Mutations of the Serine Protease CAP1/Prss8 Lead to Reduced Embryonic Viability, Skin Defects, and Decreased ENaC Activity.

CAP1/Prss8 is a membrane-bound serine protease involved in the regulation of several different effectors, such as the epithelial sodium channel ENaC, the protease-activated receptor PAR2, the tight junction proteins, and the profilaggrin polypeptide. Recently, the V170D and the G54-P57 deletion mutations within the CAP1/Prss8 gene, identified in mouse frizzy (fr) and rat hairless (fr(CR)) animals, respectively, have been proposed to be responsible for their skin phenotypes. In the present study, we analyzed those mutations, revealing a change in the protein structure, a modification of the glycosylation state, and an overall reduction in the activation of ENaC of the two mutant proteins. In vivo analyses demonstrated that both fr and fr(CR) mutant animals present analogous reduction of embryonic viability, similar histologic aberrations at the level of the skin, and a significant decrease in the activity of ENaC in the distal colon compared with their control littermates. Hairless rats additionally had dehydration defects in skin and intestine and significant reduction in the body weight. In conclusion, we provided molecular and functional evidence that CAP1/Prss8 mutations are accountable for the defects in fr and fr(CR) animals, and we furthermore demonstrate a decreased function of the CAP1/Prss8 mutant proteins. Therefore, fr and fr(CR) animals are suitable models to investigate the consequences of CAP1/Prss8 action on its target proteins in the whole organism.

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.