What Transaction Costs are Acceptable in Life Insurance Products from the Policyholders' Viewpoint?

Purpose - The purpose of this paper is to analyze what transaction costs are acceptable for customers in different investments. In this study, two life insurance contracts, a mutual fund and a risk-free investment, as alternative investment forms are considered. The first two products under scrutiny are a life insurance investment with a point-to-point capital guarantee and a participating contract with an annual interest rate guarantee and participation in the insurer's surplus. The policyholder assesses the various investment opportunities using different utility measures. For selected types of risk profiles, the utility position and the investor's preference for the various investments are assessed. Based on this analysis, the authors study which cost levels can make all of the products equally rewarding for the investor. Design/methodology/approach - The paper notes the risk-neutral valuation calibration using empirical data utility and performance measurement dynamics underlying: geometric Brownian motion numerical examples via Monte Carlo simulation. Findings - In the first step, the financial performance of the various saving opportunities under different assumptions of the investor's utility measurement is studied. In the second step, the authors calculate the level of transaction costs that are allowed in the various products to make all of the investment opportunities equally rewarding from the investor's point of view. A comparison of these results with transaction costs that are common in the market shows that insurance companies must be careful with respect to the level of transaction costs that they pass on to their customers to provide attractive payoff distributions. Originality/value - To the best of the authors' knowledge, their research question - i.e. which transaction costs for life insurance products would be acceptable from the customer's point of view - has not been studied in the above described context so far.

Properties of a risk measure derived from ruin theory

This paper studies a risk measure inherited from ruin theory and investigates some of its properties. Specifically, we consider a value-at-risk (VaR)-type risk measure defined as the smallest initial capital needed to ensure that the ultimate ruin probability is less than a given level. This VaR-type risk measure turns out to be equivalent to the VaR of the maximal deficit of the ruin process in infinite time. A related Tail-VaR-type risk measure is also discussed.

Scores to predict major bleeding risk during oral anticoagulation therapy: a prospective validation study.

BACKGROUND: Clinical scores may help physicians to better assess the individual risk/benefit of oral anticoagulant therapy. We aimed to externally validate and compare the prognostic performance of 7 clinical prediction scores for major bleeding events during oral anticoagulation therapy. METHODS: We followed 515 adult patients taking oral anticoagulants to measure the first major bleeding event over a 12-month follow-up period. The performance of each score to predict the risk of major bleeding and the physician's subjective assessment of bleeding risk were compared with the C statistic. RESULTS: The cumulative incidence of a first major bleeding event during follow-up was 6.8% (35/515). According to the 7 scoring systems, the proportions of major bleeding ranged from 3.0% to 5.7% for low-risk, 6.7% to 9.9% for intermediate-risk, and 7.4% to 15.4% for high-risk patients. The overall predictive accuracy of the scores was poor, with the C statistic ranging from 0.54 to 0.61 and not significantly different from each other (P=.84). Only the Anticoagulation and Risk Factors in Atrial Fibrillation score performed slightly better than would be expected by chance (C statistic, 0.61; 95% confidence interval, 0.52-0.70). The performance of the scores was not statistically better than physicians' subjective risk assessments (C statistic, 0.55; P=.94). CONCLUSION: The performance of 7 clinical scoring systems in predicting major bleeding events in patients receiving oral anticoagulation therapy was poor and not better than physicians' subjective assessments.

Subclinical hyperthyroidism and the risk of coronary heart disease and mortality.

BACKGROUND: Data from prospective cohort studies regarding the association between subclinical hyperthyroidism and cardiovascular outcomes are conflicting.We aimed to assess the risks of total and coronary heart disease (CHD) mortality, CHD events, and atrial fibrillation (AF) associated with endogenous subclinical hyperthyroidism among all available large prospective cohorts. METHODS: Individual data on 52 674 participants were pooled from 10 cohorts. Coronary heart disease events were analyzed in 22 437 participants from 6 cohorts with available data, and incident AF was analyzed in 8711 participants from 5 cohorts. Euthyroidism was defined as thyrotropin level between 0.45 and 4.49 mIU/L and endogenous subclinical hyperthyroidism as thyrotropin level lower than 0.45 mIU/L with normal free thyroxine levels, after excluding those receiving thyroid-altering medications. RESULTS: Of 52 674 participants, 2188 (4.2%) had subclinical hyperthyroidism. During follow-up, 8527 participants died (including 1896 from CHD), 3653 of 22 437 had CHD events, and 785 of 8711 developed AF. In age- and sex-adjusted analyses, subclinical hyperthyroidism was associated with increased total mortality (hazard ratio[HR], 1.24, 95% CI, 1.06-1.46), CHD mortality (HR,1.29; 95% CI, 1.02-1.62), CHD events (HR, 1.21; 95%CI, 0.99-1.46), and AF (HR, 1.68; 95% CI, 1.16-2.43).Risks did not differ significantly by age, sex, or preexisting cardiovascular disease and were similar after further adjustment for cardiovascular risk factors, with attributable risk of 14.5% for total mortality to 41.5% forAF in those with subclinical hyperthyroidism. Risks for CHD mortality and AF (but not other outcomes) were higher for thyrotropin level lower than 0.10 mIU/L compared with thyrotropin level between 0.10 and 0.44 mIU/L(for both, P value for trend, .03). CONCLUSION: Endogenous subclinical hyperthyroidism is associated with increased risks of total, CHD mortality, and incident AF, with highest risks of CHD mortality and AF when thyrotropin level is lower than 0.10 mIU/L.

Three essays on bankruptcy risk

Abstract Market prices of corporate bond spreads and of credit default swap (CDS) rates do not match each other. In this paper, we argue that the liquidity premium, the cheapest-to-deliver (CTD) option and actual market segmentation explain the pricing differences. Using the European transaction data from Reuters and Bloomberg, we estimate the liquidity premium that is time- varying and firm-specific. We show that when time-dependent liquidity premiums are considered, corporate bond spreads and CDS rates behave in a much closer way than previous studies have shown. We find that high equity volatility drives pricing differences that can be explained by the CTD option.

Selected polymorphisms in sex hormone-related genes, circulating sex hormones and risk of endometrial cancer.

BACKGROUND: The role of estrogen and progesterone in the development of endometrial cancer is well documented. Few studies have examined the association of genetic variants in sex hormone-related genes with endometrial cancer risk. METHODS: We conducted a case-control study nested within three cohorts to examine the association of endometrial cancer risk with polymorphisms in hormone-related genes among 391 cases (92% postmenopausal at diagnosis) and 712 individually-matched controls. We also examined the association of these polymorphisms with circulating levels of sex hormones and SHBG in a cross-sectional analysis including 596 healthy postmenopausal women at blood donation (controls from this nested case-control study and from a nested case-control study of breast cancer in one of the three cohorts). RESULTS: Adjusting for endometrial cancer risk factors, the A allele of rs4775936 in CYP19 was significantly associated (OR(per allele)=1.22, 95% CI=1.01-1.47, p(trend)=0.04), while the T allele of rs10046 was marginally associated with increased risk of endometrial cancer (OR(per allele)=1.20, 95% CI=0.99-1.45, p(trend)=0.06). PGR rs1042838 was also marginally associated with risk (OR(per allele)=1.25, 95% CI=0.96-1.61, p(trend)=0.09). No significant association was found for the other polymorphisms, i.e. CYP1B1 rs1800440 and rs1056836, UGT1A1 rs8175347, SHBG rs6259 and ESR1 rs2234693. Rs8175347 was significantly associated with postmenopausal levels of estradiol, free estradiol and estrone and rs6259 with SHBG and estradiol. CONCLUSION: Our findings support an association between genetic variants in CYP19, and possibly PGR, and risk of endometrial cancer.

Estimating the risk of developing type 2 diabetes: a comparison of several risk scores: the Cohorte Lausannoise study.

To compare in the Swiss population the results of several scores estimating the risk of developing type 2 diabetes. This was a single-center, cross-sectional study conducted between 2003 and 2006 in Lausanne, Switzerland. Overall, 3,251 women and 2,937 men, aged 35-75 years, were assessed, of which 5,760 (93%) were free from diabetes and included in the current study. The risk of developing type 2 diabetes was assessed using seven different risk scores, including clinical data with or without biological data. Participants were considered to be eligible for primary prevention according to the thresholds provided for each score. The results were then extrapolated to the Swiss population of the same sex and age. The risk of developing type 2 diabetes increased with age in all scores. The prevalence of participants at high risk ranged between 1.6 and 24.9% in men and between 1.1 and 15.7% in women. Extrapolated to the Swiss population of similar age, the overall number of participants at risk, and thus susceptible to intervention, ranged between 46,708 and 636,841. In addition, scores that included the same clinical variables led to a significantly different prevalence of participants at risk (4.2% [95% CI 3.4-5.0] vs. 12.8% [11.5-14.1] in men and 2.9% [2.4-3.6] vs. 6.0% [5.2-6.9] in women). CONCLUSIONS; The prevalence of participants at risk for developing type 2 diabetes varies considerably according to the scoring system used. To adequately prevent type 2 diabetes, risk-scoring systems must be validated for each population considered.

Systematic evaluation of risk factors for diagnostic delay in inflammatory bowel disease.

The diagnosis of inflammatory bowel disease (IBD), comprising Crohn's disease (CD) and ulcerative colitis (UC), continues to present difficulties due to unspecific symptoms and limited test accuracies. We aimed to determine the diagnostic delay (time from first symptoms to IBD diagnosis) and to identify associated risk factors. A total of 1591 IBD patients (932 CD, 625 UC, 34 indeterminate colitis) from the Swiss IBD cohort study (SIBDCS) were evaluated. The SIBDCS collects data on a large sample of IBD patients from hospitals and private practice across Switzerland through physician and patient questionnaires. The primary outcome measure was diagnostic delay. Diagnostic delay in CD patients was significantly longer compared to UC patients (median 9 versus 4 months, P < 0.001). Seventy-five percent of CD patients were diagnosed within 24 months compared to 12 months for UC and 6 months for IC patients. Multivariate logistic regression identified age <40 years at diagnosis (odds ratio [OR] 2.15, P = 0.010) and ileal disease (OR 1.69, P = 0.025) as independent risk factors for long diagnostic delay in CD (>24 months). In UC patients, nonsteroidal antiinflammatory drug (NSAID intake (OR 1.75, P = 0.093) and male gender (OR 0.59, P = 0.079) were associated with long diagnostic delay (>12 months). Whereas the median delay for diagnosing CD, UC, and IC seems to be acceptable, there exists a long delay in a considerable proportion of CD patients. More public awareness work needs to be done in order to reduce patient and doctor delays in this target population.

Subclinical thyroid dysfunction and the risk of heart failure events: an individual participant data analysis from 6 prospective cohorts.

BACKGROUND: American College of Cardiology/American Heart Association guidelines for the diagnosis and management of heart failure recommend investigating exacerbating conditions such as thyroid dysfunction, but without specifying the impact of different thyroid-stimulation hormone (TSH) levels. Limited prospective data exist on the association between subclinical thyroid dysfunction and heart failure events. METHODS AND RESULTS: We performed a pooled analysis of individual participant data using all available prospective cohorts with thyroid function tests and subsequent follow-up of heart failure events. Individual data on 25 390 participants with 216 248 person-years of follow-up were supplied from 6 prospective cohorts in the United States and Europe. Euthyroidism was defined as TSH of 0.45 to 4.49 mIU/L, subclinical hypothyroidism as TSH of 4.5 to 19.9 mIU/L, and subclinical hyperthyroidism as TSH <0.45 mIU/L, the last two with normal free thyroxine levels. Among 25 390 participants, 2068 (8.1%) had subclinical hypothyroidism and 648 (2.6%) had subclinical hyperthyroidism. In age- and sex-adjusted analyses, risks of heart failure events were increased with both higher and lower TSH levels (P for quadratic pattern <0.01); the hazard ratio was 1.01 (95% confidence interval, 0.81-1.26) for TSH of 4.5 to 6.9 mIU/L, 1.65 (95% confidence interval, 0.84-3.23) for TSH of 7.0 to 9.9 mIU/L, 1.86 (95% confidence interval, 1.27-2.72) for TSH of 10.0 to 19.9 mIU/L (P for trend <0.01) and 1.31 (95% confidence interval, 0.88-1.95) for TSH of 0.10 to 0.44 mIU/L and 1.94 (95% confidence interval, 1.01-3.72) for TSH <0.10 mIU/L (P for trend=0.047). Risks remained similar after adjustment for cardiovascular risk factors. CONCLUSION: Risks of heart failure events were increased with both higher and lower TSH levels, particularly for TSH ≥10 and <0.10 mIU/L.

Comparison of clinical and angiographic prognostic risk scores in elderly patients presenting with acute coronary syndrome and referred for percutaneous coronary intervention.

BACKGROUND: Multiple risk prediction models have been validated in all-age patients presenting with acute coronary syndrome (ACS) and treated with percutaneous coronary intervention (PCI); however, they have not been validated specifically in the elderly. METHODS: We calculated the GRACE (Global Registry of Acute Coronary Events) score, the logistic EuroSCORE, the AMIS (Acute Myocardial Infarction Swiss registry) score, and the SYNTAX (Synergy between Percutaneous Coronary Intervention with TAXUS and Cardiac Surgery) score in a consecutive series of 114 patients ≥75 years presenting with ACS and treated with PCI within 24 hours of hospital admission. Patients were stratified according to score tertiles and analysed retrospectively by comparing the lower/mid tertiles as an aggregate group with the higher tertile group. The primary endpoint was 30-day mortality. Secondary endpoints were the composite of death and major adverse cardiovascular events (MACE) at 30 days, and 1-year MACE-free survival. Model discrimination ability was assessed using the area under receiver operating characteristic curve (AUC). RESULTS: Thirty-day mortality was higher in the upper tertile compared with the aggregate lower/mid tertiles according to the logistic EuroSCORE (42% vs 5%; odds ratio [OR] = 14, 95% confidence interval [CI] = 4-48; p <0.001; AUC = 0.79), the GRACE score (40% vs 4%; OR = 17, 95% CI = 4-64; p <0.001; AUC = 0.80), the AMIS score (40% vs 4%; OR = 16, 95% CI = 4-63; p <0.001; AUC = 0.80), and the SYNTAX score (37% vs 5%; OR = 11, 95% CI = 3-37; p <0.001; AUC = 0.77). CONCLUSIONS: In elderly patients presenting with ACS and referred to PCI within 24 hours of admission, the GRACE score, the EuroSCORE, the AMIS score, and the SYNTAX score predicted 30 day mortality. The predictive value of clinical scores was improved by using them in combination.

Importance of a three-dimensional measure of humeral head subluxation in osteoarthritic shoulders.

HYPOTHESIS: During total shoulder arthroplasty (TSA), humeral head subluxation may be difficult to manage. Furthermore, there is a risk for postoperative recurrence of subluxation, affecting the outcome of TSA. An accurate evaluation of the subluxation is necessary to evaluate this risk. Currently, subluxation is measured in 2 dimensions (2D), usually relative to the glenoid face. The goal of this study was to extend this measure to 3 dimensions (3D) to compare glenohumeral and scapulohumeral subluxation and to evaluate the association of subluxation with the glenoid version. MATERIALS AND METHODS: The study analyzed 112 computed tomography scans of osteoarthritic shoulders. We extended the usual 2D definition of glenohumeral subluxation, scapulohumeral subluxation, and glenoid version by measuring their orientation in 3D relative to the scapular plane and the scapular axis. We evaluated statistical associations between subluxation and version in 2D and 3D. RESULTS: Orientation of subluxation and version covered all sectors of the glenoid surface. Scapulohumeral subluxation and glenoid version were highly correlated in amplitude (R(2) = 0.71; P < .01) and in orientation (R(2) = 0.86; P < .01). Approximately every degree of glenoid version induced 1% of scapulohumeral subluxation in the same orientation of the version. Conversely, glenohumeral subluxation was not correlated to glenoid version in 2D or in 3D. CONCLUSIONS: Orientation of the humeral subluxation is rarely within the arbitrary computed tomography plane and should therefore be measured in 3D to detect out-of-plane subluxation. Scapulohumeral subluxation and glenoid version measured in 3D could bring valuable information for decision making during TSA.

Subclinical thyroid dysfunction, cardiac function, and the risk of heart failure. The Cardiovascular Health study.

OBJECTIVES: The goal of this study was to determine whether subclinical thyroid dysfunction was associated with incident heart failure (HF) and echocardiogram abnormalities. BACKGROUND: Subclinical hypothyroidism and hyperthyroidism have been associated with cardiac dysfunction. However, long-term data on the risk of HF are limited. METHODS: We studied 3,044 adults>or=65 years of age who initially were free of HF in the Cardiovascular Health Study. We compared adjudicated HF events over a mean 12-year follow-up and changes in cardiac function over the course of 5 years among euthyroid participants, those with subclinical hypothyroidism (subdivided by thyroid-stimulating hormone [TSH] levels: 4.5 to 9.9, >or=10.0 mU/l), and those with subclinical hyperthyroidism. RESULTS: Over the course of 12 years, 736 participants developed HF events. Participants with TSH>or=10.0 mU/l had a greater incidence of HF compared with euthyroid participants (41.7 vs. 22.9 per 1,000 person years, p=0.01; adjusted hazard ratio: 1.88; 95% confidence interval: 1.05 to 3.34). Baseline peak E velocity, which is an echocardiographic measurement of diastolic function associated with incident HF in the CHS cohort, was greater in those patients with TSH>or=10.0 mU/l compared with euthyroid participants (0.80 m/s vs. 0.72 m/s, p=0.002). Over the course of 5 years, left ventricular mass increased among those with TSH>or=10.0 mU/l, but other echocardiographic measurements were unchanged. Those patients with TSH 4.5 to 9.9 mU/l or with subclinical hyperthyroidism had no increase in risk of HF. CONCLUSIONS: Compared with euthyroid older adults, those adults with TSH>or=10.0 mU/l have a moderately increased risk of HF and alterations in cardiac function but not older adults with TSH<10.0 mU/l. Clinical trials should assess whether the risk of HF might be ameliorated by thyroxine replacement in individuals with TSH>or=10.0 mU/l.

Treatment intensification and risk factor control: toward more clinically relevant quality measures.

BACKGROUND: Intensification of pharmacotherapy in persons with poorly controlled chronic conditions has been proposed as a clinically meaningful process measure of quality. OBJECTIVE: To validate measures of treatment intensification by evaluating their associations with subsequent control in hypertension, hyperlipidemia, and diabetes mellitus across 35 medical facility populations in Kaiser Permanente, Northern California. DESIGN: Hierarchical analyses of associations of improvements in facility-level treatment intensification rates from 2001 to 2003 with patient-level risk factor levels at the end of 2003. PATIENTS: Members (515,072 and 626,130; age >20 years) with hypertension, hyperlipidemia, and/or diabetes mellitus in 2001 and 2003, respectively. MEASUREMENTS: Treatment intensification for each risk factor defined as an increase in number of drug classes prescribed, of dosage for at least 1 drug, or switching to a drug from another class within 3 months of observed poor risk factor control. RESULTS: Facility-level improvements in treatment intensification rates between 2001 and 2003 were strongly associated with greater likelihood of being in control at the end of 2003 (P < or = 0.05 for each risk factor) after adjustment for patient- and facility-level covariates. Compared with facility rankings based solely on control, addition of percentages of poorly controlled patients who received treatment intensification changed 2003 rankings substantially: 14%, 51%, and 29% of the facilities changed ranks by 5 or more positions for hypertension, hyperlipidemia, and diabetes, respectively. CONCLUSIONS: Treatment intensification is tightly linked to improved control. Thus, it deserves consideration as a process measure for motivating quality improvement and possibly for measuring clinical performance.