Transformation kernel density estimation of actuarial loss functions

[cat] Es presenta un estimador nucli transformat que és adequat per a distribucions de cua pesada. Utilitzant una transformació basada en la distribució de probabilitat Beta l’elecció del paràmetre de finestra és molt directa. Es presenta una aplicació a dades d’assegurances i es mostra com calcular el Valor en Risc.

Transformation kernel density estimation of actuarial loss functions

[cat] Es presenta un estimador nucli transformat que és adequat per a distribucions de cua pesada. Utilitzant una transformació basada en la distribució de probabilitat Beta l’elecció del paràmetre de finestra és molt directa. Es presenta una aplicació a dades d’assegurances i es mostra com calcular el Valor en Risc.

Regions of rationality: Maps for bounded agents

An important problem in descriptive and prescriptive research in decision making is to identify regions of rationality, i.e., the areas for which heuristics are and are not effective. To map the contours of such regions, we derive probabilities that heuristics identify the best of m alternatives (m > 2) characterized by k attributes or cues (k > 1). The heuristics include a single variable (lexicographic), variations of elimination-by-aspects, equal weighting, hybrids of the preceding, and models exploiting dominance. We use twenty simulated and four empirical datasets for illustration. We further provide an overview by regressing heuristic performance on factors characterizing environments. Overall, sensible heuristics generally yield similar choices in many environments. However, selection of the appropriate heuristic can be important in some regions (e.g., if there is low inter-correlation among attributes/cues). Since our work assumes a hit or miss decision criterion, we conclude by outlining extensions for exploring the effects of different loss functions.

On the relationship between connections and the asymptotic properties of predictive distributions

In a recent paper, Komaki studied the second-order asymptotic properties of predictive distributions, using the Kullback-Leibler divergence as a loss function. He showed that estimative distributions with asymptotically efficient estimators can be improved by predictive distributions that do not belong to the model. The model is assumed to be a multidimensional curved exponential family. In this paper we generalize the result assuming as a loss function any f divergence. A relationship arises between alpha connections and optimal predictive distributions. In particular, using an alpha divergence to measure the goodness of a predictive distribution, the optimal shift of the estimate distribution is related to alpha-covariant derivatives. The expression that we obtain for the asymptotic risk is also useful to study the higher-order asymptotic properties of an estimator, in the mentioned class of loss functions.

Intensity correlation functions of dye lasers: Comparison of colored-gain-noise and colored-loss-noise models

The intensity correlation functions C(t) for the colored-gain-noise model of dye lasers are analyzed and compared with those for the loss-noise model. For correlation times ¿ larger than the deterministic relaxation time td, we show with the use of the adiabatic approximation that C(t) values coincide for both models. For small correlation times we use a method that provides explicit expressions of non-Markovian correlation functions, approximating simultaneously short- and long-time behaviors. Comparison with numerical simulations shows excellent results simultaneously for short- and long-time regimes. It is found that, when the correlation time of the noise increases, differences between the gain- and loss-noise models tend to disappear. The decay of C(t) for both models can be described by a time scale that approaches the deterministic relaxation time. However, in contrast with the loss-noise model, a secondary time scale remains for large times for the gain-noise model, which could allow one to distinguish between both models.

The gain-loss asymmetry and single-self preferences

Kahneman and Tversky asserted a fundamental asymmetry between gains and losses, namely a reflection effect which occurs when an individual prefers a sure gain of $ pz to anuncertain gain of $ z with probability p, while preferring an uncertain loss of $z with probability p to a certain loss of $ pz.We focus on this class of choices (actuarially fair), and explore the extent to which thereflection effect, understood as occurring at a range of wealth levels, is compatible with single-self preferences.We decompose the reflection effect into two components, a probability switch effect,which is compatible with single-self preferences, and a translation effect, which is not. To argue the first point, we analyze two classes of single-self, nonexpected utility preferences, which we label homothetic and weakly homothetic. In both cases, we characterize the switch effect as well as the dependence of risk attitudes on wealth.We also discuss two types of utility functions of a form reminiscent of expected utility but with distorted probabilities. Type I always distorts the probability of the worst outcome downwards, yielding attraction to small risks for all probabilities. Type II distorts low probabilities upwards, and high probabilities downwards, implying risk aversion when the probability of the worst outcome is low. By combining homothetic or weak homothetic preferences with Type I or Type II distortion functions, we present four explicit examples: All four display a switch effect and, hence, a form of reflection effect consistent a single self preferences.

New insights into cellular prion protein (PrPc) functions: the 'ying and yang' of a relevant protein.

The conversion of cellular prion protein (PrPc), a GPI-anchored protein, into a protease-K-resistant and infective form (generally termed PrPsc) is mainly responsible for Transmissible Spongiform Encephalopathies (TSEs), characterized by neuronal degeneration and progressive loss of basic brain functions. Although PrPc is expressed by a wide range of tissues throughout the body, the complete repertoire of its functions has not been fully determined. Recent studies have confirmed its participation in basic physiological processes such as cell proliferation and the regulation of cellular homeostasis. Other studies indicate that PrPc interacts with several molecules to activate signaling cascades with a high number of cellular effects. To determine PrPc functions, transgenic mouse models have been generated in the last decade. In particular, mice lacking specific domains of the PrPc protein have revealed the contribution of these domains to neurodegenerative processes. A dual role of PrPc has been shown, since most authors report protective roles for this protein while others describe pro-apoptotic functions. In this review, we summarize new findings on PrPc functions, especially those related to neural degeneration and cell signaling.

New insights into cellular prion protein (PrPc) functions: the 'ying and yang' of a relevant protein.

The conversion of cellular prion protein (PrPc), a GPI-anchored protein, into a protease-K-resistant and infective form (generally termed PrPsc) is mainly responsible for Transmissible Spongiform Encephalopathies (TSEs), characterized by neuronal degeneration and progressive loss of basic brain functions. Although PrPc is expressed by a wide range of tissues throughout the body, the complete repertoire of its functions has not been fully determined. Recent studies have confirmed its participation in basic physiological processes such as cell proliferation and the regulation of cellular homeostasis. Other studies indicate that PrPc interacts with several molecules to activate signaling cascades with a high number of cellular effects. To determine PrPc functions, transgenic mouse models have been generated in the last decade. In particular, mice lacking specific domains of the PrPc protein have revealed the contribution of these domains to neurodegenerative processes. A dual role of PrPc has been shown, since most authors report protective roles for this protein while others describe pro-apoptotic functions. In this review, we summarize new findings on PrPc functions, especially those related to neural degeneration and cell signaling.

Consequences of lineage-specific gene loss on functional evolution of surviving paralogs: ALDH1A and retinoic acid signaling in vertebrate genomes

Genome duplications increase genetic diversity and may facilitate the evolution of gene subfunctions. Little attention, however, has focused on the evolutionary impact of lineage-specific gene loss. Here, we show that identifying lineage-specific gene loss after genome duplication is important for understanding the evolution of gene subfunctions in surviving paralogs and for improving functional connectivity among human and model organism genomes. We examine the general principles of gene loss following duplication, coupled with expression analysis of the retinaldehyde dehydrogenase Aldh1a gene family during retinoic acid signaling in eye development as a case study. Humans have three ALDH1A genes, but teleosts have just one or two. We used comparative genomics and conserved syntenies to identify loss of ohnologs (paralogs derived from genome duplication) and to clarify uncertain phylogenies. Analysis showed that Aldh1a1 and Aldh1a2 form a clade that is sister to Aldh1a3-related genes. Genome comparisons showed secondarily loss of aldh1a1 in teleosts, revealing that Aldh1a1 is not a tetrapod innovation and that aldh1a3 was recently lost in medaka, making it the first known vertebrate with a single aldh1a gene. Interestingly, results revealed asymmetric distribution of surviving ohnologs between co-orthologous teleost chromosome segments, suggesting that local genome architecture can influence ohnolog survival. We propose a model that reconstructs the chromosomal history of the Aldh1a family in the ancestral vertebrate genome, coupled with the evolution of gene functions in surviving Aldh1a ohnologs after R1, R2, and R3 genome duplications. Results provide evidence for early subfunctionalization and late subfunction-partitioning and suggest a mechanistic model based on altered regulation leading to heterochronic gene expression to explain the acquisition or modification of subfunctions by surviving ohnologs that preserve unaltered ancestral developmental programs in the face of gene loss.

Urban population density functions : the case of the Barcelona region

L'anàlisi de la densitat urbana és utilitzada per examinar la distribució espacial de la població dins de les àrees urbanes, i és força útil per planificar els serveis públics. En aquest article, s'estudien setze formes funcionals clàssiques de la relació existent entre la densitat i la distancia en la regió metropolitana de Barcelona i els seus onze subcentres.

Some remarks on the class of continuous (Semi-) strictcly quasiconvex functions

Vegeu el resum a l'inici del document del fitxer adjunt

Clarke critical values of subanalytic Lipschitz continuous functions

We prove that any subanalytic locally Lipschitz function has the Sard property. Such functions are typically nonsmooth and their lack of regularity necessitates the choice of some generalized notion of gradient and of critical point. In our framework these notions are defined in terms of the Clarke and of the convex-stable subdifferentials. The main result of this note asserts that for any subanalytic locally Lipschitz function the set of its Clarke critical values is locally finite. The proof relies on Pawlucki's extension of the Puiseuxlemma. In the last section we give an example of a continuous subanalytic function which is not constant on a segment of "broadly critical" points, that is, points for which we can find arbitrarily short convex combinations of gradients at nearby points.

Elicited bid functions in (a)symmetric first-price auctions

We report on a series of experiments that examine bidding behavior in first-price sealed bid auctions with symmetric and asymmetric bidders. To study the extent of strategic behavior, we use an experimental design that elicits bidders' complete bid functions in each round (auction) of the experiment. In the aggregate, behavior is consistent with the basic equilibrium predictions for risk neutral or homogenous risk averse bidders (extent of bid shading, average seller's revenues and deviations from equilibrium). However, when we look at the extent of best reply behavior and the shape of bid functions, we find that individual behavior is not in line with the received equilibrium models, although it exhibits strategic sophistication.

Increasing quasiconcave production and utility functions with diminishing returns to scale

In microeconomic analysis functions with diminishing returns to scale (DRS) have frequently been employed. Various properties of increasing quasiconcave aggregator functions with DRS are derived. Furthermore duality in the classical sense as well as of a new type is studied for such aggregator functions in production and consumer theory. In particular representation theorems for direct and indirect aggregator functions are obtained. These involve only small sets of generator functions. The study is carried out in the contemporary framework of abstract convexity and abstract concavity.