Valuing equity-linked death benefits in jump diffusion models

The paper is motivated by the valuation problem of guaranteed minimum death benefits in various equity-linked products. At the time of death, a benefit payment is due. It may depend not only on the price of a stock or stock fund at that time, but also on prior prices. The problem is to calculate the expected discounted value of the benefit payment. Because the distribution of the time of death can be approximated by a combination of exponential distributions, it suffices to solve the problem for an exponentially distributed time of death. The stock price process is assumed to be the exponential of a Brownian motion plus an independent compound Poisson process whose upward and downward jumps are modeled by combinations (or mixtures) of exponential distributions. Results for exponential stopping of a Lévy process are used to derive a series of closed-form formulas for call, put, lookback, and barrier options, dynamic fund protection, and dynamic withdrawal benefit with guarantee. We also discuss how barrier options can be used to model lapses and surrenders.

Diabetes risk scores and death: predictability and practicability in two different populations.

The aim was to examine the capacity of commonly used type 2 diabetes mellitus (T2DM) risk scores to predict overall mortality. The US-based NHANES III (n = 3138; 982 deaths) and the Swiss-based CoLaus study (n = 3946; 191 deaths) were used. The predictive value of eight T2DM risk scores regarding overall mortality was tested. The Griffin score, based on few self-reported parameters, presented the best (NHANES III) and second best (CoLaus) predictive capacity. Generally, the predictive capacity of scores based on clinical (anthropometrics, lifestyle, history) and biological (blood parameters) data was not better than of scores based solely on clinical self-reported data. T2DM scores can be validly used to predict mortality risk in general populations without diabetes. Comparison with other scores could further show whether such scores also suit as a screening tool for quick overall health risk assessment.

"Voyage through death/to life upon these shores": the living dead of the Middle Passage

While historical studies of the Atlantic slave trade have amply demonstrated the magnitude of slave mortality during the Middle Passage, only recently have they started to examine how the captives might have endured and coped with this traumatic experience. Although it constitutes a major topos in African diasporic culture, the Middle Passage has only occasionally been represented directly and in details in novels and in films. This article examines three recent narratives of the Middle Passage, Fred D'Aguiar's novel Feeding the Ghosts (1998), Guy Deslauriers's film Passage du milieu (2000), and Stephanie Smallwood's historical study Saltwater Slavery: A Middle Passage from Africa to American Diaspora (2007). Beyond their individual poetic, aesthetic, and scholarly qualities, what is most striking about these three texts is that they all use the figure of the living dead in order to explore the captives' experience of the transatlantic journey. If the ghastly quality of the living dead powerfully captures the life-threatening material and physical conditions the captives endured on the voyage, its dual, liminal character also allows D'Aguiar, Deslauriers, and Smallwood to represent the metaphysical, psychological, social, and cultural journey they were forced to undertake. Through their use of the trope of the living dead, these three texts show that if death is indeed a central aspect of the experience of the Middle Passage, it impacts the captives in ways that go well beyond the issue of mortality.

European cancer mortality predictions for the year 2015 : does lung cancer have the highest death rate in EU women?

BACKGROUND: Cancer mortality statistics for 2015 were projected from the most recent available data for the European Union (EU) and its six more populous countries. Prostate cancer was analysed in detail. PATIENTS AND METHODS: Population and death certification data from stomach, colorectum, pancreas, lung, breast, uterus, prostate, leukaemias and total cancers were obtained from the World Health Organisation database and Eurostat. Figures were derived for the EU, France, Germany, Italy, Poland, Spain and the UK. Projected 2015 numbers of deaths by age group were obtained by linear regression on estimated numbers of deaths over the most recent time period identified by a joinpoint regression model. RESULTS: A total of 1 359 100 cancer deaths are predicted in the EU in 2015 (766 200 men and 592 900 women), corresponding to standardised death rates of 138.4/100 000 men and 83.9/100 000 women, falling 7.5% and 6%, respectively, since 2009. In men, predicted rates for the three major cancers (lung, colorectum and prostate) are lower than in 2009, falling 9%, 5% and 12%. Prostate cancer showed predicted falls of 14%, 17% and 9% in the 35-64, 65-74 and 75+ age groups. In women, breast and colorectal cancers had favourable trends (-10% and -8%), but predicted lung cancer rates rise 9% to 14.24/100 000 becoming the cancer with the highest rate, reaching and possibly overtaking breast cancer rates-though the total number of deaths remain higher for breast (90 800) than lung (87 500). Pancreatic cancer has a negative outlook in both sexes, rising 4% in men and 5% in women between 2009 and 2015. CONCLUSIONS: Cancer mortality predictions for 2015 confirm the overall favourable cancer mortality trend in the EU, translating to an overall 26% fall in men since its peak in 1988, and 21% in women, and the avoidance of over 325 000 deaths in 2015 compared with the peak rate.

When gas analysis assists with postmortem imaging to diagnose causes of death.

Postmortem imaging consists in the non-invasive examination of bodies using medical imaging techniques. However, gas volume quantification and the interpretation of the gas collection results from cadavers remain difficult. We used whole-body postmortem multi-detector computed tomography (MDCT) followed by a full autopsy or external examination to detect the gaseous volumes in bodies. Gases were sampled from cardiac cavities, and the sample compositions were analyzed by headspace gas chromatography-mass spectrometry/thermal conductivity detection (HS-GC-MS/TCD). Three categories were defined according to the presumed origin of the gas: alteration/putrefaction, high-magnitude vital gas embolism (e.g., from scuba diving accident) and gas embolism of lower magnitude (e.g., following a traumatic injury). Cadaveric alteration gas was diagnosed even if only one gas from among hydrogen, hydrogen sulfide or methane was detected. In alteration cases, the carbon dioxide/nitrogen ratio was often >0.2, except in the case of advanced alteration, when methane presence was the best indicator. In the gas embolism cases (vital or not), hydrogen, hydrogen sulfide and methane were absent. Moreover, with high-magnitude vital gas embolisms, carbon dioxide content was >20%, and the carbon dioxide/nitrogen ratio was >0.2. With gas embolisms of lower magnitude (gas presence consecutive to a traumatic injury), carbon dioxide content was <20% and the carbon dioxide/nitrogen ratio was often <0.2. We found that gas analysis provided useful assistance to the postmortem imaging diagnosis of causes of death. Based on the quantifications of gaseous cardiac samples, reliable indicators were determined to document causes of death. MDCT examination of the body must be performed as quickly as possible, as does gas sampling, to avoid generating any artifactual alteration gases. Because of cardiac gas composition analysis, it is possible to distinguish alteration gases and gas embolisms of different magnitudes.

Pathological changes in anabolic androgenic steroid users.

Several classes of recreational and prescription drugs have additional effects on the heart and vasculature, which may significantly contribute to morbidity and mortality in chronic users. The study presented herein focuses on pathological changes involving the heart possibly due to anabolic androgenic steroid use. The role these hormones may play in their occurrence of sudden cardiac death is also investigated. 98 medico-legal cases including 6 anabolic androgenic steroid users were retrospectively reviewed. Autopsies, histology, immunohistochemistry, biochemistry and toxicology were performed in all cases. Pathological changes consisted of various degrees of interstitial and perivascular fibrosis as well as fibroadipous metaplasia and perineural fibrosis within the myocardium of the left ventricle. Within the limits of the small number of investigated cases, our results appear to confirm former observations on this topic and suggest anabolic androgenic steroid's potential causative role in the pathogenesis of sudden cardiac deaths in chronic users.

Geometric stopping of a random walk and its applications to valuing equity-linked death benefits

We study discrete-time models in which death benefits can depend on a stock price index, the logarithm of which is modeled as a random walk. Examples of such benefit payments include put and call options, barrier options, and lookback options. Because the distribution of the curtate-future-lifetime can be approximated by a linear combination of geometric distributions, it suffices to consider curtate-future-lifetimes with a geometric distribution. In binomial and trinomial tree models, closed-form expressions for the expectations of the discounted benefit payment are obtained for a series of options. They are based on results concerning geometric stopping of a random walk, in particular also on a version of the Wiener-Hopf factorization.

Combinative effects of β-Lapachone and APO866 on pancreatic cancer cell death through reactive oxygen species production and PARP-1 activation.

UNLABELLED: Pancreatic cancer (PC) is one of the most lethal human malignancies and a major health problem. Patients diagnosed with PC and treated with conventional approaches have an overall 5-year survival rate of less than 5%. Novel strategies are needed to treat this disease. Herein, we propose a combinatorial strategy that targets two unrelated metabolic enzymes overexpressed in PC cells: NAD(P)H: quinone oxidoreductase-1 (NQO1) and nicotinamide phosphoribosyl transferase (NAMPT) using β-lapachone (BL) and APO866, respectively. We show that BL tremendously enhances the antitumor activity of APO866 on various PC cell lines without affecting normal cells, in a PARP-1 dependent manner. The chemopotentiation of APO866 with BL was characterized by the following: (i) nicotinamide adenine dinucleotide (NAD) depletion; (ii) catalase (CAT) degradation; (iii) excessive H2O2 production; (iv) dramatic drop of mitochondrial membrane potential (MMP); and finally (v) autophagic-associated cell death. H2O2 production, loss of MMP and cell death (but not NAD depletion) were abrogated by exogenous supplementation with CAT or pharmacological or genetic inhibition of PARP-1. Our data demonstrates that the combination of a non-lethal dose of BL and low dose of APO866 optimizes significantly cell death on various PC lines over both compounds given separately and open new and promising combination in PC therapy.

JNK Inhibition Reduced Retinal Ganglion Cell Death after Ischemia/Reperfusion In Vivo and after Hypoxia In Vitro.

Mitogen-activated protein kinases (MAPKs) are key regulators that have been linked to cell survival and death. Among the main classes of MAPKs, c-jun N-terminal kinase (JNK) has been shown to mediate cell stress responses associated with apoptosis. In Vitro, hypoxia induced a significant increase in 661W cell death that paralleled increased activity of JNK and c-jun. 661W cells cultured in presence of the inhibitor of JNK (D-JNKi) were less sensitive to hypoxia-induced cell death. In vivo, elevation in intraocular pressure (IOP) in the rat promoted cell death that correlated with modulation of JNK activation. In vivo inhibition of JNK activation with D-JNKi resulted in a significant and sustained decrease in apoptosis in the ganglion cell layer, the inner nuclear layer and the photoreceptor layer. These results highlight the protective effect of D-JNKi in ischemia/reperfusion induced cell death of the retina.

Embolic Strokes of Undetermined Source in the Athens Stroke Registry: an Outcome Analysis.

BACKGROUND AND PURPOSE: Information about outcomes in Embolic Stroke of Undetermined Source (ESUS) patients is unavailable. This study provides a detailed analysis of outcomes of a large ESUS population. METHODS: Data set was derived from the Athens Stroke Registry. ESUS was defined according to the Cryptogenic Stroke/ESUS International Working Group criteria. End points were mortality, stroke recurrence, functional outcome, and a composite cardiovascular end point comprising recurrent stroke, myocardial infarction, aortic aneurysm rupture, systemic embolism, or sudden cardiac death. We performed Kaplan-Meier analyses to estimate cumulative probabilities of outcomes by stroke type and Cox-regression to investigate whether stroke type was outcome predictor. RESULTS: 2731 patients were followed-up for a mean of 30.5±24.1months. There were 73 (26.5%) deaths, 60 (21.8%) recurrences, and 78 (28.4%) composite cardiovascular end points in the 275 ESUS patients. The cumulative probability of survival in ESUS was 65.6% (95% confidence intervals [CI], 58.9%-72.2%), significantly higher compared with cardioembolic stroke (38.8%, 95% CI, 34.9%-42.7%). The cumulative probability of stroke recurrence in ESUS was 29.0% (95% CI, 22.3%-35.7%), similar to cardioembolic strokes (26.8%, 95% CI, 22.1%-31.5%), but significantly higher compared with all types of noncardioembolic stroke. One hundred seventy-two (62.5%) ESUS patients had favorable functional outcome compared with 280 (32.2%) in cardioembolic and 303 (60.9%) in large-artery atherosclerotic. ESUS patients had similar risk of composite cardiovascular end point as all other stroke types, with the exception of lacunar strokes, which had significantly lower risk (adjusted hazard ratio, 0.70 [95% CI, 0.52-0.94]). CONCLUSIONS: Long-term mortality risk in ESUS is lower compared with cardioembolic strokes, despite similar rates of recurrence and composite cardiovascular end point. Recurrent stroke risk is higher in ESUS than in noncardioembolic strokes.