Japan Statistical Society. Japanese Issue
1 Cogent Mathematics

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