Ruin Theory with Excess of Loss Reinsurance and Reinstatements

The present paper studies the probability of ruin of an insurer, if excess of loss reinsurance with reinstatements is applied. In the setting of the classical Cramer-Lundberg risk model, piecewise deterministic Markov processes are used to describe the free surplus process in this more general situation. It is shown that the finite-time ruin probability is both the solution of a partial integro-differential equation and the fixed point of a contractive integral operator. We exploit the latter representation to develop and implement a recursive algorithm for numerical approximation of the ruin probability that involves high-dimensional integration. Furthermore we study the behavior of the finite-time ruin probability under various levels of initial surplus and security loadings and compare the efficiency of the numerical algorithm with the computational alternative of stochastic simulation of the risk process. (C) 2011 Elsevier Inc. All rights reserved.

Preoperative nutritional screening by the specialist instead of the nutritional risk score might prevent excess nutrition: a multivariate analysis of nutritional risk factors.

BACKGROUND: The aim of the current study was to assess whether widely used nutritional parameters are correlated with the nutritional risk score (NRS-2002) to identify postoperative morbidity and to evaluate the role of nutritionists in nutritional assessment. METHODS: A randomized trial on preoperative nutritional interventions (NCT00512213) provided the study cohort of 152 patients at nutritional risk (NRS-2002 ≥3) with a comprehensive phenotyping including diverse nutritional parameters (n=17), elaborated by nutritional specialists, and potential demographic and surgical (n=5) confounders. Risk factors for overall, severe (Dindo-Clavien 3-5) and infectious complications were identified by univariate analysis; parameters with P<0.20 were then entered in a multiple logistic regression model. RESULTS: Final analysis included 140 patients with complete datasets. Of these, 61 patients (43.6%) were overweight, and 72 patients (51.4%) experienced at least one complication of any degree of severity. Univariate analysis identified a correlation between few (≤3) active co-morbidities (OR=4.94; 95% CI: 1.47-16.56, p=0.01) and overall complications. Patients screened as being malnourished by nutritional specialists presented less overall complications compared to the not malnourished (OR=0.47; 95% CI: 0.22-0.97, p=0.043). Severe postoperative complications occurred more often in patients with low lean body mass (OR=1.06; 95% CI: 1-1.12, p=0.028). Few (≤3) active co-morbidities (OR=8.8; 95% CI: 1.12-68.99, p=0.008) were related with postoperative infections. Patients screened as being malnourished by nutritional specialists presented less infectious complications (OR=0.28; 95% CI: 0.1-0.78), p=0.014) as compared to the not malnourished. Multivariate analysis identified few co-morbidities (OR=6.33; 95% CI: 1.75-22.84, p=0.005), low weight loss (OR=1.08; 95% CI: 1.02-1.14, p=0.006) and low hemoglobin concentration (OR=2.84; 95% CI: 1.22-6.59, p=0.021) as independent risk factors for overall postoperative complications. Compliance with nutritional supplements (OR=0.37; 95% CI: 0.14-0.97, p=0.041) and supplementation of malnourished patients as assessed by nutritional specialists (OR=0.24; 95% CI: 0.08-0.69, p=0.009) were independently associated with decreased infectious complications. CONCLUSIONS: Nutritional support based upon NRS-2002 screening might result in overnutrition, with potentially deleterious clinical consequences. We emphasize the importance of detailed assessment of the nutritional status by a dedicated specialist before deciding on early nutritional intervention for patients with an initial NRS-2002 score of ≥3.

Loss of Cutaneous TSLP-Dependent Immune Responses Skews the Balance of Inflammation from Tumor Protective to Tumor Promoting.

Inflammation can promote or inhibit cancer progression. In this study we have addressed the role of the proinflammatory cytokine thymic stromal lymphopoietin (TSLP) during skin carcinogenesis. Using conditional loss- and gain-of-function mouse models for Notch and Wnt signaling, respectively, we demonstrate that TSLP-mediated inflammation protects against cutaneous carcinogenesis by acting directly on CD4 and CD8 T cells. Genetic ablation of TSLP receptor (TSLPR) perturbs T-cell-mediated protection and results in the accumulation of CD11b(+)Gr1(+) myeloid cells. These promote tumor growth by secreting Wnt ligands and augmenting β-catenin signaling in the neighboring epithelium. Epithelial specific ablation of β-catenin prevents both carcinogenesis and the accumulation of CD11b(+)Gr1(+) myeloid cells, suggesting tumor cells initiate a feed-forward loop that induces protumorigenic inflammation.

Three essays on the psychology of investment and financial markets

Préface My thesis consists of three essays where I consider equilibrium asset prices and investment strategies when the market is likely to experience crashes and possibly sharp windfalls. Although each part is written as an independent and self contained article, the papers share a common behavioral approach in representing investors preferences regarding to extremal returns. Investors utility is defined over their relative performance rather than over their final wealth position, a method first proposed by Markowitz (1952b) and by Kahneman and Tversky (1979), that I extend to incorporate preferences over extremal outcomes. With the failure of the traditional expected utility models in reproducing the observed stylized features of financial markets, the Prospect theory of Kahneman and Tversky (1979) offered the first significant alternative to the expected utility paradigm by considering that people focus on gains and losses rather than on final positions. Under this setting, Barberis, Huang, and Santos (2000) and McQueen and Vorkink (2004) were able to build a representative agent optimization model which solution reproduced some of the observed risk premium and excess volatility. The research in behavioral finance is relatively new and its potential still to explore. The three essays composing my thesis propose to use and extend this setting to study investors behavior and investment strategies in a market where crashes and sharp windfalls are likely to occur. In the first paper, the preferences of a representative agent, relative to time varying positive and negative extremal thresholds are modelled and estimated. A new utility function that conciliates between expected utility maximization and tail-related performance measures is proposed. The model estimation shows that the representative agent preferences reveals a significant level of crash aversion and lottery-pursuit. Assuming a single risky asset economy the proposed specification is able to reproduce some of the distributional features exhibited by financial return series. The second part proposes and illustrates a preference-based asset allocation model taking into account investors crash aversion. Using the skewed t distribution, optimal allocations are characterized as a resulting tradeoff between the distribution four moments. The specification highlights the preference for odd moments and the aversion for even moments. Qualitatively, optimal portfolios are analyzed in terms of firm characteristics and in a setting that reflects real-time asset allocation, a systematic over-performance is obtained compared to the aggregate stock market. Finally, in my third article, dynamic option-based investment strategies are derived and illustrated for investors presenting downside loss aversion. The problem is solved in closed form when the stock market exhibits stochastic volatility and jumps. The specification of downside loss averse utility functions allows corresponding terminal wealth profiles to be expressed as options on the stochastic discount factor contingent on the loss aversion level. Therefore dynamic strategies reduce to the replicating portfolio using exchange traded and well selected options, and the risky stock.

Macronutrients and energy balance in obesity.

Energy balance is the difference between metabolizable energy intake and total energy expenditure. Energy intake is difficult to measure accurately; changes in body weight, for example, are not a good measure of the adequacy of energy intake, because fluctuations in body weight are common even if the overall trend is toward weight loss. It is now customary to assess energy requirements indirectly from total energy expenditure. Total energy expenditure consists of basal metabolism, postprandial thermogenesis, and physical activity. Energy expenditure is related to both body weight and body composition. A reduction in total energy expenditure accompanies weight loss, because basal metabolic rate decreases with the loss of lean tissue mass. Similarly, with weight gain, there is an increase in basal metabolic rate, because lean tissue mass grows to support the increase in fat tissue mass. Excess energy intake over energy expenditure causes weight gain and an accompanying increase in total energy expenditure. Following a period of adaptation, total energy expenditure will match energy intake and body weight will stabilize at a higher level. This same relationship holds for weight loss. Respiratory quotient (measured in steady state) is an indication of the proportion of energy expenditure derived from fat and carbohydrate oxidation. Over long periods of time, fat balance is equivalent to energy balance, as an excess of fat intake over fat oxidation causes fat storage.

Treatment-dependent loss of polyfunctional CD8+ T-cell responses in HIV-infected kidney transplant recipients is associated with herpesvirus reactivation.

Antiretroviral-therapy has dramatically changed the course of HIV infection and HIV-infected (HIV(+)) individuals are becoming more frequently eligible for solid-organ transplantation. However, only scarce data are available on how immunosuppressive (IS) strategies relate to transplantation outcome and immune function. We determined the impact of transplantation and immune-depleting treatment on CD4+ T-cell counts, HIV-, EBV-, and Cytomegalovirus (CMV)-viral loads and virus-specific T-cell immunity in a 1-year prospective cohort of 27 HIV(+) kidney transplant recipients. While the results show an increasing breadth and magnitude of the herpesvirus-specific cytotoxic T-cell (CTL) response over-time, they also revealed a significant depletion of polyfunctional virus-specific CTL in individuals receiving thymoglobulin as a lymphocyte-depleting treatment. The disappearance of polyfunctional CTL was accompanied by virologic EBV-reactivation events, directly linking the absence of specific polyfunctional CTL to viral reactivation. The data provide first insights into the immune-reserve in HIV+ infected transplant recipients and highlight new immunological effects of thymoglobulin treatment. Long-term studies will be needed to assess the clinical risk associated with thymoglobulin treatment, in particular with regards to EBV-associated lymphoproliferative diseases.

Recurrent loss of heterozygosity in 1p36 associated with TNFRSF14 mutations in IRF4 translocation negative pediatric follicular lymphomas.

Pediatric follicular lymphoma is a rare disease that differs genetically and clinically from its adult counterpart. With the exception of pediatric follicular lymphoma with IRF4-translocation, the genetic events associated with these lymphomas have not yet been defined. We applied array-comparative genomic hybridization and molecular inversion probe assay analyses to formalin-fixed paraffin-embedded tissues from 18 patients aged 18 years and under with IRF4 translocation negative follicular lymphoma. All evaluable cases lacked t(14;18). Only 6 of 16 evaluable cases displayed chromosomal imbalances with gains or amplifications of 6pter-p24.3 (including IRF4) and deletion and copy number neutral-loss of heterozygosity in 1p36 (including TNFRSF14) being most frequent. Sequencing of TNFRSF14 located in the minimal region of loss in 1p36.32 showed nine mutations in 7 cases from our series. Two subsets of pediatric follicular lymphoma were delineated according to the presence of molecular alterations, one with genomic aberrations associated with higher grade and/or diffuse large B-cell lymphoma component and more widespread disease, and another one lacking genetic alterations associated with more limited disease.

Loss of ability to work and ability to live independently in Parkinson's disease.

OBJECTIVE: Ability to work and live independently is of particular concern for patients with Parkinson's disease (PD). We studied a series of PD patients able to work or live independently at baseline, and evaluated potential risk factors for two separate outcomes: loss of ability to work and loss of ability to live independently. METHODS: The series comprised 495 PD patients followed prospectively. Ability to work and ability to live independently were based on clinical interview and examination. Cox regression models adjusted for age and disease duration were used to evaluate associations of baseline characteristics with loss of ability to work and loss of ability to live independently. RESULTS: Higher UPDRS dyskinesia score, UPDRS instability score, UPDRS total score, Hoehn and Yahr stage, and presence of intellectual impairment at baseline were all associated with increased risk of future loss of ability to work and loss of ability to live independently (P ≤ 0.0033). Five years after initial visit, for patients ≤70 years of age with a disease duration ≤4 years at initial visit, 88% were still able to work and 90% to live independently. These estimates worsened as age and disease duration at initial visit increased; for patients >70 years of age with a disease duration >4 years, estimates at 5 years were 43% able to work and 57% able to live independently. CONCLUSIONS: The information provided in this study can offer useful information for PD patients in preparing for future ability to perform activities of daily living.

Liver-specific loss of lipin-1-mediated phosphatidic acid phosphatase activity does not mitigate intrahepatic TG accumulation in mice.

Lipin proteins (lipin 1, 2, and 3) regulate glycerolipid homeostasis by acting as phosphatidic acid phosphohydrolase (PAP) enzymes in the TG synthesis pathway and by regulating DNA-bound transcription factors to control gene transcription. Hepatic PAP activity could contribute to hepatic fat accumulation in response to physiological and pathophysiological stimuli. To examine the role of lipin 1 in regulating hepatic lipid metabolism, we generated mice that are deficient in lipin-1-encoded PAP activity in a liver-specific manner (Alb-Lpin1(-/-) mice). This allele of lipin 1 was still able to transcriptionally regulate the expression of its target genes encoding fatty acid oxidation enzymes, and the expression of these genes was not affected in Alb-Lpin1(-/-) mouse liver. Hepatic PAP activity was significantly reduced in mice with liver-specific lipin 1 deficiency. However, hepatocytes from Alb-Lpin1(-/-) mice had normal rates of TG synthesis, and steady-state hepatic TG levels were unaffected under fed and fasted conditions. Furthermore, Alb-Lpin1(-/-) mice were not protected from intrahepatic accumulation of diacylglyerol and TG after chronic feeding of a diet rich in fat and fructose. Collectively, these data demonstrate that marked deficits in hepatic PAP activity do not impair TG synthesis and accumulation under acute or chronic conditions of lipid overload.