Static replications with traffic light options

It is well known that sufficiently regular, one-dimensional payoff functions have an explicit static hedge by bonds, forward contracts, and options in a continuum of strikes. An easy and natural extension of the corresponding representation leads to static hedges based on the same instruments along with traffic light options, which have recently been introduced in the market. It is well known that the second strike derivative of non-discounted prices of vanilla options is related to the risk-neutral density of the underlying asset price in the corresponding absolutely continuous settings. Similar statements hold for traffic light options in sufficiently regular, bivariate settings.

A Bootstrap Test for the Probability of Ruin in the Compound Poisson Risk Process

In this article we propose a bootstrap test for the probability of ruin in the compound Poisson risk process. We adopt the P-value approach, which leads to a more complete assessment of the underlying risk than the probability of ruin alone. We provide second-order accurate P-values for this testing problem and consider both parametric and nonparametric estimators of the individual claim amount distribution. Simulation studies show that the suggested bootstrap P-values are very accurate and outperform their analogues based on the asymptotic normal approximation.

A logarithmic efficient estimator of the probability of ruin with recuperation for spectrally negative Lévy risk processes

This article provides an importance sampling algorithm for computing the probability of ruin with recuperation of a spectrally negative Lévy risk process with light-tailed downwards jumps. Ruin with recuperation corresponds to the following double passage event: for some t∈(0,∞)t∈(0,∞), the risk process starting at level x∈[0,∞)x∈[0,∞) falls below the null level during the period [0,t][0,t] and returns above the null level at the end of the period tt. The proposed Monte Carlo estimator is logarithmic efficient, as t,x→∞t,x→∞, when y=t/xy=t/x is constant and below a certain bound.

Saddlepoint Approximations to the Probability of Ruin in Finite Time for the Compound Poisson Risk Process Perturbed by Diffusion

A large deviations type approximation to the probability of ruin within a finite time for the compound Poisson risk process perturbed by diffusion is derived. This approximation is based on the saddlepoint method and generalizes the approximation for the non-perturbed risk process by Barndorff-Nielsen and Schmidli (Scand Actuar J 1995(2):169–186, 1995). An importance sampling approximation to this probability of ruin is also provided. Numerical illustrations assess the accuracy of the saddlepoint approximation using importance sampling as a benchmark. The relative deviations between saddlepoint approximation and importance sampling are very small, even for extremely small probabilities of ruin. The saddlepoint approximation is however substantially faster to compute.

Estimating loss to follow-up in HIV-infected patients on antiretroviral therapy: the effect of the competing risk of death in Zambia and Switzerland

Background Loss to follow-up (LTFU) is common in antiretroviral therapy (ART) programmes. Mortality is a competing risk (CR) for LTFU; however, it is often overlooked in cohort analyses. We examined how the CR of death affected LTFU estimates in Zambia and Switzerland. Methods and Findings HIV-infected patients aged ≥18 years who started ART 2004–2008 in observational cohorts in Zambia and Switzerland were included. We compared standard Kaplan-Meier curves with CR cumulative incidence. We calculated hazard ratios for LTFU across CD4 cell count strata using cause-specific Cox models, or Fine and Gray subdistribution models, adjusting for age, gender, body mass index and clinical stage. 89,339 patients from Zambia and 1,860 patients from Switzerland were included. 12,237 patients (13.7%) in Zambia and 129 patients (6.9%) in Switzerland were LTFU and 8,498 (9.5%) and 29 patients (1.6%), respectively, died. In Zambia, the probability of LTFU was overestimated in Kaplan-Meier curves: estimates at 3.5 years were 29.3% for patients starting ART with CD4 cells <100 cells/µl and 15.4% among patients starting with ≥350 cells/µL. The estimates from CR cumulative incidence were 22.9% and 13.6%, respectively. Little difference was found between naïve and CR analyses in Switzerland since only few patients died. The results from Cox and Fine and Gray models were similar: in Zambia the risk of loss to follow-up and death increased with decreasing CD4 counts at the start of ART, whereas in Switzerland there was a trend in the opposite direction, with patients with higher CD4 cell counts more likely to be lost to follow-up. Conclusions In ART programmes in low-income settings the competing risk of death can substantially bias standard analyses of LTFU. The CD4 cell count and other prognostic factors may be differentially associated with LTFU in low-income and high-income settings.

Mapping the increasing risk of human alveolar echinococcosis in Limburg, The Netherlands

The parasite Echinococcus multilocularis was first detected in The Netherlands in 1996 and repeated studies have shown that the parasite subsequently spread in the local population of foxes in the province of Limburg. It was not possible to quantify the human risk of alveolar echinococcosis because no relationship between the amount of parasite eggs in the environment and the probability of infection in humans was known. Here, we used the spread of the parasite in The Netherlands as a predictor, together with recently published historical records of the epidemiology of alveolar echinococcosis in Switzerland, to achieve a relative quantification of the risk. Based on these analyses, the human risk in Limburg was simulated and up to three human cases are predicted by 2018. We conclude that the epidemiology of alveolar echinococcosis in The Netherlands might have changed from a period of negligible risk in the past to a period of increasing risk in the forthcoming years.

A qualitative risk assessment approach for Swiss dairy products: opportunities and limitations

Switzerland implemented a risk-based monitoring of Swiss dairy products in 2002 based on a risk assessment (RA) that considered the probability of exceeding a microbiological limit value set by law. A new RA was launched in 2007 to review and further develop the previous assessment, and to make recommendations for future risk-based monitoring according to current risks. The resulting qualitative RA was designed to ascertain the risk to human health from the consumption of Swiss dairy products. The products and microbial hazards to be considered in the RA were determined based on a risk profile. The hazards included Campylobacter spp., Listeria monocytogenes, Salmonella spp., Shiga toxin-producing Escherichia coli, coagulase-positive staphylococci and Staphylococcus aureus enterotoxin. The release assessment considered the prevalence of the hazards in bulk milk samples, the influence of the process parameters on the microorganisms, and the influence of the type of dairy. The exposure assessment was linked to the production volume. An overall probability was estimated combining the probabilities of release and exposure for each combination of hazard, dairy product and type of dairy. This overall probability represents the likelihood of a product from a certain type of dairy exceeding the microbiological limit value and being passed on to the consumer. The consequences could not be fully assessed due to lack of detailed information on the number of disease cases caused by the consumption of dairy products. The results were expressed as a ranking of overall probabilities. Finally, recommendations for the design of the risk-based monitoring programme and for filling the identified data gaps were given. The aims of this work were (i) to present the qualitative RA approach for Swiss dairy products, which could be adapted to other settings and (ii) to discuss the opportunities and limitations of the qualitative method.

Study protocol: Transition from localized low back pain to chronic widespread pain in general practice: identification of risk factors, preventive factors and key elements for treatment--a cohort study

Background Chronic localized pain syndromes, especially chronic low back pain (CLBP), are common reasons for consultation in general practice. In some cases chronic localized pain syndromes can appear in combination with chronic widespread pain (CWP). Numerous studies have shown a strong association between CWP and several physical and psychological factors. These studies are population-based cross-sectional and do not allow for assessing chronology. There are very few prospective studies that explore the predictors for the onset of CWP, where the main focus is identifying risk factors for the CWP incidence. Until now there have been no studies focusing on preventive factors keeping patients from developing CWP. Our aim is to perform a cross sectional study on the epidemiology of CLBP and CWP in general practice and to look for distinctive features regarding resources like resilience, self-efficacy and coping strategies. A subsequent cohort study is designed to identify the risk and protective factors of pain generalization (development of CWP) in primary care for CLBP patients. Methods/Design Fifty-nine general practitioners recruit consecutively, during a 5 month period, all patients who are consulting their family doctor because of chronic low back pain (where the pain is lasted for 3 months). Patients are asked to fill out a questionnaire on pain anamnesis, pain-perception, co-morbidities, therapy course, medication, socio demographic data and psychosomatic symptoms. We assess resilience, coping resources, stress management and self-efficacy as potential protective factors for pain generalization. Furthermore, we raise risk factors for pain generalization like anxiety, depression, trauma and critical life events. During a twelve months follow up period a cohort of CLBP patients without CWP will be screened on a regular basis (3 monthly) for pain generalization (outcome: incident CWP). Discussion This cohort study will be the largest study which prospectively analyzes predictors for transition from CLBP to CWP in primary care setting. In contrast to the typically researched risk factors, which increase the probability of pain generalization, this study also focus intensively on protective factors, which decrease the probability of pain generalization.

Comparing the demonstration of freedom from Trichinella infection of domestic pigs by traditional and risk-based surveillance

Traditionally, the routine artificial digestion test is applied to assess the presence of Trichinella larvae in pigs. However, this diagnostic method has a low sensitivity compared to serological tests. The results from artificial digestion tests in Switzerland were evaluated over a time period of 15 years to determine by when freedom from infection based on these data could be confirmed. Freedom was defined as a 95% probability that the prevalence of infection was below 0.0001%. Freedom was demonstrated after 12 years at the latest. A new risk-based surveillance approach was then developed based on serology. Risk-based surveillance was also assessed over 15 years, starting in 2010. It was shown that by using this design, the sample size could be reduced by at least a factor of 4 when compared with the traditional testing regimen, without lowering the level of confidence in the Trichinella-free status of the pig population.

Bipolar disorder risk alleles in children with ADHD

Bipolar disorder (BD) and attention deficit/hyperactivity disorder (ADHD) may share common genetic risk factors as indicated by the high co-morbidity of BD and ADHD, their phenotypic overlap especially in pediatric populations, the high heritability of both disorders, and the co-occurrence in families. We therefore examined whether known polygenic BD risk alleles are associated with ADHD. We chose the eight best SNPs of the recent genome-wide association study (GWAS) of BD patients of German ancestry and the nine SNPs from international GWAS meeting a 'genome-wide significance' level of α = 5 × 10(-8). A GWAS was performed in 495 ADHD children and 1,300 population-based controls using HumanHap550v3 and Human660 W-Quadv1 BeadArrays. We found no significant association of childhood ADHD with single BD risk alleles surviving adjustment for multiple testing. Yet, risk alleles for BD and ADHD were directionally consistent at eight of nine loci with the strongest support for three SNPs in or near NCAN, BRE, and LMAN2L. The polygene analysis for the BP risk alleles at all 14 loci indicated a higher probability of being a BD risk allele carrier in the ADHD cases as compared to the controls. At a moderate power to detect association with ADHD, if true effects were close to estimates from GWAS for BD, our results suggest that the possible contribution of BD risk variants to childhood ADHD risk is considerably lower than for BD. Yet, our findings should encourage researchers to search for common genetic risk factors in BD and childhood ADHD in future studies.

Duration of methicillin-resistant Staphylococcus aureus carriage, according to risk factors for acquisition

OBJECTIVE: To examine the duration of methicillin-resistant Staphylococcus aureus (MRSA) carriage and its determinants and the influence of eradication regimens. DESIGN: Retrospective cohort study. SETTING: A 1,033-bed tertiary care university hospital in Bern, Switzerland, in which the prevalence of methicillin resistance among S. aureus isolates is less than 5%. PATIENTS: A total of 116 patients with first-time MRSA detection identified at University Hospital Bern between January 1, 2000, and December 31, 2003, were followed up for a mean duration of 16.2 months. RESULTS: Sixty-eight patients (58.6%) cleared colonization, with a median time to clearance of 7.4 months. Independent determinants for shorter carriage duration were the absence of any modifiable risk factor (receipt of antibiotics, use of an indwelling device, or presence of a skin lesion) (hazard ratio [HR], 0.20 [95% confidence interval {CI}, 0.09-0.42]), absence of immunosuppressive therapy (HR, 0.49 [95% CI, 0.23-1.02]), and hemodialysis (HR, 0.08 [95% CI, 0.01-0.66]) at the time MRSA was first MRSA detected and the administration of decolonization regimen in the absence of a modifiable risk factor (HR, 2.22 [95% CI, 1.36-3.64]). Failure of decolonization treatment was associated with the presence of risk factors at the time of treatment (P=.01). Intermittent screenings that were negative for MRSA were frequent (26% of patients), occurred early after first detection of MRSA (median, 31.5 days), and were associated with a lower probability of clearing colonization (HR, 0.34 [95% CI, 0.17-0.67]) and an increased risk of MRSA infection during follow-up. CONCLUSIONS: Risk factors for MRSA acquisition should be carefully assessed in all MRSA carriers and should be included in infection control policies, such as the timing of decolonization treatment, the definition of MRSA clearance, and the decision of when to suspend isolation measures.

Predicting the risk of hospital admission in older persons--validation of a brief self-administered questionnaire in three European countries

OBJECTIVES: To validate the Probability of Repeated Admission (Pra) questionnaire, a widely used self-administered tool for predicting future healthcare use in older persons, in three European healthcare systems. DESIGN: Prospective study with 1-year follow-up. SETTING: Hamburg, Germany; London, United Kingdom; Canton of Solothurn, Switzerland. PARTICIPANTS: Nine thousand seven hundred thirteen independently living community-dwelling people aged 65 and older. MEASUREMENTS: Self-administered eight-item Pra questionnaire at baseline. Self-reported number of hospital admissions and physician visits during 1 year of follow-up. RESULTS: In the combined sample, areas under the receiver operating characteristic curves (AUCs) were 0.64 (95% confidence interval (CI)=0.62-0.66) for the prediction of one or more hospital admissions and 0.68 (95% CI=0.66-0.69) for the prediction of more than six physician visits during the following year. AUCs were similar between sites. In comparison, prediction models based on a person's age and sex alone exhibited poor predictive validity (AUC or= 0.5) were 2.3 times as likely (95% CI=2.1-2.6) as low-risk individuals to have a hospital admission, and 2.1 times as likely (95% CI=2.0-2.2) to have more than six physician visits. CONCLUSION: The Pra instrument exhibits good validity for predicting future health service use on a population level in different healthcare settings. Administrative data have shown similar predictive validity, but in practice, such data are often not available. The Pra is likely of high interest to governments and health insurance companies worldwide as a basis for programs aimed at health risk management in older persons.

Distinct subcellular expression patterns of neutral endopeptidase (CD10) in prostate cancer predict diverging clinical courses in surgically treated patients

PURPOSE: Neutral endopeptidase (CD10), an ectopeptidase bound to the cell surface, is thought to be a potential prognostic marker for prostate cancer. EXPERIMENTAL DESIGN: Prostate cancer patients (N = 3,261) treated by radical prostatectomy at a single institution were evaluated by using tissue microarray. Follow-up data were available for 2,385 patients. The cellular domain (membranous, membranous-cytoplasmatic, and cytoplasmatic only) of CD10 expression was analyzed immunohistochemically and correlated with various clinical and histopathologic features of the tumors. RESULTS: CD10 expression was detected in 62.2% of cancer samples and occurred preferentially in higher Gleason pattern (P < 0.0001). CD10 expression positively correlated with adverse tumor features such as elevated preoperative prostate-specific antigen (PSA), higher Gleason score, and advanced stage (P < 0.0001 each). Survival analyses showed that PSA recurrence was significantly associated with the staining pattern of CD10 expression. Outcome significantly declined from negative over membranous, membranous-cytoplasmatic, to exclusively cytoplasmatic CD10 expression (P < 0.0001). In multivariate analysis, CD10 expression was an independent predictor for PSA failure (P = 0.0343). CONCLUSIONS: CD10 expression is an unfavorable independent risk factor in prostate cancer. The subcellular location of CD10 protein is associated with specific clinical courses, suggesting an effect on different important biological properties of prostate cancer cells. The frequent expression of CD10 in prostate cancer and the strong association of CD10 with unfavorable tumor features may qualify this biomarker for targeted therapies.