My interest in this area originated in the late 1990s when Andrew Cairns, David Blake and I built a ‘PensionMetrics’ model - a stochastic simulation model of a defined-contribution (DC) pension scheme. These are pension schemes in which the individual pension plan member bears all the risks on their own, as opposed to defined-benefit (DB) schemes in which pension benefits are typically determined by years served and final salary. 


We published the first (PensionMetrics model in 2001 (“PensionMetrics 1”) in 2001. This was a model of the accumulation phase (or pre-retirement phase) of a DC pension plan, taking the plan member up to the point of retirement and assuming that the plan member simply converts his/her pension fund into an annuity at the point of retirement. 


Other papers then followed: 

  • PensionMetrics 2” examined the alternative post-retirement strategies available to a DC pension plan member.
  • Stochastic lifestyling” examined alternative accumulation-phase investment strategies, and proposed a new strategy (‘stochastic lifestyling’) which seems to deliver better results than than more traditional strategies.
  • The impact of occupation and gender ...” looked at how DC accumulation-phase pension outcomes were affected by occupation and gender differences, and finds that these can make a considerable difference.


Alistair Byrne then joined us and two further papers followed: 

  • There’s no time like the present” looked at the impact of delayed and interrupted pension saving. The results make grim reading ...
  • Default funds” examined the impact of the specification of default investment strategies in stakeholder pension plans (a form of DC plan but for which public information is available) and our results suggest that these plans are basically a lottery - it all depends which company you sign up with. 


The latest articles "Caveat Venditor" and "VfM" (joint with David Blake and Debbie Harrison) look at the state of the DC market in the UK. 


The methodology of DC modeling is set out in "Good Practice Principles in Modeling Defined Contribution Default Funds" published in March 2013.


More information on PensionMetrics can be found in our PensionMetrics website,  


A working demo can be found on the PensionMetrics website at 


Different versions of the PensionMetrics model have been presented at seminars at the BSI-Gamma Foundation, the OECD, and at various major UK financial institutions. PM models have also been used in consultancy projects involving the Armenian Central Bank, ITN, the Money Advice Service, the World Bank and other organisations.  


"VfM:Assessing Value for Money in Defined Contribution Default Funds.(D. Harrison, D. Blake and K. Dowd) Pensions Institute Report, January 2014. 
"Good Practice Principles in Modeling Defined-Contrbution Pension Plans." Pensions Institute Discussion Paper 1302, March 2013. 
Happy Retirement?” Blog posting at the IEA, March 12 2013.
Caveat Venditor: the Brave New World of Auto-Enrolment Should Be Governed by the Principle of Seller Not Buyer Beware.” (D. Harrison, D. Blake and K. Dowd) Pensions Institute Report, October 2012.
“Pensions Risk.” (K. Dowd and M. Woods) Financial Management, published by CIMA, Feb 2009, pp. 45-46. 
Designing a Defined Contribution Plan: What to Learn from Aircraft Designers.” (D. Blake, A. J. G. Cairns and K. Dowd) Financial Analysts Journal, Volume 65, Number 1, January/February 2009, pp. 37-42.
A Computationally Efficient Algorithm for Estimating the Distribution of Future Annuity Prices under Interest-Rate and Longevity Risks.” (K. Dowd, D. Blake and A. J. G. Cairns), North American Actuarial Journal, 2011, Vol. 15, No. 2, pp. 237-247.
One Day Pensions Will Be Properly Planned.” (David Blake, Andrew Cairns and Kevin Dowd), Financial Times May 19, 2008.
Turning Pension Plans into Pension Planes: What Investment Strategy Designers of Defined Contribution Pension Plans can Learn from Commercial Aircraft Designers.” (D. Blake, A. J. G. Cairns and K. Dowd), Pensions Institute Discussion Paper PI-0801, April 2008.
Default Funds in UK Defined Contribution Pension Plans.” (A. Byrne, D. Blake, A. J. G. Cairns and K. Dowd) Financial Analysts Journal, Volume 63, No. 4, July-August 2007, pp. 40-51. 
The Impact of Occupation and Gender Differences on Defined-Contribution Pension Plans.” (D. Blake A. J. G. Cairns and K. Dowd)  Geneva Papers, Volume 32, October 2007, pp. 458-482
There’s No Time Like the Present: The Cost of Delaying Retirement Saving.” (A. Byrne, D. Blake, A. J. G. Cairns and K. Dowd) Financial Services Review, Volume 15 (2006), pp. 213-231.
Stochastic Lifestyling: Optimal Dynamic Asset Allocation for Defined-Contribution Pension Plans.” (A. J. G. Cairns, D. Blake and K. Dowd). Journal of Economic Dynamics and Control. Vol. 30, 2006, pp. 843-877.
PensionMetrics Designing Defined-Contribution Pension Schemes.” (K. Dowd, D. Blake and A. J. G. Cairns.) Risk, Volume 18, No. 5 (May 2005), pp. 81-82.
“Measuring Annuity Risks.”  Journal of Accounting and Finance, Volume 2, 2003, pp. 99-107.
PensionMetrics 2: Stochastic Pension Plan Design During the Distribution Phase.” (D. Blake, A. J.G. Cairns and K. Dowd) Insurance: Mathematics and Economics, 2003, Vol. 33, pp. 29-47. 
Pensionmetrics: Stochastic Pension Plan Design and Value-at-Risk during the Accumulation Phase.” (D. Blake, A. J. G. Cairns and K. Dowd) Insurance: Mathematics and Economics, Vol. 29, No. 2, October 2001, pp. 187-215.
“Enhancing Annuities with Equity.” (D. Blake, A. J. G. Cairns and K. Dowd) Journal of Pensions Management: An International Journal, Vol. 7, No. 1, September 2001, pp. 6-8.