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Outputs (249)

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.

Discounting the Discounted Projection Approach (2021)
Journal Article
Buckner, D., & Dowd, K. (2022). Discounting the Discounted Projection Approach. North American Actuarial Journal, 26(4), 521-536. https://doi.org/10.1080/10920277.2021.1916537

UK equity release actuaries are using a flawed approach to value the no-negative equity guarantees in their equity release mortgages. The approach they use, the Discounted Projection approach, incorrectly uses projected future house prices as the und... Read More about Discounting the Discounted Projection Approach.

How Profitable are Equity Release Mortgages? (2020)
Journal Article
Buckner, D., & Dowd, K. (2020). How Profitable are Equity Release Mortgages?. Economics Letters, 197, Article 109651. https://doi.org/10.1016/j.econlet.2020.109651

We obtain valuations of UK Equity Release Mortgages under the ‘market consistent’ approach consistent with conventional option pricing and the ‘discounted projection’ approach used by the industry. Projections of the expected profitability of these p... Read More about How Profitable are Equity Release Mortgages?.

CBDX: A Workhorse Mortality Model from the Cairns-Blake-Dowd Family (2020)
Journal Article
Dowd, K., Cairns, A., & Blake, D. (2020). CBDX: A Workhorse Mortality Model from the Cairns-Blake-Dowd Family. Annals of Actuarial Science, 14(2), 445-460. https://doi.org/10.1017/s1748499520000159

The purpose of this paper is to identify a workhorse mortality model for the adult age range (i.e., excluding the accident hump and younger ages). It applies the “general procedure” (GP) of Hunt & Blake [(2014), North American Actuarial Journal, 18,... Read More about CBDX: A Workhorse Mortality Model from the Cairns-Blake-Dowd Family.

Are CoCo Bonds Suitable as Core Capital Instruments? (2020)
Journal Article
Dowd, K. (2020). Are CoCo Bonds Suitable as Core Capital Instruments?. Journal of New Finance, 1(1), https://doi.org/10.46671/2521-2486.1000

Basel III introduced significant innovations in bank regulation. One of them is the minimum required leverage ratio. To help banks implementing the new measure , Basel III created two different core capital measures: Common Equity Tier 1 (CET1) and A... Read More about Are CoCo Bonds Suitable as Core Capital Instruments?.

Hedging Annuity Risks with the Age-Period-Cohort Two-Population Gravity Model (2019)
Journal Article
Dowd, K., Cairns, A., & Blake, D. (2019). Hedging Annuity Risks with the Age-Period-Cohort Two-Population Gravity Model. North American Actuarial Journal, 25(sup1), S170-S181. https://doi.org/10.1080/10920277.2019.1652102

We consider the effectiveness of an illustrative annuity hedging problem in which a forward annuity predicated on one population is hedged by a position in a forward annuity predicated on another population. Our analysis makes use of the age-period-c... Read More about Hedging Annuity Risks with the Age-Period-Cohort Two-Population Gravity Model.

The valuation of no-negative equity guarantees and equity release mortgages (2019)
Journal Article
Dowd, K., Blake, D., Buckner, D., & Fry, J. (2019). The valuation of no-negative equity guarantees and equity release mortgages. Economics Letters, 184, Article 108669. https://doi.org/10.1016/j.econlet.2019.108669

We outline the valuation process for a No-Negative Equity Guarantee in an Equity Release Mortgage loan and for an Equity Release Mortgage that has such a guarantee. Illustrative valuations are provided based on the Black ’76 put pricing formula and m... Read More about The valuation of no-negative equity guarantees and equity release mortgages.