Pricing farm-level agricultural insurance: a Bayesian approach

This paper applies Hierarchical Bayesian Models to price farm-level yield insurance contracts. This methodology considers the temporal effect, the spatial dependence and spatio-temporal models. One of the major advantages of this framework is that an estimate of the premium rate is obtained directly from the posterior distribution. These methods were applied to a farm-level data set of soybean in the State of the Parana (Brazil), for the period between 1994 and 2003. The model selection was based on a posterior predictive criterion. This study improves considerably the estimation of the fair premium rates considering the small number of observations.

Parametric and nonparametric statistical modelling of crop yield: implications for pricing crop insurance contracts

This article considers alternative methods to calculate the fair premium rate of crop insurance contracts based on county yields. The premium rate was calculated using parametric and nonparametric approaches to estimate the conditional agricultural yield density. These methods were applied to a data set of county yield provided by the Statistical and Geography Brazilian Institute (IBGE), for the period of 1990 through 2002, for soybean, corn and wheat, in the State of Paran. In this article, we propose methodological alternatives to pricing crop insurance contracts resulting in more accurate premium rates in a situation of limited data.

Sampled Control for Mean-Variance Hedging in a Jump Diffusion Financial Market

In this technical note we consider the mean-variance hedging problem of a jump diffusion continuous state space financial model with the re-balancing strategies for the hedging portfolio taken at discrete times, a situation that more closely reflects real market conditions. A direct expression based on some change of measures, not depending on any recursions, is derived for the optimal hedging strategy as well as for the ""fair hedging price"" considering any given payoff. For the case of a European call option these expressions can be evaluated in a closed form.

Spatio-temporal modeling of agricultural yield data with an application to pricing crop insurance contracts

This article presents a statistical model of agricultural yield data based on a set of hierarchical Bayesian models that allows joint modeling of temporal and spatial autocorrelation. This method captures a comprehensive range of the various uncertainties involved in predicting crop insurance premium rates as opposed to the more traditional ad hoc, two-stage methods that are typically based on independent estimation and prediction. A panel data set of county-average yield data was analyzed for 290 counties in the State of Parana (Brazil) for the period of 1990 through 2002. Posterior predictive criteria are used to evaluate different model specifications. This article provides substantial improvements in the statistical and actuarial methods often applied to the calculation of insurance premium rates. These improvements are especially relevant to situations where data are limited.

Pricing corporate bonds in Brazil: 2000 to 2004

This paper analyzes the factors that influence the issuing price of debentures in Brazil in the period from year 2000 to 2004, applying a factor model, in which exogenous variables explain return and price behavior. The variables in this study include: rating, choice of index, maturity, country risk, basic interest rate, long-term and short-term rate spread, the stock market index, and the foreign exchange rate. Results indicate that the index variable, probability of default and bond`s maturity influence pricing and points out associations of long-term bonds with better rating issues. (C) 2008 Elsevier Inc. All rights reserved.

FOOD, FUEL, FORESTS, AND THE PRICING OF ECOSYSTEM SERVICES

U.S. Department of Energy (DOE), Office of Science[DE-FG02-94ER61937]

Affected and non-affected skin fibroblasts from systemic sclerosis patients share a gene expression profile deviated from the one observed in healthy individuals

Objectives To evaluate the gene expression profile of fibroblasts from affected and non-affected skin of systemic sclerosis (SSc) patients and from controls. Materials and methods Labeled cDNA from fibroblast cultures from forearm (affected) and axillary (non-affected) skin from six diffuse SSc patients, from three normal controls, and from MOLT-4/HEp-2/normal fibroblasts (reference pool) was probed in microarrays generated with 4193 human cDNAs from the IMAGE Consortium. Microarray images were converted into numerical data and gene expression was calculated as the ratio between fibroblast cDNA (Cy5) and reference pool cDNA (Cy3) data and analyzed by R environment/Aroma, Cluster, Tree View, and SAM softwares. Differential expression was confirmed by real time PCR for a set of selected genes. Results Eighty-eight genes were up- and 241 genes down-regulated in SSc fibroblasts. Gene expression correlation was strong between affected and non-affected fibroblast samples from the same patient (r>0.8), moderate among fibroblasts from all patients (r=0.72) and among fibroblasts from all controls (r=0.70), and modest among fibroblasts from patients and controls (r=0.55). The differential expression was confirmed by real time PCR for all selected genes. Conclusions Fibroblasts from affected and non-affected skin of SSc patients shared a similar abnormal gene expression profile, suggesting that the widespread molecular disturbance in SSc fibroblasts is more sensitive than histological and clinical alterations. Novel molecular elements potentially involved in SSc pathogenesis were identified.

Multipotent mesenchymal stromal cells obtained from diverse human tissues share functional properties and gene-expression profile with CD146(+) perivascular cells and fibroblasts

Objective. The relationship of multipotent mesenchymal stromal cells (MSC) with pericytes and fibroblasts has not been established thus far, although they share many markers of primitive marrow stromal cells and the osteogenic, adipogenic, and chondrogenic differentiation potentials. Materials and Methods. We compared MSCs from adult or fetal tissues, MSC differentiated in vitro, fibroblasts and cultures of retinal pericytes obtained either by separation with anti-CD146 or adhesion. The characterizations included morphological, immunophenotypic, gene-expression profile, and differentiation potential. Results. Osteogenic, adipocytic, and chondrocytic differentiation was demonstrated for MSC, retinal perivascular cells, and fibroblasts. Cell morphology and the phenotypes defined by 22 markers were very similar. Analysis of the global gene expression obtained by serial analysis of gene expression for 17 libraries and by reverse transcription polymerase chain reaction of 39 selected genes from 31 different cell cultures, revealed similarities among MSC, retinal perivascular cells, and hepatic stellate cells. Despite this overall similarity, there was a heterogeneous expression of genes related to angiogenesis, in MSC derived from veins, artery, perivascular cells, and fibroblasts. Evaluation of typical pericyte and MSC transcripts, such as NG2, CD146, CD271, and CD140B on CD146 selected perivascular cells and MSC by real-time polymerase chain reaction confirm the relationship between these two cell types. Furthermore, the inverse correlation between fibroblast-specific protein-1 and CD146 transcripts observed on pericytes, MSC, and fibroblasts highlight their potential use as markers of this differentiation pathway. Conclusion. Our results indicate that human MSC and pericytes are similar cells located in the wall of the vasculature, where they function as cell sources for repair and tissue maintenance, whereas fibroblasts are more differentiated cells with more restricted differentiation potential. (C) 2008 ISEH - Society for Hematology and Stem Cells. Published by Elsevier Inc.

Syndromic and non-syndromic aneurysms of the human ascending aorta share activation of the Smad2 pathway

Common features such as elastic fibre destruction, mucoid accumulation, and smooth muscle cell apoptosis are co-localized in aneurysms of the ascending aorta of various aetiologies. Recent experimental studies reported an activation of TGF-beta in aneurysms related to Marfan (and Loeys-Dietz) syndrome. Here we investigate TGF-beta signalling in normal and pathological human ascending aortic wall in syndromic and non-syndromic aneurysmal disease. Aneurysmal ascending aortic specimens, classified according to aetiology: syndromic MFS (n = 15, including two mutations in TGFBR2), associated with BAV (n = 15) or degenerative forms (n = 19), were examined. We show that the amounts of TGF-beta 1 protein retained within and released by aneurysmal tissue were greater than for control aortic tissue, whatever the aetiology, contrasting with an unchanged TGF-beta 1 mRNA level. The increase in stored TGF-beta 1 was associated with enhanced LTBP-I protein and mRNA levels. These dysiregulations of the extracellular ligand are associated with higher phosphorylated Smad2 and Smad2 mRNA levels in the ascending aortic wall from all types of aneurysm. This activation correlated with the degree of elastic fibre fragmentation. Surprisingly, there was no consistent association between the nuclear location of pSmad2 and extracellular TGF-beta 1 and LTBP-I staining and between their respective mRNA expressions. In parallel, decorin. was focally increased in aneurysmal media, whereas biglycan was globally decreased in aneurysmal aortas. In conclusion, this study highlights independent dysregulations of TGF-beta retention and Smad2 signalling in syndromic and non-syndromic aneurysms of the ascending aorta. Copyright (C) 2009 Pathological Society of Great Britain and Ireland. Published by John Wiley & Sons, Ltd.