Arbitrage problems with reflected geometric Brownian motion (2023)
Journal Article
Buckner, D., Dowd, K., & Hulley, H. (2024). Arbitrage problems with reflected geometric Brownian motion. Finance and Stochastics, 28(1), 1-26. https://doi.org/10.1007/s00780-023-00525-x

Contrary to the claims made by several authors, a financial market model in which the price of a risky security follows a reflected geometric Brownian motion is not arbitrage-free. In fact, such models violate even the weakest no-arbitrage condition... Read More about Arbitrage problems with reflected geometric Brownian motion.

A market consistent approach to the valuation of no-negative equity guarantees and equity release mortgages (2023)
Journal Article
Buckner, D., Dowd, K., & Hulley, H. (2023). A market consistent approach to the valuation of no-negative equity guarantees and equity release mortgages. Journal of Demographic Economics, 89(3), 349-372. https://doi.org/10.1017/dem.2023.6

This paper provides a new market consistent approach to the valuation of No Negative Equity Guarantees and Equity Release Mortgages. The paper provides a new approach to the estimation of the volatility inputs. The proposed approach to volatility pro... Read More about A market consistent approach to the valuation of no-negative equity guarantees and equity release mortgages.

The Experience of Free Banking, 2nd edition (2023)
Book
Dowd, K. (in press). The Experience of Free Banking, 2nd edition. (2nd Edition). Institute of Economic Affairs

A General Framework for Analysing the Mortality Experience of a Large Portfolio of Lives: With an Application to the UK Universities Superannuation Scheme (2022)
Journal Article
Cairns, A. J., Blake, D., Dowd, K., Coughlan, G. D., Jones, O., & Rowney, J. (2022). A General Framework for Analysing the Mortality Experience of a Large Portfolio of Lives: With an Application to the UK Universities Superannuation Scheme. European Actuarial Journal, 12(1), 381-415. https://doi.org/10.1007/s13385-022-00309-1

We propose a general framework that can be used to analyse the mortality experience of a large portfolio of lives. The objective of the framework is to provide a rm evidence base to support the setting of future mortality assumptions for the portfoli... Read More about A General Framework for Analysing the Mortality Experience of a Large Portfolio of Lives: With an Application to the UK Universities Superannuation Scheme.

Good Practice Principles in Modelling Defined Contribution Pension Plans (2022)
Journal Article
Dowd, K., & Blake, D. (2022). Good Practice Principles in Modelling Defined Contribution Pension Plans. Journal of Risk and Financial Management, 15(3), Article 108. https://doi.org/10.3390/jrfm15030108

We establish 16 good practice principles for modelling defined contribution pension plans. These principles cover the following issues: model specification and calibration; modelling quantifiable uncertainty; modelling member choices; modelling membe... Read More about Good Practice Principles in Modelling Defined Contribution Pension Plans.

Projecting Mortality Rates to Extreme Old Age with the CBDX Model (2022)
Journal Article
Dowd, K., & Blake, D. (2022). Projecting Mortality Rates to Extreme Old Age with the CBDX Model. Forecasting, 4(1), 208-218. https://doi.org/10.3390/forecast4010012

We introduce a simple extension to the CBDX model to project cohort mortality rates to extreme old age. The proposed approach fits a polynomial to a sample of age effects, uses the fitted polynomial to project the age effects to ages beyond the sampl... Read More about Projecting Mortality Rates to Extreme Old Age with the CBDX Model.