Andrew Cairns
Back to Andrew Cairns's
home page.
Book: Interest Rate Models: An Introduction,
Princeton University Press.
Publications and preprints (most recent first)
 Cairns, A.J.G., KallestrupLamb, M., Rosenskjold, C.P.T., Blake, D., and Dowd, K., (2016)
Modelling SocioEconomic Differences in the Mortality of Danish Males Using a New Affluence Index.
(PDF file)
Working paper, HeriotWatt University.

Mavros, G., Cairns, A.J.G., Kleinow, T., and Streftaris, G. (2016)
Stochastic Mortality Modelling: Key Drivers and Dependent Residuals
(PDF file)
Working paper, HeriotWatt University.

Cairns, A.J.G., Blake, D., Dowd, K., and Kessler, A.R. (2016)
Phantoms Never Die: Living with Unreliable Population Data
To appear in Journal of the Royal Statistical Society, Series A
(Journal PDF file)
Wiley/JRSSA Journal Website.
 Earlier working paper, HeriotWatt University (2014)
(PDF file).

Chen, L., Cairns, A.J.G., and and Kleinow, T. (2015)
Small Population Bias and Sampling Effects in Stochastic Mortality Modelling
Working paper, HeriotWatt University.
(PDF file)

Enchev, V., Kleinow, T., and Cairns, A.J.G. (2016)
Multipopulation mortality models: Fitting, Forecasting and Comparisons
To appear in Scandinavian Actuarial Journal.
(Postprint: PDF file)
DOI: 10.1080/03461238.2015.1133450

van Loon, P.R.F., Cairns, A.J.G., McNeil, A.J., and Veys, A. (2015)
Modelling the Liquidity Premium on Corporate Bonds.
Annals of Actuarial Science, 9: 264289.
(Postprint: PDF file)

Karabey, U., Kleinow, T., and Cairns, A.J.G. (2014)
Factor risk quantification in annuity models.
Insurance: Mathematics and Economics, 58: 3445.
Please email me for an official reprint.

Cairns, A.J.G., Blake, D., Dowd, K., and Kessler, A. (2014)
Phantoms Never Die: Living with Unreliable Mortality Data
(PDF file)
Working paper, HeriotWatt University.

Sahin, S., Cairns A.J.G., Kleinow, T., and Wilkie, A.D., (2014)
A yieldonly model for the term structure of interest rates.
Annals of Actuarial Science,
8: 99130.
Journal web page.
DOI: 10.1017/S1748499513000146

Blake, D., Boardman, T., and Cairns, A., (2014)
Sharing Longevity Risk: Why Governments
Should Issue Longevity Bonds.
North American Actuarial Journal, 18: 258277.
Journal
version.
DOI: 10.1080/10920277.2014.883229

Cairns, A.J.G., Blake, D., Dowd, K., and Coughlan, G.D., (2014)
Longevity Hedge Effectiveness: A Decomposition.
Quantitative Finance, 14: 217235.
(PDF file  Final version)
(Journal online version)
DOI: 10.1080/14697688.2012.748986

Kleinow, T., and Cairns A.J.G. (2013)
Mortality and smoking prevalence: An empirical investigation in ten
developed countries.
British Actuarial Journal, 18: 452466.
Journal online version.
Official PDF, reproduced with
permission from Cambridge University Press and the Institute and Faculty of Actuaries. Copyright Institute
and Faculty of Actuaries.

Cairns, A.J.G. (2014)
Modeling and Management of Longevity Risk,
in P. B. Hammond, R. Maurer, and O. S. Mitchell, eds.,
Recreating Sustainable Retirement: Resilience, Solvency, and Tail Risk.
Oxford, U.K.: Oxford University Press, pp. 71–88.
(PDF file  First version  March 2013)

Cairns, A.J.G. (2013)
Robust hedging of longevity risk.
Journal of Risk and Insurance, 80: 621648.
(PDF file  Final version  30/1/2013)

Cairns, A.J.G. (2011)
Modelling and management of longevity risk: approximations to survival
functions and dynamic hedging.
Insurance: Mathematics and Economics, 49: 438453.
(PDF file  REVISED)
Please email me for an official reprint.

Dowd, K., Blake, D., Cairns, A.J.G., Coughlan, G.D., and
KhalafAllah, M. (2011a)
A gravity model of mortality rates for two related populations.
North American Actuarial Journal, 15: 334356.
(Please email me for an official reprint.)

Dowd, K., Blake, D., and Cairns, A.J.G. (2011)
A computationally efficient algorithm for estimating the distribution
of future annuity values under interestrate and longevity risks.
North American Actuarial Journal, 15: 237247.
(Please email me for an official reprint.)

Cairns, A.J.G., Blake, D., Dowd, K., Coughlan, G.D.,
and KhalafAllah, M. (2011)
Bayesian Stochastic Mortality Modelling for Two Populations.
ASTIN Bulletin 41: 2959.
(PDF file)
(Original working paper, HeriotWatt University.
PDF file.)
 Guy D. Coughlan, Marwa KhalafAllah, Yijing Ye,
Sumit Kumar, Andrew J.G. Cairns, David Blake and
Kevin Dowd, (2011)
Longevity hedging: A framework for longevity
basis risk analysis and hedge effectiveness.
North American Actuarial Journal, 15: 150176.
(Please email me for an official reprint.)
Working Paper, HeriotWatt University.
PDF file.
 Wilkie, A.D., Sahin, S., Cairns, A.J.G., and Kleinow, T. (2010)
Yet more on a stochastic economic model: Part 1: Updating and refitting, 1995 to 2009.
Annals of Actuarial Science, 5: 5399.
Copyright Institute and Faculty of Actuaries.
(PDF)

Cairns, A.J.G., Blake, D., Dowd, K., Coughlan, G.D., Epstein, D.,
and KhalafAllah, M. (2011)
Mortality density forecasts: an analysis of six stochastic mortality models.
Insurance: Mathematics and Economics, 48: 355367.
(PDF file.)
Please email me for an official reprint.

MacDonald, B.J. and Cairns, A.J.G., (2011)
Three Retirement Models for Defined Contribution Pension
Plan Members: A Simulation Study.
Insurance: Mathematics and Economics, 48: 118.
(PDF)
(Please email me for a reprint of the IME version.)

Dowd, K., Cairns, A.J.G., Blake, D., Coughlan, G.D.,
Epstein, D., and KhalafAllah, M. (2010)
Evaluating the Goodness of Fit of Stochastic Mortality Models.
Insurance: Mathematics and Economics, 47: 255265.

Dowd, K., Cairns, A.J.G., Blake, D., Coughlan, G.D.,
Epstein, D., and KhalafAllah, M. (2010)
Backtesting Stochastic Mortality Models: An ExPost Evaluation of MultiPeriodAhead Density Forecasts.
North American Actuarial Journal, 14: 281298.
 Dowd, K., Blake, D., and Cairns, A.J.G. (2010)
Facing up to Uncertain Life Expectancy: The Longevity Fan Charts.
Demography 47: 6778.

Cairns, A.J.G., Blake, D., Dowd, K., Coughlan, G.D.,
and KhalafAllah, M. (2010)
Bayesian Stochastic Mortality Modelling for
Two Populations.
Working Paper, HeriotWatt University.
PDF file.
 Dawson, P., Dowd, K., Cairns, A.J.G., and Blake, D. (2010)
Survivor Derivatives: A Consistent Pricing Framework.
Journal of Risk and Insurance, 77: 579596.

MacDonald, B.J. and Cairns, A.J.G., (2009)
Getting feedback on defined contribution pension plans.
Journal of Risk and Insurance.
76(2): 385417.
(PDF file.)
[Original version: 10/2006]

Blake, D., Cairns, A.J.G. and Dowd, K. (2009)
Designing a definedcontribution pension plan:
what to learn from aircraft designers.
Financial Analysts Journal, 65(1): 3742.

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): 135.
(Reprint.)
Copyright 2009 by the Society of Actuaries, Schaumburg, Illinois. Reprinted with permission.

Longer version (preprint, 2007)
(PDF file.)
 Dawson, P., Dowd, K., Cairns, A.J.G., and Blake, D. (2009)
Options on normal underlyings with an application to the
pricing of survivor swaptions.
Journal of Futures Markets, 29(8): 757774.

Blake, D., Cairns, A.J.G., and Dowd, K. (2008)
The birth of the life market.
Alternative Investment Quarterly.
(PDF)

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: 10621066.

Cairns, A.J.G., Blake, D., Dowd, K. (2008)
Modelling and management of mortality risk: a review.
Scandinavian Actuarial Journal 108(23): 79113.
(PDF file.)
DOI: 10.1080/03461230802173608
 Cairns, A.J.G., (2007)
A Multifactor Generalisation of the OlivierSmith 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 definedcontribution plans.
Financial Analysts Journal 64(4): 4051.

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: 45882
(.)

MacDonald, B.J. and Cairns, A.J.G., (2007)
The impact of DC pension systems on population dynamics.
North Americal Actuarial Journal 11(1): 1748.
(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: 213231.
 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: 647672.

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): 843877.
(Please email me for a reprint.)

Blake, D., Cairns, A.J.G., and Dowd, K. (2006)
Living with mortality: longevity bonds and other mortalitylinked
securities
British Actuarial Journal 12: 153197.
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: 79120.
(PDF file.)
Earlier version in Proceedings of the International AFIR Colloquium,
Boston, November 2004, pages 509540:

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: 117.
 Dowd, K., Blake, D., and Cairns, A. J. G., (2006)
The Grave Problem of Longevity Risk.
Financial Engineering News, No. 49, MayJune 2006, pp. 19, 30.

Cairns, A.J.G., Blake, D., and Dowd, K., (2006)
A twofactor model for stochastic mortality with parameter uncertainty:
Theory and calibration.
Journal of Risk and Insurance 73: 687718.
(PDF file.)
 Dowd, K. Cairns, A.J.G., and Blake, D. (2006)
Mortalitydependent financial risk measures.
Insurance: Mathematics and Economics 38: 427440.
(Please email me for a reprint.)

Huang, H.C., and Cairns, A.J.G. (2005)
On the control of definedbenefit pension plans.
Insurance: Mathematics and Economics.
38: 113131.
(Please email me for a reprint.)
 Dowd, K., Blake, D., and Cairns, A.J.G.PensionMetrics:
designing definedcontribution pension plans. Risk May 2005: 8182.

Cairns, A.J.G., Blake, D., Dawson, P., and Dowd, K., (2005)
Pricing the Risk on Longevity Bonds.
Life and Pensions October: 4144.
(PDF file.)

Cairns, A.J.G., and Garcia Rosas, S.A. (2003)
A Family Of Termstructure Models with Stochastic Volatility Preprint, 24 pages.
(PDF file.)
 Cairns, A.J.G., (2004)
A family of termstructure models for longterm
risk management and derivative pricing
Mathematical Finance, 14: 415444.
(PDF file.)
 Huang, HC., and Cairns, A.J.G., (2004)
Valuation and Hedging of Limited Price
Indexed Liabilities. British Actuarial Journal, 10: 627663.
(Please email me for a reprint.)
 Cairns, A.J.G. (2004)
PensionFund Mathematics.
To appear in the Encyclopaedia of Actuarial Science.
(PDF file)
 Cairns, A.J.G. (2004)
InterestRate 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: 2947.
(Please email 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, pp135166.
(PDF file
)

Blake, D., Cairns, A.J.G., and Dowd, K., (2001)
Pensionmetrics: Stochastic pension plan design and valueatrisk
during the accumulation phase.
Insurance: Mathematics and Economics, 29: 187215.
(Please email 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: 467507.
(PDF file
 342 Kb)
 Cairns, A.J.G., Blake, D., and Dowd, K., (2000)
Optimal dynamic asset allocation for definedcontribution
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, pp131154.
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 longterm 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: 93113.)
 Cairns, A.J.G., (2000)
A Discussion of Parameter and Model Uncertainty in Insurance
Insurance: Mathematics and Economics, 27: 313330.
(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: 1955.
(Please email 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: 55118 (with
discussion on pages 119141).
(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: 585610.
(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 bondyield and forwardrate models
for the British government securities' market. (with discussion)
British Actuarial Journal, 4(2): 265321 and 350383.
(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): 213263 and 350383.
 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: 3141.
(Please email me for a reprint.)
 Cairns, A.J.G., and Parker, G., (1997)
Stochastic pension fund modelling.
Insurance: Mathematics and Economics, 21: 4379.
(Please email 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 40564069, Wiley.
 Cairns, A.J.G., (1996) ContinuousTime PensionFund Modelling
in Proceedings of the 6th AFIR Colloquium, Nuremberg, October 1996,
1: 609624.
(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: 429453.
(PDF copy).
 Cairns, A.J.G., The present value of a series of cash flows: convergence in a random
environment.
ASTIN Bulletin, 25: 8194, 1995.
(Please email me for a reprint.)
 Cairns, A.J.G., (1995) Primary components of epidemic models,
in Epidemic Models
editor D.Mollison, Cambridge University Press, pages 350371.
 Cairns, A.J.G., (1991)
Model fitting and projection of the AIDS epidemic,
Mathematical Biosciences, 107: 451489.
 Cairns, A.J.G., (1990)
Epidemics in heterogeneous populations II: nonexponential incubation
periods and variable infectiousness,
IMA Journal of Mathematics Applied in Medicine
and Biology, 7: 219230.
 Cairns, A.J.G., (1989)
Epidemics in heterogeneous populations: aspects of optimal vaccination
policies,
IMA Journal of Mathematics Applied in Medicine
and Biology, 6: 137159.
Back to Andrew Cairns's
home page.
Andrew Cairns, Department of Actuarial Mathematics and Statistics,
HeriotWatt University, Edinburgh, EH14 4AS