Optimal dividend strategies for a compound Poisson risk process under transaction costs and power utility

We characterize the value function of maximizing the total discounted utility of dividend payments for a compound Poisson insurance risk model when strictly positive transaction costs are included, leading to an impulse control problem. We illustrate that well known simple strategies can be optimal in the case of exponential claim amounts. Finally we develop a numerical procedure to deal with general claim amount distributions.

A risk model with an observer in a Markov environment

We consider a spectrally-negative Markov additive process as a model of a risk process in a random environment. Following recent interest in alternative ruin concepts, we assume that ruin occurs when an independent Poissonian observer sees the process as negative, where the observation rate may depend on the state of the environment. Using an approximation argument and spectral theory, we establish an explicit formula for the resulting survival probabilities in this general setting. We also discuss an efficient evaluation of the involved quantities and provide a numerical illustration.

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.

Ruin problems under IBNR Dynamics

In this paper, we consider a discrete-time risk process allowing for delay in claim settlement, which introduces a certain type of dependence in the process. From martingale theory, an expression for the ultimate ruin probability is obtained, and Lundberg-type inequalities are derived. The impact of delay in claim settlement is then investigated. To this end, a convex order comparison of the aggregate claim amounts is performed with the corresponding non-delayed risk model, and numerical simulations are carried out with Belgian market data.

Rockfall hazard and risk assessments along roads at a regional scale: Example in Swiss Alps

Unlike fragmental rockfall runout assessments, there are only few robust methods to quantify rock-mass-failure susceptibilities at regional scale. A detailed slope angle analysis of recent Digital Elevation Models (DEM) can be used to detect potential rockfall source areas, thanks to the Slope Angle Distribution procedure. However, this method does not provide any information on block-release frequencies inside identified areas. The present paper adds to the Slope Angle Distribution of cliffs unit its normalized cumulative distribution function. This improvement is assimilated to a quantitative weighting of slope angles, introducing rock-mass-failure susceptibilities inside rockfall source areas previously detected. Then rockfall runout assessment is performed using the GIS- and process-based software Flow-R, providing relative frequencies for runout. Thus, taking into consideration both susceptibility results, this approach can be used to establish, after calibration, hazard and risk maps at regional scale. As an example, a risk analysis of vehicle traffic exposed to rockfalls is performed along the main roads of the Swiss alpine valley of Bagnes.

Brain structure in asymptomatic FMR1 premutation carriers at risk for fragile X-associated tremor/ataxia syndrome.

Fragile X-associated tremor/ataxia syndrome (FXTAS), a late-onset movement disorder affecting FMR1 premutation carriers, is associated with cerebral and cerebellar lesions. The aim of this study was to test whether computational anatomy can detect similar patterns in asymptomatic FMR1 premutation carriers (mean age 46.7 years) with qualitatively normal -appearing grey and white matter on brain MRI. We used a multimodal imaging protocol to characterize brain anatomy by automated assessment of gray matter volume and white matter properties. Structural changes in the hippocampus and in the cerebellar motor network with decreased gray matter volume in lobule VI and white matter alterations of the corresponding afferent projections through the middle cerebellar peduncles are demonstrated. Diffuse subcortical white matter changes in both hemispheres, without corresponding gray matter alterations, are only identified through age × group interactions. We interpret the hippocampal fimbria and cerebellar changes as early alterations with a possible neurodevelopmental origin. In contrast, progression of the diffuse cerebral hemispheric white matter changes suggests a neurodegenerative process, leading to late-onset lesions, which may mark the imminent onset of FXTAS.

Maps as risk mitigation tools. Adaptation of the Swiss hazard assessment and mapping methodology to a Moroccan site: Beni Mellal

Dans le contexte climatique actuel, les régions méditerranéennes connaissent une intensification des phénomènes hydrométéorologiques extrêmes. Au Maroc, le risque lié aux inondations est devenu problématique, les communautés étant vulnérables aux événements extrêmes. En effet, le développement économique et urbain rapide et mal maîtrisé augmente l'exposition aux phénomènes extrêmes. La Direction du Développement et de la Coopération suisse (DDC) s'implique activement dans la réduction des risques naturels au Maroc. La cartographie des dangers et son intégration dans l'aménagement du territoire représentent une méthode efficace afin de réduire la vulnérabilité spatiale. Ainsi, la DDC a mandaté ce projet d'adaptation de la méthode suisse de cartographie des dangers à un cas d'étude marocain (la ville de Beni Mellal, région de Tadla-Azilal, Maroc). La méthode suisse a été adaptée aux contraintes spécifiques du terrain (environnement semi-aride, morphologie de piémont) et au contexte de transfert de connaissances (caractéristiques socio-économiques et pratiques). Une carte des phénomènes d'inondations a été produite. Elle contient les témoins morphologiques et les éléments anthropiques pertinents pour le développement et l'aggravation des inondations. La modélisation de la relation pluie-débit pour des événements de référence, et le routage des hydrogrammes de crue ainsi obtenus ont permis d'estimer quantitativement l'aléa inondation. Des données obtenues sur le terrain (estimations de débit, extension de crues connues) ont permis de vérifier les résultats des modèles. Des cartes d'intensité et de probabilité ont été obtenues. Enfin, une carte indicative du danger d'inondation a été produite sur la base de la matrice suisse du danger qui croise l'intensité et la probabilité d'occurrence d'un événement pour obtenir des degrés de danger assignables au territoire étudié. En vue de l'implémentation des cartes de danger dans les documents de l'aménagement du territoire, nous nous intéressons au fonctionnement actuel de la gestion institutionnelle du risque à Beni Mellal, en étudiant le degré d'intégration de la gestion et la manière dont les connaissances sur les risques influencent le processus de gestion. L'analyse montre que la gestion est marquée par une logique de gestion hiérarchique et la priorité des mesures de protection par rapport aux mesures passives d'aménagement du territoire. Les connaissances sur le risque restent sectorielles, souvent déconnectées. L'innovation dans le domaine de la gestion du risque résulte de collaborations horizontales entre les acteurs ou avec des sources de connaissances externes (par exemple les universités). Des recommandations méthodologiques et institutionnelles issues de cette étude ont été adressées aux gestionnaires en vue de l'implémentation des cartes de danger. Plus que des outils de réduction du risque, les cartes de danger aident à transmettre des connaissances vers le public et contribuent ainsi à établir une culture du risque. - Severe rainfall events are thought to be occurring more frequently in semi-arid areas. In Morocco, flood hazard has become an important topic, notably as rapid economic development and high urbanization rates have increased the exposure of people and assets in hazard-prone areas. The Swiss Agency for Development and Cooperation (SADC) is active in natural hazard mitigation in Morocco. As hazard mapping for urban planning is thought to be a sound tool for vulnerability reduction, the SADC has financed a project aimed at adapting the Swiss approach for hazard assessment and mapping to the case of Morocco. In a knowledge transfer context, the Swiss method was adapted to the semi-arid environment, the specific piedmont morphology and to socio-economic constraints particular to the study site. Following the Swiss guidelines, a hydro-geomorphological map was established, containing all geomorphic elements related to known past floods. Next, rainfall / runoff modeling for reference events and hydraulic routing of the obtained hydrographs were carried out in order to assess hazard quantitatively. Field-collected discharge estimations and flood extent for known floods were used to verify the model results. Flood hazard intensity and probability maps were obtained. Finally, an indicative danger map as defined within the Swiss hazard assessment terminology was calculated using the Swiss hazard matrix that convolves flood intensity with its recurrence probability in order to assign flood danger degrees to the concerned territory. Danger maps become effective, as risk mitigation tools, when implemented in urban planning. We focus on how local authorities are involved in the risk management process and how knowledge about risk impacts the management. An institutional vulnerability "map" was established based on individual interviews held with the main institutional actors in flood management. Results show that flood hazard management is defined by uneven actions and relationships, it is based on top-down decision-making patterns, and focus is maintained on active mitigation measures. The institutional actors embody sectorial, often disconnected risk knowledge pools, whose relationships are dictated by the institutional hierarchy. Results show that innovation in the risk management process emerges when actors collaborate despite the established hierarchy or when they open to outer knowledge pools (e.g. the academia). Several methodological and institutional recommendations were addressed to risk management stakeholders in view of potential map implementation to planning. Hazard assessment and mapping is essential to an integrated risk management approach: more than a mitigation tool, danger maps represent tools that allow communicating on hazards and establishing a risk culture.

Risk-based modelling of diffuse land use impacts from rural landscapes upon salmonid fry abundance

Research has demonstrated that landscape or watershed scale processes can influence instream aquatic ecosystems, in terms of the impacts of delivery of fine sediment, solutes and organic matter. Testing such impacts upon populations of organisms (i.e. at the catchment scale) has not proven straightforward and differences have emerged in the conclusions reached. This is: (1) partly because different studies have focused upon different scales of enquiry; but also (2) because the emphasis upon upstream land cover has rarely addressed the extent to which such land covers are hydrologically connected, and hence able to deliver diffuse pollution, to the drainage network However, there is a third issue. In order to develop suitable hydrological models, we need to conceptualise the process cascade. To do this, we need to know what matters to the organism being impacted by the hydrological system, such that we can identify which processes need to be modelled. Acquiring such knowledge is not easy, especially for organisms like fish that might occupy very different locations in the river over relatively short periods of time. However, and inevitably, hydrological modellers have started by building up piecemeal the aspects of the problem that we think matter to fish. Herein, we report two developments: (a) for the case of sediment associated diffuse pollution from agriculture, a risk-based modelling framework, SCIMAP, has been developed, which is distinct because it has an explicit focus upon hydrological connectivity; and (b) we use spatially distributed ecological data to infer the processes and the associated process parameters that matter to salmonid fry. We apply the model to spatially distributed salmon and fry data from the River Eden, Cumbria, England. The analysis shows, quite surprisingly, that arable land covers are relatively unimportant as drivers of fry abundance. What matters most is intensive pasture, a land cover that could be associated with a number of stressors on salmonid fry (e.g. pesticides, fine sediment) and which allows us to identify a series of risky field locations, where this land cover is readily connected to the river system by overland flow. (C) 2010 Elsevier B.V. All rights reserved.

What process research tells us about brief intervention efficacy.

ISSUE: This article explores mechanisms of the efficacy of brief intervention (BI). APPROACH: We conducted a BI trial at the emergency department of the Lausanne University Hospital, of whom 987 at-risk drinkers were randomised into BI and control groups. The overall results demonstrated a general decrease in alcohol use with no differences across groups. The intention to change was explored among 367 patients who completed BI. Analyses of 97 consecutive tape-recorded sessions explored patient and counsellor talks during BI, and their relationship to alcohol use outcome. KEY FINDINGS: Evaluation of the articulation between counsellor behaviours and patient language revealed a robust relationship between counsellor motivational interviewing (MI) skills and patient change talk during the intervention. Further exploration suggested that communication characteristics of patients during BI predicted changes in alcohol consumption 12 months later. Moreover, despite systematic training, important differences in counsellor performance were highlighted. Counsellors who had superior MI skills achieved better outcomes overall, and maintained efficacy across all levels of patient ability to change, whereas counsellors with inferior MI skills were effective mostly with patients who had higher levels of ability to change. Finally, the descriptions of change talk trajectories within BI and their association with drinking 12 months later showed that final states differed from initial states, suggesting an impact resulting from the progression of change talk during the course of the intervention. IMPLICATION: These findings suggest that BI should focus on the general MI attitude of counsellors who are capable of eliciting beneficial change talk from patients. [Daeppen J-B, Bertholet N, Gaume J. What process research tells us about brief intervention efficacy.

Excessive alcohol consumption in young men: is there an association with their earlier family situation? A baseline-analysis of the C-SURF-study (Cohort Study on Substance Use Risk Factors).

AIMS: To determine whether parental factors earlier in life (parenting, single parent family, parental substance use problem) are associated with patterns of alcohol consumption among young men in Switzerland. METHODS: This analysis of a population based sample from the Cohort Study on Substance Use Risk Factors (C-SURF) included 5,990 young men (mean age 19.51 years), all attending a mandatory recruitment process for the army. These conscripts reported on parental monitoring and rule-setting, parental behaviour and family structure. The alcohol use pattern was assessed through abstention, risky single occasion drinking (RSOD), volume drinking and dependence. Furthermore, the impact of age, family socio-economic status, educational level of the parents, language region and civil status was analysed. RESULTS: A parental substance use problem was positively associated with volume drinking and alcohol dependence in young Swiss men. Active parenting corresponded negatively with RSOD, volume drinking and alcohol dependence. Single parent family was not associated with a different alcohol consumption pattern compared to standard family. CONCLUSION: Parental influences earlier in life such as active parenting (monitoring, rule-setting and knowing the whereabouts) and perceived parental substance use problem are associated with alcohol drinking behaviour in young male adults. Therefore, health professionals should stress the importance of active parenting and parental substance use prevention in alcohol prevention strategies.

Randomized observation periods for the compound Poisson risk model: Dividends

In the framework of the classical compound Poisson process in collective risk theory, we study a modification of the horizontal dividend barrier strategy by introducing random observation times at which dividends can be paid and ruin can be observed. This model contains both the continuous-time and the discrete-time risk model as a limit and represents a certain type of bridge between them which still enables the explicit calculation of moments of total discounted dividend payments until ruin. Numerical illustrations for several sets of parameters are given and the effect of random observation times on the performance of the dividend strategy is studied.

Postoperative delirium. Part 1: pathophysiology and risk factors.

Delirium presents clinically with differing subtypes ranging from hyperactive to hypoactive. The clinical presentation is not clearly linked to specific pathophysiological mechanisms. Nevertheless, there seem to be different mechanisms that lead to delirium; for example the mechanisms leading to alcohol-withdrawal delirium are different from those responsible for postoperative delirium. In many forms of delirium, the brain's reaction to a peripheral inflammatory process is considered to be a pathophysiological key element and the aged brain seems to react more markedly to a peripheral inflammatory stimulus than a younger brain. The effects of inflammatory mediators on the brain include changes in neurotransmission and apoptosis. On a neurotransmitter level, impaired cholinergic transmission and disturbances of the intricate interactions between dopamine, serotonin and acetylcholine seem to play an important role in the development of delirium. The risk factors for delirium are categorised as predisposing or precipitating factors. In the presence of many predisposing factors, even trivial precipitating factors may trigger delirium, whereas in patients without or with only a few predisposing factors, a major precipitating insult is necessary to trigger delirium. Well documented predisposing factors are age, medical comorbidities, cognitive, functional, visual and hearing impairment and institutional residence. Important precipitating factors apart from surgery are admission to an ICU, anticholinergic drugs, alcohol or drug withdrawal, infections, iatrogenic complications, metabolic derangements and pain. Scores to predict the risk of delirium based on four or five risk factors have been validated in surgical patients.