Guy Coughlan

Pacific Global Advisors

Managing Director

535 Madison Avenue

Floor 14

New York, NY 10022

United States

http://www.PacificGlobalAdvisors.com

SCHOLARLY PAPERS

9

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Rank 33,534

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Top 33,534

in Total Papers Downloads

2,890

SSRN CITATIONS
Rank 8,950

SSRN RANKINGS

Top 8,950

in Total Papers Citations

143

CROSSREF CITATIONS

51

Scholarly Papers (9)

1.

A Quantitative Comparison of Stochastic Mortality Models Using Data from England & Wales and the United States

Number of pages: 77 Posted: 11 Feb 2009
Heriot-Watt University - Department of Actuarial Science & Statistics, City, University of London, Nottingham University Business School (NUBS), Pacific Global Advisors and J.P. Morgan Chase & Co.
Downloads 1,694 (20,231)
Citation 95

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Stochastic mortality, CBD-Perks models, Lee-Carter models, age effect, period effect, cohort effect, maximum likelihood, Bayes Information Criterion, robustness

2.

Mortality Density Forecasts: An Analysis of Six Stochastic Mortality Models

Pensions Institute Discussion Paper No. PI-0801
Number of pages: 70 Posted: 10 Feb 2009 Last Revised: 10 Jul 2009
Heriot-Watt University - Department of Actuarial Science & Statistics, City, University of London, Nottingham University Business School (NUBS), Pacific Global Advisors, J.P. Morgan Chase & Co. and J.P. Morgan
Downloads 473 (115,682)
Citation 56

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Stochastic mortality model, cohort erect, fan charts, model risk, fore-casting, model selection criteria

3.

Backtesting Stochastic Mortality Models: An Ex-Post Evaluation of Multi-Period Ahead-Density Forecasts

Number of pages: 43 Posted: 29 Apr 2009 Last Revised: 10 Jul 2009
Nottingham University Business School (NUBS), Heriot-Watt University - Department of Actuarial Science & Statistics, City, University of London, Pacific Global Advisors, J.P. Morgan Chase & Co. and J.P. Morgan
Downloads 238 (242,780)
Citation 31

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backtesting, forecasting performance, mortality models

4.
Downloads 179 (315,620)
Citation 6

Longevity Hedge Effectiveness: A Decomposition

Pensions Institute Discussion Paper No. PI-1106
Number of pages: 36 Posted: 01 Dec 2011
Heriot-Watt University - Department of Actuarial Science & Statistics, City University London - The Business School, City, University of London and Pacific Global Advisors
Downloads 125 (424,861)
Citation 3

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hedge effectiveness, correlation, mark-to-model, valuation model, simulation, value hedging, longevity risk, stochastic mortality, population basis risk, recalibration risk

Longevity Hedge Effectiveness: A Decomposition

Number of pages: 43 Posted: 22 Jun 2020
Heriot-Watt University - Department of Actuarial Science & Statistics, City, University of London, Durham Business School and Pacific Global Advisors
Downloads 54 (717,141)
Citation 4

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Hedge effectiveness; Correlation; Value hedging; Valuation model; Longevity risk; Population basis risk; Recalibration risk

5.

Evaluating the Goodness of Fit of Stochastic Mortality Models

Number of pages: 53 Posted: 04 May 2009
Nottingham University Business School (NUBS), Heriot-Watt University - Department of Actuarial Science & Statistics, City, University of London, Pacific Global Advisors, J.P. Morgan Chase & Co. and J.P. Morgan
Downloads 164 (340,680)
Citation 23

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goodness of fit, mortality models

6.

Longevity Risk and Hedging Solutions

In Georges Dionne (Ed.), Handbook of Insurance, second edition, Springer, New York, 2013
Number of pages: 48 Posted: 26 Nov 2020
Pacific Global Advisors, City, University of London, National Chengchi University, Heriot-Watt University - Department of Actuarial Science & Statistics and Durham Business School
Downloads 71 (612,888)
Citation 1

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7.

Longevity Hedging 101: A Framework for Longevity Basis Risk Analysis and Hedge Effectiveness

North American Actuarial Journal, Volume 15, Number 2, 2011
Number of pages: 38 Posted: 10 Jul 2020
Pacific Global Advisors, J.P. Morgan, affiliation not provided to SSRN, Indian Institute of Management (IIM), Kozhikode, Heriot-Watt University - Department of Actuarial Science & Statistics, City, University of London and City University London - The Business School
Downloads 71 (612,888)
Citation 11

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Longevity hedging, longevity index, longevity basis risk, stochastic mortality, two populations, hedge effectiveness

8.

Longevity Risk Management, Corporate Finance, and Sustainable Pensions

Published in Maurer, R., O. Mitchell, and P. Hammond (Eds.) (2014). Recreating Sustainable Retirement: Resilience, Solvency, and Tail Risk. Oxford, UK: Oxford University Press., Pension Research Council Working Paper, PRC WP2013-20
Posted: 08 Oct 2013 Last Revised: 03 Apr 2020
Guy Coughlan
Pacific Global Advisors

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Longevity Risk, Defined Benefit Pension Plans, Risk Management, Corporate Finance

9.

A Gravity Model of Mortality Rates for Two Related Populations

North American Actuarial Journal, Vol. 15, No. 2, 2011
Posted: 24 Jan 2012
City University London - The Business School, Heriot-Watt University - Department of Actuarial Science & Statistics, City, University of London, Pacific Global Advisors and J.P. Morgan

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