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Professor Kevin Dowd's Outputs (250)

How suitable are equity release mortgages as investments for pension funds? (2024)
Journal Article
Buckner, D., Dowd, K., & Hulley, H. (2024). How suitable are equity release mortgages as investments for pension funds?. Geneva Papers on Risk and Insurance - Issues and Practice, 49(2), 259-269. https://doi.org/10.1057/s41288-024-00316-1

This article examines the claim that equity release mortgages, the U.K. equivalent of reverse mortgages in the U.S., are suitable investments for pension funds. We present valuation, stress test and scenario analysis results that suggest that equity... Read More about How suitable are equity release mortgages as investments for pension funds?.

So far, Central Bank Digital Currencies have failed (2024)
Journal Article
Dowd, K. (2024). So far, Central Bank Digital Currencies have failed. Economic Affairs, 44(1), 71-94. https://doi.org/10.1111/ecaf.12621

This article examines the experiences of Central Bank Digital Currencies (CBDCs) implemented so far. To date, CBDCs have been implemented in two countries (Finland and Ecuador) where they have failed and been abandoned. They have also been implemente... Read More about So far, Central Bank Digital Currencies have failed.

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.

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.

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.