Explicit ruin formulas for models with dependence among risks

We show that a simple mixing idea allows one to establish a number of explicit formulas for ruin probabilities and related quantities in collective risk models with dependence among claim sizes and among claim inter-occurrence times. Examples include compound Poisson risk models with completely monotone marginal claim size distributions that are dependent according to Archimedean survival copulas as well as renewal risk models with dependent inter-occurrence times.

Perioperative nutrition in abdominal surgery: recommendations and reality.

Introduction. Preoperative malnutrition is a major risk factor for increased postoperative morbidity and mortality. Definition and diagnosis of malnutrition and its treatment is still subject for controversy. Furthermore, practical implementation of nutrition-related guidelines is unknown. Methods. A review of the available literature and of current guidelines on perioperative nutrition was conducted. We focused on nutritional screening and perioperative nutrition in patients undergoing digestive surgery, and we assessed translation of recent guidelines in clinical practice. Results and Conclusions. Malnutrition is a well-recognized risk factor for poor postoperative outcome. The prevalence of malnutrition depends largely on its definition; about 40% of patients undergoing major surgery fulfil current diagnostic criteria of being at nutritional risk. The Nutritional Risk Score is a pragmatic and validated tool to identify patients who should benefit from nutritional support. Adequate nutritional intervention entails reduced (infectious) complications, hospital stay, and costs. Preoperative oral supplementation of a minimum of five days is preferable; depending on the patient and the type of surgery, immune-enhancing formulas are recommended. However, surgeons' compliance with evidence-based guidelines remains poor and efforts are necessary to implement routine nutritional screening and nutritional support.

Oral cancer treatments and adherence: medication event monitoring system assessment for capecitabine

Background: Oncological treatments are traditionally administered via intravenous injection by qualified personnel. Oral formulas which are developing rapidly are preferred by patients and facilitate administration however they may increase non-adherence. In this study 4 common oral chemotherapeutics are given to 50 patients, who are still in the process of inclusion, divided into 4 groups. The aim is to evaluate adherence and offer these patients interdisciplinary support with the joint help of doctors and pharmacists. We present here the results for capecitabine. Materials and Methods: The final goal is to evaluate adhesion in 50 patients split into 4 groups according to oral treatments (letrozole/exemestane, imatinib/sunitinib, capecitabine and temozolomide) using persistence and quality of execution as parameters. These parameters are evaluated using a medication event monitoring system (MEMS®) in addition to routine oncological visits and semi-structured interviews. Patients were monitored for the entire duration of treatment up to a maximum of 1 year. Patient satisfaction was assessed at the end of the monitoring period using a standardized questionary. Results: Capecitabine group included 2 women and 8 men with a median age of 55 years (range: 36−77 years) monitored for an average duration of 100 days (range: 5-210 days). Persistence was 98% and quality of execution 95%. 5 patients underwent cyclic treatment (2 out of 3 weeks) and 5 patients continuous treatment. Toxicities higher than grade 1 were grade 2−3 hand-foot syndrome in 1 patient and grade 3 acute coronary syndrome in 1 patient both without impact on adherence. Patients were satisfied with the interviews undergone during the study (57% useful, 28% very useful, 15% useless) and successfully integrated the MEMS® in their daily lives (57% very easily, 43% easily) according to the results obtained by questionary at the end of the monitoring period. Conclusion: Persistence and quality of execution observed in our Capecitabine group of patients were excellent and better than expected compared to previously published studies. The interdisciplinary approach allowed us to better identify and help patients with toxicities to maintain adherence. Overall patients were satisfied with the global interdisciplinary follow-up. With longer follow up better evaluation of our method and its impact will be possible. Interpretation of the results of patients in the other groups of this ongoing trial will provide us information for a more detailed analysis.

The optimal dividend barrier in the Gamma-Omega model

In the traditional actuarial risk model, if the surplus is negative, the company is ruined and has to go out of business. In this paper we distinguish between ruin (negative surplus) and bankruptcy (going out of business), where the probability of bankruptcy is a function of the level of negative surplus. The idea for this notion of bankruptcy comes from the observation that in some industries, companies can continue doing business even though they are technically ruined. Assuming that dividends can only be paid with a certain probability at each point of time, we derive closed-form formulas for the expected discounted dividends until bankruptcy under a barrier strategy. Subsequently, the optimal barrier is determined, and several explicit identities for the optimal value are found. The surplus process of the company is modeled by a Wiener process (Brownian motion).

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.