David Blake

Dr David Blake is Professor of Pension Economics at Cass Business School, City University, Director of the Pensions Institute and Chairman of Square Mile Consultants, a training and research consultancy. He is also: Co-Founder with JPMorgan and Towers Watson of the LifeMetrics Indices; Senior Research Associate, Financial Markets Group, London School of Economics; Senior Consultant, UBS Pensions Research Centre, London School of Economics; and Research Associate, Centre for Risk & Insurance Studies, University of Nottingham Business School. Formerly Director of the Securities Industry Programme at City University Business School; Research Fellow at both the London Business School and the London School of Economics; and Professor of Financial Economics at Birkbeck College, University of London. David Blake was a student at the London School of Economics in the 1970s and early 1980s, gaining his PhD on UK pension fund investment behaviour in 1986. In 1996, he established the Pensions Institute (www.pensions-institute.org).

David chaired the Independent Review of Retirement Income which published its Report (We Need a National Narrative: Building a Consensus around Retirement Income,pensions-institute.org/IRRIReport.pdf) and response to the consultation (pensions-institute.org/IRRIConsultation.pdf) in March 2016.

Professor David Blake's independent review of the Treasury's two EU referendum models was published on 9 June 2016

The report entitled "Measurement without theory: on the extraordinary abuse of economic models in the EU referendum debate" can be found at http://www.pensions-institute.org/BlakeReviewsTreasuryModels.pdf

Qualifications

• PhD in Financial Economics, London School of Economics, United Kingdom, Jan 1986
• MSc(Econ) in Monetary Economics, London School of Economics, United Kingdom, 1978
• BSc(Econ) in Economics, London School of Economics, United Kingdom, 1975

Fellowships

Fellow, Higher Education Academy, Aug 2000 – present

Memberships of Professional Organisations

Member, Royal Economic Society

Awards

• Asset International Chief Investment Officer (2013) aiCIO's The Professors aiCIO's (asset international Chief Investment Officer’s) The Professors: The Ten Most Influential Academics in Institutional Investing 2013 (These academics have significantly aided pensions, endowments, foundations, and sovereign wealth funds, as well as institutional investors who are fulfilling their obligations to stakeholders)
• Pensions Insight Magazine (2012) One of the 50 most influential people in Pensions Professor David Blake named as one of the 50 most influential people in pensions for the second year in a row.
• Cass Professor David Blake has been recognised for his contribution to the pensions debate by being listed as one of the 50 most influential people in the UK pensions industry by Pensions Insight magazine.
• The list highlights the 50 individuals who the editorial team at Pensions Insight believe are influencing pensions today and shaping them for tomorrow. Professor Blake is the only academic recognised in this list which is also made up of both high profile spokespeople and those working quietly behind the scenes.
• Professor Blake is described in the publication as being "…one of the most significant pensions researchers and analysts working in the UK." He is also recognised for establishing the Pensions Institute at Cass and co-founding the LifeMetrics Indices, an index to benchmark and trade longevity risk, developed in association with JP Morgan. Commenting on the list,
• Professor Blake said: "It is gratifying to see that my work and the work of the Pensions Institute is being recognised by the pensions industry. I am honoured to be sharing a position on a list of such highly esteemed experts."
• A current Visiting Professor at the Pensions Institute (Robin Ellison) and two former Visiting Professors (David Willetts MP and Steve Webb MP) are also included in the list of 50.
• American Risk and Insurance Association (2011) Robert I. Mehr Award Mehr Award for 'Survivor Bonds: Helping to Hedge Mortality Risk' published in the June 2001 issue of the Journal of Risk and Insurance
• David Blake, Professor of Pension Economics at the Cass Business School, City University London has been selected as this year's recipient of the prestigious Robert I. Mehr Award for his article 'Survivor Bonds: Helping to Hedge Mortality Risk'
• The award is given annually to the article that has best stood the test of time during its ten-year release and has had an impact in the field of risk and insurance. The paper was published in the June 2001 Issue of The Journal of Risk and Insurance, which is the Journal of the American Risk and Insurance Association (ARIA).
• Professor Blake's paper is credited with developing a new global capital market (the 'Life Market') in mortality risk transfers between pension funds, life assurers and capital market investors and caused a knock-on effect in the industry.
• Timeline: • 2001: David Blake and William Burrows publish: 'Survivor Bonds: Helping to Hedge Mortality Risk' which suggests the creation of 'survivor bonds' which would allow pension funds and the issuers of annuities to hedge aggregate mortality risk. • 2003: The first mortality catastrophe bond creates the 'Life Market' • 2006: The world's first pension buy-out • 2007: The world's first pension buy-in and first longevity swap • 2010: The world's first longevity bond issued, while a Dutch pension fund performs the first pension buy-in outside the UK • 2011: A Canadian pension fund executes the first pension buy-out outside the UK and the first international longevity reinsurance transaction takes place between Rothesay Life in the UK and Prudential Retirement in the US.
• ARIA is the premier professional association of insurance scholars and risk management and insurance professionals. The award presentation will take place at their annual meeting which is recognized as the top event each year for academics and researchers in the field of risk management and insurance. The meeting takes place from the 7th-10th August in the beautiful city of San Diego, California. The keynote speaker at the event will be Nobel Laureate Harry Markowitz, winner of the John von Neumann Theory Prize and the Nobel Memorial Prize in Economic Sciences.
• Professor Blake, who is also Director of the Pensions Institute at Cass said: "I am delighted to receive the Robert I. Mehr Award from the American Risk and Insurance Association in recognition of the fact that my paper 'Survivor Bonds: Helping to Hedge Mortality Risk' (co-authored with William Burrows) has stood the test of time. I was very pleased when the Journal of Risk and Insurance agreed to publish the paper in 2001. I am even more pleased to see that this paper led to the development of a new global capital market in mortality risk transfers between pension funds, life assurers and capital market investors."

Expertise

Primary Topics

• Annuities
• Pension

Research

My research has supported the introduction and growth of the Life Market, a new global capital market for transferring longevity risk from corporate pension plans and annuity providers to capital market investors in exchange for a risk premium. The main vehicles for transferring this risk are longevity (or survivor) swaps and bonds, designed by the Pensions Institute at Cass and its research collaborators. The world’s first longevity swap was between the UK insurer Lucida (which locked in a fixed future mortality rate on its annuities) and investors (who pay/receive the difference between the actual and fixed rate) which was arranged by the investment bank JP Morgan in 2008. The world’s first longevity bond in 2010 was between SwissRe and investors who receive back a lower principal repayment if SwissRe’s longevity exposure increases above a preset level.

Research Topics

• Measurement, modelling and management of longevity risk
• Securitization of longevity exposures
• Multi-population mortality modelling
• Age-dependent investing: Optimal funding and investment strategies in defined contribution pension plans when members are rational life-cycle financial planners
• New evidence on mutual fund out-performance using alternative bootstrap methods
• Using behavioural economics to improve retirement expenditure solutions

Books (6)

• Blake, D. (2015). Issues in Pension Funding. Routledge. ISBN 978-1-138-02075-7.
• Blake, D. (2014). Modelling Pension Fund Investment Behaviour. Routledge. ISBN 978-1-138-01857-0.
• Blake, D. (2006). Pension Economics. Wiley. ISBN 978-0-470-05844-2.
• Blake, D. (2006). Pension Finance. John Wiley & Sons. ISBN 978-0-470-05870-1.
• Blake, D. (2005). Pension Schemes and Pension Funds in the United Kingdom. Oxford University Press. ISBN 978-0-19-924353-2.
• Blake, D. (2000). Financial Market Analysis. John Wiley & Sons. ISBN 978-0-471-87728-8.

Chapters (16)

• Coughlan, G., Blake, D., MacMinn, R., Cairns, A.J.G. and Dowd, K. (2013). Longevity risk and hedging solutions. Handbook of Insurance: Second Edition (pp. 997–1035). ISBN 978-1-4614-0155-1.
• Blake, D. (2012). NDCs vs FDC: Pros and Cons. In Holzmann, R., Palmer, E. and Robalino, D. (Eds.), NDC Pension Schemes in a Changing Pension World, Volume 2: Gender, Politics, and Financial Stability, Closing Panel - Chapter 15 Washington D.C.: The World Bank & Swedish Social Insurance.
• Blake, D. and Harrison, D. (2011). The Ethics of Profiting from Mortality. Life Markets: Trading Mortality and Longevity Risk with Life Settlements and Linked Securities (pp. 233–244). ISBN 978-0-470-41234-3.
• Blake, D., Cairns, A. and Dowd, K. (2011). Optimal Investment Strategies in Defined Contribution Pension Plans. In Mitra, G. and Schwaiger, K. (Eds.), Asset and Liability Management Handbook (pp. 234–279). Palgrave Macmillan.
• Blake, D. and Biffis, E. (2010). Mortality-Linked Securities and Derivatives. In Bertocchi, M., Schwartz, S.L. and Ziemba, W.T. (Eds.), Optimizing the Aging, Retirement and Pensions Dilemma John Wiley & Sons. ISBN 978-0-470-37734-5.
• Blake, D. and Harrison, D. (2009). What is a Life Settlement? In Bhuyan, V.B. (Ed.), Life Markets: Trading Mortality and Longevity Risk with Life Settlements & Linked Securities John Wiley & Sons. ISBN 978-0-470-41234-3.
• Blake, D. and Dowd, K. (2008). Securitization/Life. In Melnick, E. and Everitt, B. (Eds.), Encyclopedia of Quantitative Risk Assessment and Analysis (pp. 1623–1627). Chichester: John Wiley and Sons.
• Cairns, A.J.G., Blake, D. and Dowd, K. (2008). Optimal Dynamic Asset Allocation for Defined Contribution Pension Plans. In Appleby, J.A.D., Edelman, D.C. and Miller, J.J.H. (Eds.), (pp. 83–85). CHAPMAN & HALL/CRC PRESS. ISBN 978-1-58488-925-0.
• Blake, D. (2008). Its all Back to Front: Critical Issues in the Design of Defined Contribution Pension Plans. In Broeders, D., Eijffinger, S. and Houben, A. (Eds.), Frontiers in Pension Finance (pp. 99–159). Edward Elgar. ISBN 978-1-84720-660-2.
• Blake, D. (2004). Contracting Out of the State Pension System: The British Experience of Carrots and Sticks. In Rein, M. and Schmael, W. (Eds.), Rethinking the Welfare State: The Political Economy of Pension Reform (pp. 19–55). Edward Elgar, Cheltenham. ISBN 978-1-84376-102-0.
• Blake, D. (2003). The United Kingdom Pension System: Key Issues. In Noriyuki Takayama, (Ed.), Taste of Pie: Searching for Better Pension Provisions in Developed Countries Maruzen, Tokyo..
• Blake, D. and Timmermann, A. (2002). Performance Benchmarks for Institutional Investors: Measuring, Monitoring and Modifying Investment Behaviour. In Knight, J. and Satchell, S. (Eds.), Performance Measurement in Finance: Firms, Funds and Managers (pp. 108–141). Butterworth Heinemann, Oxford.
• Blake, D. (2002). The United Kingdom: Examining the Switch from Low Public Pensions to High-Cost Private Pensions. In Feldstein, M. and Siebert, H. (Eds.), Social Security and Pension Reform in Europe (pp. 317–348). University of Chicago Press. ISBN 978-0-226-24108-1.
• Blake, D., Burrows, W. and Orszag, J.M. (2001). Survivor Bonds and Compulsory Annuitisation: Two Ways of Helping the Private Sector Reduce the Costs of Pensions Provision. In Bodie, Z., Hammond, B. and Mitchell, O.S. (Eds.), Innovations for Managing the Risks of Retirement University of Pennsylvania Press. ISBN 978-0-8122-3641-5.
• Blake, D. (1997). Pension Choice and Pensions Policy in the United Kingdom. In Valdés-Prieto, S. (Ed.), The Economics of Pensions: Principles, Policies and International Experience (pp. 277–317). Cambridge University Press. ISBN 978-0-521-66612-1.
• Blake, D. (1993). Pension Schemes and Pension Funds in the United Kingdom: Regulatory Environment, Public Policy, Issues in Pension Fund Management and Consequences for Capital Markets. In Porta, A. (Ed.), Pension Funds and Capital Markets: International Experience (pp. 105–187). Milan: EGEA.

Editorial Activity

Journal of Risk and Insurance, Associate Editor, 2010 – present.