Pensions and PensionMetrics

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, www.penionmetrics.net.

A working demo can be found on the PensionMetrics website at www.pensionmetrics.net/online-demo.html.

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.

Articles

"Good Practice Principles in Modelling Defined Contribution Pension Funds." (K. Dowd and D. Blake) Journal of Risk and Financial Management 15: 108. (2022)

"Projecting Mortality Rates to Extreme Old Age with the CBDX Model." (K. Dowd and D. Blake) Forecasting 4, 208-218. https://doi.org 10.3390/forecast4010012 (2022)

"VfM:Assessing Value for Money in Defined Contribution Default Funds." (D. Harrison, D. Blake and K. Dowd) Pensions Institute Report, January 2014.

“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.