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.

Inbreeding avoidance through kin recognition: choosy females boost male dispersal.

Inbreeding avoidance is predicted to induce sex biases in dispersal. But which sex should disperse? In polygynous species, females pay higher costs to inbreeding and thus might be expected to disperse more, but empirical evidence consistently reveals male biases. Here, we show that theoretical expectations change drastically if females are allowed to avoid inbreeding via kin recognition. At high inbreeding loads, females should prefer immigrants over residents, thereby boosting male dispersal. At lower inbreeding loads, by contrast, inclusive fitness benefits should induce females to prefer relatives, thereby promoting male philopatry. This result points to disruptive effects of sexual selection. The inbreeding load that females are ready to accept is surprisingly high. In absence of search costs, females should prefer related partners as long as delta<r/(1+r) where r is relatedness and delta is the fecundity loss relative to an outbred mating. This amounts to fitness losses up to one-fifth for a half-sib mating and one-third for a full-sib mating, which lie in the upper range of inbreeding depression values currently reported in natural populations. The observation of active inbreeding avoidance in a polygynous species thus suggests that inbreeding depression exceeds this threshold in the species under scrutiny or that inbred matings at least partly forfeit other mating opportunities for males. Our model also shows that female choosiness should decline rapidly with search costs, stemming from, for example, reproductive delays. Species under strong time constraints on reproduction should thus be tolerant of inbreeding.

Parental Leave and Mothers' Careers: The Relative Importance of Job Protection and Cash Benefits

Job protection and cash benefits are key elements of parental leave (PL) systems. We study how these two policy instruments affect return-to-work and medium-run labour market outcomes of mothers of newborn children. Analysing a series of major PL policy changes in Austria, we find that longer cash benefits lead to a significant delay in return-to-work, particularly so in the period that is job-protected. Prolonged parental leave absence induced by these policy changes does not appear to hurt mothers' labour market outcomes in the medium run. We build a non-stationary model of job search after childbirth to isolate the role of the two policy instruments. The model matches return-to-work and return to same employer profiles under the various factual policy configurations. Counterfactual policy simulations indicate that a system that combines cash with protection dominates other systems in generating time for care immediately after birth while maintaining mothers' medium-run labour market attachment.

Is sociality driven by the costs of dispersal or the benefits of philopatry? A role for kin-discrimination mechanisms.

The role of ecological constraints in promoting sociality is currently much debated. Using a direct-fitness approach, we show this role to depend on the kin-discrimination mechanisms underlying social interactions. Altruism cannot evolve under spatially based discrimination, unless ecological constraints prevent complete dispersal. Increasing constraints enhances both the proportion of philopatric (and thereby altruistic) individuals and the level of altruistic investments conceded in pairwise interactions. Familiarity-based discrimination, by contrast, allows philopatry and altruism to evolve at significant levels even in the absence of ecological constraints. Increasing constraints further enhances the proportion of philopatric (and thereby altruistic) individuals but not the level of altruism conceded. Ecological constraints are thus more likely to affect social evolution in species in which restricted cognitive abilities, large group size, and/or limited period of associative learning force investments to be made on the basis of spatial cues.

Cardiovascular risk estimation and eligibility for statin therapy using different scoring systems in Europe: a population-based study in Switzerland

BACKGROUND: Recommendations for statin use for primary prevention of coronary heart disease (CHD) are based on estimation of the 10- year CHD risk. We compared the 10-year CHD risk assessments and eligibility percentages for statin therapy using three scoring algorithms currently used in Europe. METHODS: We studied 5683 women and men, aged 35-75, without overt cardiovascular disease (CVD), in a population-based study in Switzerland. We compared the 10-year CHD risk using three scoring schemes, i.e., the Framingham risk score (FRS) from the U.S. National Cholesterol Education Program's Adult Treatment Panel III (ATP III), the PROCAM scoring scheme from the International Atherosclerosis Society (IAS), and the European risk SCORE for low-risk countries, without and with extrapolation to 60 years as recommended by the European Society of Cardiology guidelines (ESC). With FRS and PROCAM, high-risk was defined as a 10- year risk of fatal or non-fatal CHD>20% and a 10-year risk of fatal CVD≥5% with SCORE. We compared the proportions of high-risk participants and eligibility for statin use according to these three schemes. For each guideline, we estimated the impact of increased statin use from current partial compliance to full compliance on potential CHD deaths averted over 10 years, using a success proportion of 27% for statins. RESULTS: Participants classified at high-risk (both genders) were 5.8% according to FRS and 3.0% to the PROCAM, whereas the European risk SCORE classified 12.5% at high-risk (15.4% with extrapolation to 60 years). For the primary prevention of CHD, 18.5% of participants were eligible for statin therapy using ATP III, 16.6% using IAS, and 10.3% using ESC (13.0% with extrapolation) because ESC guidelines recommend statin therapy only in high-risk subjects. In comparison with IAS, agreement to identify eligible adults for statins was good with ATP III, but moderate with ESC. Using a population perspective, a full compliance with ATP III guidelines would reduce up to 17.9% of the 24′ 310 CHD deaths expected over 10 years in Switzerland, 17.3% with IAS and 10.8% with ESC (11.5% with extrapolation). CONCLUSIONS: Full compliance with guidelines for statin therapy would result in substantial health benefits, but proportions of high-risk adults and eligible adults for statin use varied substantially depending on the scoring systems and corresponding guidelines used for estimating CHD risk in Europe.

Relevance of cohort studies for the study of transplant infectious diseases.

The debate on the merits of observational studies as compared with randomized trials is ongoing. We will briefly touch on this subject, and demonstrate the role of cohort studies for the description of infectious disease patterns after transplantation. The potential benefits of cohort studies for the clinical management of patients outside of the expected gain in epidemiological knowledge are reviewed. The newly established Swiss Transplantation Cohort Study and in particular the part focusing on infectious diseases will serve as an illustration. A neglected area of research is the indirect value of large, multicenter cohort studies. These benefits can range from a deepened collaboration to the development of common definitions and guidelines. Unfortunately, very few data exist on the role of such indirect effects on improving quality of patient management. This review postulates an important role for cohort studies, which should not be viewed as inferior but complementary to established research tools, in particular randomized trials. Randomized trials remain the least bias-prone method to establish knowledge regarding the significance of diagnostic or therapeutic measures. Cohort studies have the power to reflect a real-world situation and to pinpoint areas of knowledge as well as of uncertainty. Prerequisite is a prospective design requiring a set of inclusive data coupled with the meticulous insistence on data retrieval and quality.