103 resultados para Mean-variance.

em Université de Lausanne, Switzerland


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Cette thèse s'intéresse à étudier les propriétés extrémales de certains modèles de risque d'intérêt dans diverses applications de l'assurance, de la finance et des statistiques. Cette thèse se développe selon deux axes principaux, à savoir: Dans la première partie, nous nous concentrons sur deux modèles de risques univariés, c'est-à- dire, un modèle de risque de déflation et un modèle de risque de réassurance. Nous étudions le développement des queues de distribution sous certaines conditions des risques commun¬s. Les principaux résultats sont ainsi illustrés par des exemples typiques et des simulations numériques. Enfin, les résultats sont appliqués aux domaines des assurances, par exemple, les approximations de Value-at-Risk, d'espérance conditionnelle unilatérale etc. La deuxième partie de cette thèse est consacrée à trois modèles à deux variables: Le premier modèle concerne la censure à deux variables des événements extrême. Pour ce modèle, nous proposons tout d'abord une classe d'estimateurs pour les coefficients de dépendance et la probabilité des queues de distributions. Ces estimateurs sont flexibles en raison d'un paramètre de réglage. Leurs distributions asymptotiques sont obtenues sous certaines condi¬tions lentes bivariées de second ordre. Ensuite, nous donnons quelques exemples et présentons une petite étude de simulations de Monte Carlo, suivie par une application sur un ensemble de données réelles d'assurance. L'objectif de notre deuxième modèle de risque à deux variables est l'étude de coefficients de dépendance des queues de distributions obliques et asymétriques à deux variables. Ces distri¬butions obliques et asymétriques sont largement utiles dans les applications statistiques. Elles sont générées principalement par le mélange moyenne-variance de lois normales et le mélange de lois normales asymétriques d'échelles, qui distinguent la structure de dépendance de queue comme indiqué par nos principaux résultats. Le troisième modèle de risque à deux variables concerne le rapprochement des maxima de séries triangulaires elliptiques obliques. Les résultats théoriques sont fondés sur certaines hypothèses concernant le périmètre aléatoire sous-jacent des queues de distributions. -- This thesis aims to investigate the extremal properties of certain risk models of interest in vari¬ous applications from insurance, finance and statistics. This thesis develops along two principal lines, namely: In the first part, we focus on two univariate risk models, i.e., deflated risk and reinsurance risk models. Therein we investigate their tail expansions under certain tail conditions of the common risks. Our main results are illustrated by some typical examples and numerical simu¬lations as well. Finally, the findings are formulated into some applications in insurance fields, for instance, the approximations of Value-at-Risk, conditional tail expectations etc. The second part of this thesis is devoted to the following three bivariate models: The first model is concerned with bivariate censoring of extreme events. For this model, we first propose a class of estimators for both tail dependence coefficient and tail probability. These estimators are flexible due to a tuning parameter and their asymptotic distributions are obtained under some second order bivariate slowly varying conditions of the model. Then, we give some examples and present a small Monte Carlo simulation study followed by an application on a real-data set from insurance. The objective of our second bivariate risk model is the investigation of tail dependence coefficient of bivariate skew slash distributions. Such skew slash distributions are extensively useful in statistical applications and they are generated mainly by normal mean-variance mixture and scaled skew-normal mixture, which distinguish the tail dependence structure as shown by our principle results. The third bivariate risk model is concerned with the approximation of the component-wise maxima of skew elliptical triangular arrays. The theoretical results are based on certain tail assumptions on the underlying random radius.

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Aims  To investigate whether the predominant finding of generalized positive associations between self-rated motives for drinking alcohol and negative consequences of drinking alcohol are influenced by (i) using raw scores of motives that may weight inter-individual response behaviours too strongly, and (ii) predictor-criterion contamination by using consequence items where respondents attribute alcohol use as the cause. Design  Cross-sectional study within the European School Survey Project on Alcohol and other Drugs (ESPAD). Setting  School classes. Participants  Students, aged 13-16 (n = 5633). Measurements  Raw, rank and mean-variance standardized scores of the Drinking Motives Questionnaire-Revised (DMQ-R); four consequences: serious problems with friends, sexual intercourse regretted the next day, physical fights and troubles with the police, each itemized with attribution ('because of your alcohol use') and without. Findings  As found previously in the literature, raw scores for all drinking motives had positive associations with negative consequences of drinking, while transformed (rank or Z) scores showed a more specific pattern: external reinforcing motives (social, conformity) had negative and internal reinforcing motives (enhancement, coping) had non-significant or positive associations with negative consequences. Attributed consequences showed stronger associations with motives than non-attributed ones. Conclusion  Standard scoring of the Drinking Motives Questionnaire (Revised) fails to capture motives in a way that permits specific associations with different negative consequences to be identified, whereas use of rank or Z-scores does permit this. Use of attributed consequences overestimates the association with drinking motives.

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This paper investigates a simple procedure to estimate robustly the mean of an asymmetric distribution. The procedure removes the observations which are larger or smaller than certain limits and takes the arithmetic mean of the remaining observations, the limits being determined with the help of a parametric model, e.g., the Gamma, the Weibull or the Lognormal distribution. The breakdown point, the influence function, the (asymptotic) variance, and the contamination bias of this estimator are explored and compared numerically with those of competing estimates.

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In a series of seminal articles in 1974, 1975, and 1977, J. H. Gillespie challenged the notion that the "fittest" individuals are those that produce on average the highest number of offspring. He showed that in small populations, the variance in fecundity can determine fitness as much as mean fecundity. One likely reason why Gillespie's concept of within-generation bet hedging has been largely ignored is the general consensus that natural populations are of large size. As a consequence, essentially no work has investigated the role of the fecundity variance on the evolutionary stable state of life-history strategies. While typically large, natural populations also tend to be subdivided in local demes connected by migration. Here, we integrate Gillespie's measure of selection for within-generation bet hedging into the inclusive fitness and game theoretic measure of selection for structured populations. The resulting framework demonstrates that selection against high variance in offspring number is a potent force in large, but structured populations. More generally, the results highlight that variance in offspring number will directly affect various life-history strategies, especially those involving kin interaction. The selective pressures on three key traits are directly investigated here, namely within-generation bet hedging, helping behaviors, and the evolutionary stable dispersal rate. The evolutionary dynamics of all three traits are markedly affected by variance in offspring number, although to a different extent and under different demographic conditions.

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Background/Purpose: The trabecular bone score (TBS), a novel graylevel texture index determined from lumbar spine DXA scans, correlates with 3D parameters of trabecular bone microarchitecture known to predict fracture. TBS may enhance the identification of patients at increased risk for vertebral fracture independently of bone mineral density (BMD) (Boutroy JBMR 2010; Hans JBMR 2011). Denosumab treatment for 36 months decreased bone turnover, increased BMD, and reduced new vertebral fractures in postmenopausal women with osteoporosis (Cummings NEJM 2009). We explored the effect of denosumab on TBS over 36 months and evaluated the association between TBS and lumbar spine BMD in women who had DXA scans obtained from eligible scanners for TBS evaluation in FREEDOM. Methods: FREEDOM was a 3-year, randomized, double-blind trial that enrolled postmenopausal women with a lumbar spine or total hip DXA T-score __2.5, but not __4.0 at both sites. Women received placebo or 60 mg denosumab every 6 months. A subset of women in FREEDOM participated in a DXA substudy where lumbar spine DXA scans were obtained at baseline and months 1, 6, 12, 24, and 36. We retrospectively applied, in a blinded-to-treatment manner, a novel software program (TBS iNsightR v1.9, Med-Imaps, Pessac, France) to the standard lumbar spine DXA scans obtained in these women to determine their TBS indices at baseline and months 12, 24, and 36. From previous studies, a TBS _1.35 is considered as normal microarchitecture, a TBS between 1.35 and _1.20 as partially deteriorated, and 1.20 reflects degraded microarchitecture. Results: There were 285 women (128 placebo, 157 denosumab) with a TBS value at baseline and _1 post-baseline visit. Their mean age was 73, their mean lumbar spine BMD T-score was _2.79, and their mean lumbar spine TBS was 1.20. In addition to the robust gains in DXA lumbar spine BMD observed with denosumab (9.8% at month 36), there were consistent, progressive, and significant increases in TBS compared with placebo and baseline (Table & Figure). BMD explained a very small fraction of the variance in TBS at baseline (r2_0.07). In addition, the variance in the TBS change was largely unrelated to BMD change, whether expressed in absolute or percentage changes, regardless of treatment, throughout the study (all r2_0.06); indicating that TBS provides distinct information, independently of BMD. Conclusion: In postmenopausal women with osteoporosis, denosumab significantly improved TBS, an index of lumbar spine trabecular microarchitecture, independently of BMD.

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Background : In the present article, we propose an alternative method for dealing with negative affectivity (NA) biases in research, while investigating the association between a deleterious psychosocial environment at work and poor mental health. First, we investigated how strong NA must be to cause an observed correlation between the independent and dependent variables. Second, we subjectively assessed whether NA can have a large enough impact on a large enough number of subjects to invalidate the observed correlations between dependent and independent variables.Methods : We simulated 10,000 populations of 300 subjects each, using the marginal distribution of workers in an actual population that had answered the Siegrist's questionnaire on effort and reward imbalance (ERI) and the General Health Questionnaire (GHQ).Results : The results of the present study suggested that simulated NA has a minimal effect on the mean scores for effort and reward. However, the correlations between the effort and reward imbalance (ERI) ratio and the GHQ score might be important, even in simulated populations with a limited NA.Conclusions : When investigating the relationship between the ERI ratio and the GHQ score, we suggest the following rules for the interpretation of the results: correlations with an explained variance of 5% and below should be considered with caution; correlations with an explained variance between 5% and 10% may result from NA, although this effect does not seem likely; and correlations with an explained variance of 10% and above are not likely to be the result of NA biases. [Authors]

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Ultrasound detection of sub-clinical atherosclerosis (ATS) may help identify individuals at high cardiovascular risk. Most studies evaluated intima-media thickness (IMT) at carotid level. We compared the relationships between main cardiovascular risk factors (CVRF) and five indicators of ATS (IMT, mean and maximal plaque thickness, mean and maximal plaque area) at both carotid and femoral levels. Ultrasound was performed on 496 participants aged 45-64 years randomly selected from the general population of the Republic of Seychelles. 73.4 % participants had ≥ 1 plaque (IMT thickening ≥ 1.2 mm) at carotid level and 67.5 % at femoral level. Variance (adjusted R2) contributed by age, sex and CVRF (smoking, LDL-cholesterol, HDL-cholesterol, blood pressure, diabetes) in predicting any of the ATS markers was larger at femoral than carotid level. At both carotid and femoral levels, the association between CVRF and ATS was stronger based on plaque-based markers than IMT. Our findings show that the associations between CVRF and ATS markers were stronger at femoral than carotid level, and with plaque-based markers rather than IMT. Pending comparison of these markers using harder cardiovascular endpoints, our findings suggest that markers based on plaque morphology assessed at femoral artery level might be useful cardiovascular risk predictors.

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In contemporary society, religious signification and secular systems mix and influence each other. Holistic conceptions of a world in which man is integrated harmoniously with nature meet representations of a world run by an immanent God. On the market of the various systems, the individual goes from one system to another, following his immediate needs and expectations without necessarily leaving any marks in a meaningful long term system. This article presents the first results of an ongoing research in Switzerland on contemporary religion focusing on (new) paths of socialization of modern that individuals and the various (non-) belief systems that they simultaneously develop

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BACKGROUND: Skin-to-skin contact, or kangaroo mother care (KMC) has been shown to be efficacious in diminishing pain response to heel lance in full term and moderately preterm neonates. The purpose of this study was to determine if KMC would also be efficacious in very preterm neonates. METHODS: Preterm neonates (n = 61) between 28 0/7 and 31 6/7 weeks gestational age in three Level III NICU's in Canada comprised the sample. A single-blind randomized crossover design was employed. In the experimental condition, the infant was held in KMC for 15 minutes prior to and throughout heel lance procedure. In the control condition, the infant was in prone position swaddled in a blanket in the incubator. The primary outcome was the Premature Infant Pain Profile (PIPP), which is comprised of three facial actions, maximum heart rate, minimum oxygen saturation levels from baseline in 30-second blocks from heel lance. The secondary outcome was time to recover, defined as heart rate return to baseline. Continuous video, heart rate and oxygen saturation monitoring were recorded with event markers during the procedure and were subsequently analyzed. Repeated measures analysis-of-variance was employed to generate results. RESULTS: PIPP scores at 90 seconds post lance were significantly lower in the KMC condition (8.871 (95%CI 7.852-9.889) versus 10.677 (95%CI 9.563-11.792) p < .001) and non-significant mean differences ranging from 1.2 to1.8. favoring KMC condition at 30, 60 and 120 seconds. Time to recovery was significantly shorter, by a minute(123 seconds (95%CI 103-142) versus 193 seconds (95%CI 158-227). Facial actions were highly significantly lower across all points in time reaching a two-fold difference by 120 seconds post-lance and heart rate was significantly lower across the first 90 seconds in the KMC condition. CONCLUSION: Very preterm neonates appear to have endogenous mechanisms elicited through skin-to-skin maternal contact that decrease pain response, but not as powerfully as in older preterm neonates. The shorter recovery time in KMC is clinically important in helping maintain homeostasis. TRIAL REGISTRATION: (Current Controlled Trials) ISRCTN63551708.

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One of the most relevant concerns in long-term survivors of paediatric acute lymphoblastic leukaemia (ALL) is the development of neuropsychological sequelae. The majority of the published studies report on patients treated with chemotherapy and prophylactic central nervous system (CNS) irradiation, little is known about the outcome of patients treated with chemotherapy-only regimens. Using the standardised clinical and neuropsychological instruments of the SPOG Late Effects Study, the intellectual performance of 132 paediatric ALL patients treated with chemotherapy only was compared to that of 100 control patients surviving from diverse non-CNS solid tumours. As a group, ALL and solid tumour survivors showed normal and comparable intellectual performances (mean global IQ 104.6 in both groups). The percentage of patients in the borderline range (global IQ between 70 and 85) was comparable and not higher as expected (10% cases and 13% controls, expected 16%). Only 2 (2%) of the former ALL and 1 (1%) of the solid tumour patients were in the range of mental retardation (global IQ&lt;70). Former known risk factors described in children treated with prophylactic CNS irradiation, like a younger age at diagnosis of ALL and female gender, remained valid in chemotherapy-only treated patients. The abandonment of prophylactic CNS irradiation and its replacement by a more intensive systemic and intrathecal chemotherapy led to a reduction, but not the disappearance of late neuropsychological sequelae.

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Background: There is currently no identified marker predicting benefit from Bev in patients with breast cancer (pts). We monitored prospectively 6 angiogenesis-related factors in the blood of advanced stage pts treated with a combination of Bev and PLD in a phase II trial of the Swiss Group for Clinical Cancer Research, SAKK.Methods: Pts received PLD (20 mg/m2) and Bev (10 mg/kg) every 2 weeks for a maximum of 12 administrations, followed by Bev monotherapy until progression or severe toxicity. Blood samples were collected at baseline, during treatment and at treatment discontinuation. Enzyme-linked immunosorbent assays (Quantikine, R&DSystems and Reliatech) were used to measure vascular endothelial growth factor (VEGF), placental growth factor (PlGF), matrix metalloproteinase 9 (MMP-9) and soluble VEGF receptors -1, -2 and -3. The natural log-transformed (ln) data for each factor was analyzed by analysis of variance (ANOVA) model to investigate differences between the mean values of the subgroups of interest (where a = 0.05), based on the best tumor response by RECIST.Results: 132 samples were collected in 41 pts. The mean of baseline ln MMP-9 levels was significantly lower in pts with tumor progression than those with tumor response (p=0.0202, log fold change=0.8786) or disease control (p=0.0035, log fold change=0.8427). Higher MMP-9 level was a significant predictor of superior progression free survival (PFS): p=0.0417, hazard ratio=0.574, 95% CI=0.336-0.979. In a multivariate cox proportional hazards model, containing performance status, disease free interval, number of tumor sites, visceral involvement and prior adjuvant chemotherapy, using stepwise regression baseline MMP-9 was still a statistically 117P Table 1. SOLTI-0701* AC01B07* NU07B1* SOR+CAP N=20 PL+CAP N=33 SOR+ GEM/CAP N=23 PL+ GEM/CAP N=27 SOR+PAC N=48 PL+PAC N=46 Baseline characteristics Age, median (range), y 49 (32-72) 53 (30-78 54 (32-69) 57 (31-82) 50 (27-80) 52 (23-74) AJCC stage, n (%) IIIB/IIIC 3 (15) 6 (18) 0 (0) 3 (11) 8 (17) 9 (20) IV 17 (85) 27 (82) 23 (100) 24 (89) 40 (83) 37 (80) Metastatic site, n (%) Non-visceral 3 (15) 6 (18) 7 (30) 6 (22) 9 (19) 17 (37) Visceral 17 (85) 27 (82) 16 (70) 21 (78) 39 (81) 29 (63) Prior metastatic chemo, n (%) 8 (40) 15 (45) 21 (91) 25 (93) - - Efficacy PFS, median, mo 4.3 2.5 3.1 2.6 5.6 5.5 HR (95% CI)_ 0.60 (0.31, 1.14) 0.57 (0.30, 1.09) 0.86 (0.50, 1.45) 1-sided P value_ 0.055 0.044 0.281 Overall survival, median, mo 17.5 16.1 Pending 14.7 18.2 HR (95% CI)_ 0.98 (0.50, 1.89) 1.11 (0.64, 1.94) 1-sided P value_ 0.476 0.352 Safety N=20 N=33 N=22 N=27 N=46 N=46 Tx-emergent Grade 3/4, n (%) 15 (75) 16 (48) 20 (91) 17 (63) 36 (78) 16 (35) Grade 3§ hand-foot skin reaction/ syndrome 8 (40) 5 (15) 8 (36) 0 (0) 14 (30) 2 (4) *Efficacy results based on intent-to-treat population and safety results based on safety population (pts who received study drug[s]); _Cox regression within each subgroup; _log-rank test within each subgroup; §maximum toxicity grade for hand-foot skin reaction/syndrome; AJCC, American Joint Committee on Cancer mittedabstractsª The Author 2011. Published by Oxford University Press on behalf of the European Society for Medical Oncology. All rights reserved. For permissions, please email: journals.permissions@oup.com Downloaded from annonc.oxfordjournals.org at Bibliotheque Cantonale et Universitaire on June 6, 2011 significant factor (p=0.0266). The results of the other measured factors were presented elsewhere.Conclusions: Higher levels of MMP-9 could predict tumor response and superior PFSin pts treated with a combination of Bev and PLD. These exploratory results justify further investigations of MMP-9 in pts treated with Bev combinations in order to assess its role as a prognostic and predictive factor.Disclosure: K. Zaman: Participation in advisory board of Roche; partial sponsoring ofthe study by Roche (the main sponsor was the Swiss Federation against Cancer (Oncosuisse)). B. Thu¨rlimann: stock of Roche; Research grants from Roche. R. vonMoos: Participant of Advisory Board and Speaker honoraria

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Background: Previous studies reported an increase of mean platelet volume (MPV) in patients with acute ischemic stroke. However, its correlation with stroke severity has not been investigated. Moreover, studies on the association of MPV with functional outcome yielded inconsistent results. Methods: We included all consecutive ischemic stroke patients admitted to CHUV (Centre Hospitalier Universitaire Vaudois) Neurology Service within 24 h after stroke onset who had MPV measured on admission. The association of MPV with stroke severity (NIHSS score at admission and at 24 h) and outcome (Rankin Scale score at 3 and 12 months) was analyzed in univariate analysis. The chi(2) test was performed to compare the frequency of minor strokes (NIHSS score </=4) and good functional outcome (Rankin Scale score </=2) across MPV quartiles. The ANOVA test was used to compare MPV between stroke subtypes according to the TOAST classification. Student's two-tailed unpaired t test was performed to compare MPV between lacunar and nonlacunar strokes. MPV was generated at admission by the Sysmex XE-2100 automated cell counter (Sysmex Corporation, Kobe, Japan) from EDTA blood samples. Results: There was no significant difference in the frequency of minor strokes (p = 0.46) and good functional outcome (p = 0.06) across MPV quartiles. MPV was not associated with stroke severity or outcome in univariate analysis. There was no significant difference in MPV between stroke subtypes according to the TOAST classification (p = 0.173) or between lacunar and nonlacunar strokes (10.50 +/- 0.91 vs. 10.40 +/- 0.81 fl, p = 0.322). Conclusions: MPV, assessed within 24 h after ischemic stroke onset, is not associated with stroke severity or functional outcome.

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AIM: The clinical relevance of sentinel lymph node (SLN) analysis was evaluated prospectively and compared with other known risk factors of relapse in early stage melanoma. METHODS: Surgery was guided by lymphoscintigraphy, blue dye and gamma probe detection. SLN were analysed by haematoxylin eosin (HE) histochemistry and multimarker immunohistochemistry (IHC). Disease free survival (DFS) was evaluated with Kaplan-Meier plots according to different parameters and Cox analyses of variance. RESULTS: From 210 patients a total of 381 SLN were excised. Lymphoscintigraphy identified all excised SLN with only 2 false positive lymphatic lakes. Fifty patients (24%) had tumour positive SLN. With a mean follow-up of 31.3 months, 29 tumour recurrences were observed, 19 (38%) in 50 SLN positive and 10 (6%) in 160 SLN negative patients. Strong predictive factors for early relapse (p < 0.0005) were SLN positivity and a high Breslow index. CONCLUSION: SLN tumour positivity is an independent factor of high risk for early relapse with a higher power of discrimination than the Breslow index.

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BACKGROUND: Cost effective means of assessing the levels of risk factors in the population have to be defined in order to monitor these factors over time and across populations. This study is aimed at analyzing the difference in population estimates of the mean levels of body mass index (BMI) and the prevalences of overweight, between health examination survey and telephone survey. METHODS: The study compares the results of two health surveys, one by telephone (N=820) and the other by physical examination (N=1318). The two surveys, based on independent random samples of the population, were carried out over the same period (1992-1993) in the same population (canton of Vaud, Switzerland). RESULTS: Overall participation rates were 67% and 53% for the health interview survey (HIS) and the health examination survey (HES) respectively. In the HIS, the reporting rate was over 98% for weight and height values. Self-reported weight was on average lower than measured weight, by 2.2 kg in men and 3.5 kg in women, while self-reported height was on average greater than measured height, by 1.2 cm in men and 1.9 cm in women. As a result, in comparison to HES, HIS led to substantially lower mean levels of BMI, and to a reduction of the prevalence rates of obesity (BMI>30 kg/m(2)) by more than a half. These differences are larger for women than for men. CONCLUSION: The two surveys were based on different sampling procedures. However, this difference in design is unlikely to explain the systematic bias observed between self-reported and measured values for height and weight. This bias entails the overall validity of BMI assessment from telephone surveys.

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Per definition, alcohol expectancies (after alcohol I expect X), and drinking motives (I drink to achieve X) are conceptually distinct constructs. Theorists have argued that motives mediate the association between expectancies and drinking outcomes. Yet, given the use of different instruments, do these constructs remain distinct when assessment items are matched? The present study tested to what extent motives mediated the link between expectancies and alcohol outcomes when identical items were used, first as expectancies and then as motives. A linear structural equation model was estimated based on a national representative sample of 5,779 alcohol-using students in Switzerland (mean age = 15.2 years). The results showed that expectancies explained up to 38% of the variance in motives. Together with motives, they explained up to 48% of the variance in alcohol outcomes (volume, 5+ drinking, and problems). In 10 of 12 outcomes, there was a significant mediated effect that was often higher than the direct expectancy effect. For coping, the expectancy effect was close to zero, indicating the strongest form of mediation. In only one case (conformity and 5+ drinking), there was a direct expectancy effect but no mediation. To conclude, the study demonstrates that motives are distinct from expectancies even when identical items are used. Motives are more proximally related to different alcohol outcomes, often mediating the effects of expectancies. Consequently, the effectiveness of interventions, particularly those aimed at coping drinkers, should be improved through a shift in focus from expectancies to drinking motives.