A teoria da ruína aplicada em um modelo de empresa financeira com risco de crédito

In this work we study a new risk model for a firm which is sensitive to its credit quality, proposed by Yang(2003): Are obtained recursive equations for finite time ruin probability and distribution of ruin time and Volterra type integral equation systems for ultimate ruin probability, severity of ruin and distribution of surplus before and after ruin

Modelo de risco controlado por resseguro e desigualdades para a probabilidade de ruína

In the work reported here we present theoretical and numerical results about a Risk Model with Interest Rate and Proportional Reinsurance based on the article Inequalities for the ruin probability in a controlled discrete-time risk process by Ros ario Romera and Maikol Diasparra (see [5]). Recursive and integral equations as well as upper bounds for the Ruin Probability are given considering three di erent approaches, namely, classical Lundberg inequality, Inductive approach and Martingale approach. Density estimation techniques (non-parametrics) are used to derive upper bounds for the Ruin Probability and the algorithms used in the simulation are presented

Modelo de risco com dependência entre os valores das indenizações e seus intervalos entre ocorrências

We present a dependent risk model to describe the surplus of an insurance portfolio, based on the article "A ruin model with dependence between claim sizes and claim intervals"(Albrecher and Boxma [1]). An exact expression for the Laplace transform of the survival function of the surplus is derived. The results obtained are illustrated by several numerical examples and the case when we ignore the dependence structure present in the model is investigated. For the phase type claim sizes, we study by the survival probability, considering this is a class of distributions computationally tractable and more general

Specialist tool for monitoring the measurement degradation process of induction active energy meters

This paper presents a methodology and a specialist tool for failure probability analysis of induction type watt-hour meters, considering the main variables related to their measurement degradation processes. The database of the metering park of a distribution company, named Elektro Electricity and Services Co., was used for determining the most relevant variables and to feed the data in the software. The modeling developed to calculate the watt-hour meters probability of failure was implemented in a tool through a user friendly platform, written in Delphi language. Among the main features of this tool are: analysis of probability of failure by risk range; geographical localization of the meters in the metering park, and automatic sampling of induction type watt-hour meters, based on a risk classification expert system, in order to obtain information to aid the management of these meters. The main goals of the specialist tool are following and managing the measurement degradation, maintenance and replacement processes for induction watt-hour meters. © 2011 IEEE.

Análise bayesiana do modelo fatorial dinâmico para um vetor de séries temporais utilizando a distribuição t multivariada

The multivariate t models are symmetric and with heavier tail than the normal distribution, important feature in financial data. In this theses is presented the Bayesian estimation of a dynamic factor model, where the factors follow a multivariate autoregressive model, using multivariate t distribution. Since the multivariate t distribution is complex, it was represented in this work as a mix between a multivariate normal distribution and a square root of a chi-square distribution. This method allowed to define the posteriors. The inference on the parameters was made taking a sample of the posterior distribution, through the Gibbs Sampler. The convergence was verified through graphical analysis and the convergence tests Geweke (1992) and Raftery & Lewis (1992a). The method was applied in simulated data and in the indexes of the major stock exchanges in the world.

Risco de crédito: uma abordagem utilizando análise discriminante, regressão logística e redes neurais artificiais

Considering the relevance of researches concerning credit risk, model diversity and the existent indicators, this thesis aimed at verifying if the Fleuriet Model contributes in discriminating Brazilian open capital companies in the analysis of credit concession. We specifically intended to i) identify the economic-financial indicators used in credit risk models; ii) identify which economic-financial indicators best discriminate companies in the analysis of credit concession; iii) assess which techniques used (discriminant analysis, logistic regression and neural networks) present the best accuracy to predict company bankruptcy. To do this, the theoretical background approached the concepts of financial analysis, which introduced themes relative to the company evaluation process; considerations on credit, risk and analysis; Fleuriet Model and its indicators, and, finally, presented the techniques for credit analysis based on discriminant analysis, logistic regression and artificial neural networks. Methodologically, the research was defined as quantitative, regarding its nature, and explanatory, regarding its type. It was developed using data derived from bibliographic and document analysis. The financial demonstrations were collected by means of the Economática ® and the BM$FBOVESPA website. The sample was comprised of 121 companies, being those 70 solvents and 51 insolvents from various sectors. In the analyses, we used 22 indicators of the Traditional Model and 13 of the Fleuriet Model, totalizing 35 indicators. The economic-financial indicators which were a part of, at least, one of the three final models were: X1 (Working Capital over Assets), X3 (NCG over Assets), X4 (NCG over Net Revenue), X8 (Type of Financial Structure), X9 (Net Thermometer), X16 (Net Equity divided by the total demandable), X17 (Asset Turnover), X20 (Net Equity Profitability), X25 (Net Margin), X28 (Debt Composition) and X31 (Net Equity over Asset). The final models presented setting values of: 90.9% (discriminant analysis); 90.9% (logistic regression) and 97.8% (neural networks). The modeling in neural networks presented higher accuracy, which was confirmed by the ROC curve. In conclusion, the indicators of the Fleuriet Model presented relevant results for the research of credit risk, especially if modeled by neural networks.

CHARACTERIZATION OF THE BRAZPD II COHORT AND DESCRIPTION OF TRENDS IN PERITONEAL DIALYSIS OUTCOME ACROSS TIME PERIODS

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Peritoneal dialysis in acute kidney injury: trends in the outcome across time periods

Peritoneal dialysis (PD) should be considered a suitable method of renal replacement therapy in acute kidney injury (AKI) patients. This study is the largest cohort providing patient characteristics, clinical practice, patterns and their relationship to outcomes in a developing country. Its objective was to describe the main determinants of patient and technique survival, including trends over time of PD treatment in AKI patients. This was a Brazilian prospective cohort study in which all adult AKI patients on PD were studied from January/2004 to January/2014. For comparison purposes, patients were divided into 2 groups according to the year of treatment: 2004-2008 and 2009-2014. Patient survival and technique failure (TF) were analyzed using the competing risk model of Fine and Gray. A total of 301 patients were included, 51 were transferred to hemodialysis (16.9%) during the study period. The main cause of TF was mechanical complication (47%) followed by peritonitis (41.2%). There was change in TF during the study period: compared to 2004-2008, patients treated at 2009-2014 had relative risk (RR) reduction of 0.86 (95% CI 0.77-0.96) and three independent risk factors were identified: period of treatment at 2009 and 2014, sepsis and age>65 years. There were 180 deaths (59.8%) during the study. Death was the leading cause of dropout (77.9% of all cases) mainly by sepsis (58.3%), followed cardiovascular disease (36.1%). The overall patient survival was 41% at 30 days. Patient survival improved along study periods: compared to 2004-2008, patients treated at 2009-2014 had a RR reduction of 0.87 (95% CI 0.79-0.98). The independent risk factors for mortality were sepsis, age>70 years, ATN-ISS > 0.65 and positive fluid balance. As conclusion, we observed an improvement in patient survival and TF along the years even after correction for several confounders and using a competing risk approach.

Genetic parameters for body weight in meat quail

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Modeling Age-Specific Mortality For Marine Mammal Populations

A method is presented for estimating age-specific mortality based on minimal information: a model life table and an estimate of longevity. This approach uses expected patterns of mammalian survivorship to define a general model of age-specific mortality rates. One such model life table is based on data for northern fur seals (Callorhinus ursinus) using Siler’s (1979) 5-parameter competing risk model. Alternative model life tables are based on historical data for human females and on a published model for Old World monkeys. Survival rates for a marine mammal species are then calculated by scaling these models by the longevity of that species. By using a realistic model (instead of assuming constant mortality), one can see more easily the real biological limits to population growth. The mortality estimation procedure is illustrated with examples of spotted dolphins (Stenella attenuata) and harbor porpoise (Phocoena phocoena).

Relationship between sweet orange yield and intensity of Citrus Variegated Chlorosis

Citrus Variegated Chlorosis (CVC) is currently present in approximately 40% of citrus plants in Brazil and causes an annual loss of around 120 million US dollars to the Brazilian citrus industry. Despite the fact that CVC has been present in Brazil for over 20 years, a relationship between disease intensity and yield loss has not been established. In order to achieve this, an experiment was carried out in a randomized block design in a 3 x 2 factorial scheme with 10-year-old Natal sweet orange. The following treatments were applied: irrigation with 0, 50 or 100% of the evapotranspiration of the crop, combined with natural infection or artificial inoculation with Xylella fastidiosa, the causal agent of CVC. The experiment was evaluated during three seasons. A negative exponential model was fitted to the relationships between yield versus CVC severity and yield versus Area Under Disease Progress Curve (AUDPC). In addition, the relationship between yield versus CVC severity and canopy volume was fitted by a multivariate exponential model. The use of the AUDPC variable showed practical limitations when compared with the variable CVC severity. The parameter values in the relationship of yieldCVC severity were similar for all treatments unlike in the multivariate model. Consequently, the yieldCVC intensity relationship (with 432 data points) could be described by one single model: y = 114.07 exp(-0.017 x), where y is yield (symptomless fruit weight in kg) and x is disease severity (R2 = 0.45; P < 0.01).

The impact of dental caries and trauma in children on family quality of life

Objectives: To assess the impact of childrens dental caries (DC) and traumatic dental injuries (TDI) on parents quality of life (QoL), adjusted by family income. Methods: Parents of 219 children aged 5 and 6 years answered the Family Impact Scale (FIS) on their perception of QoL and data about income. Three calibrated dentists examined the severity of DC according to decayed, missing and filled permanent teeth index, and children were categorized into: 0 = caries free; 15 = low severity; and =6 = high severity. TDI were classified into uncomplicated and complicated injuries. QoL was measured through FIS items and total score, and Poisson regression was used to associate the variables with the outcome. Results: Severity of DC showed a negative impact on the total score and subscales on parental/family activities, parental emotions and financial burden (P < 0.001). TDI showed a negative impact on total score and in some FIS items. The multivariate-adjusted model showed that only the increase in the severity of childrens DC (RR = 3.19; 95% CI = 2.36, 4.31; P < 0.001) was associated with a greater negative impact on parents QoL, while high family income was a protective factor (RR = 0.68; 95% CI = 0.48, 0.95; P < 0.001). Conclusions: The severity of childrens DC has a negative impact on parents QoL, whereas TDI do not. A lower family income might have a negative impact on parents QoL.

A 15-year study on the treatment of undernourished children at a nutrition rehabilitation centre (CREN), Brazil

Objective: To build a life table and determine the factors related to the time of treatment of undernourished children at a nutrition rehabilitation centre (CREN), Sao Paulo, Brazil. Design: Nutritional status was assessed from weight-for-age, height-for-age and BMI-for-age Z-scores, while neuropsychomotor development was classified according to the milestones of childhood development. Life tables, Kaplan-Meier survival curves and Cox multiple regression models were employed in data analysis. Setting: CREN (Centre of Nutritional Recovery and Education), Sao Paulo, Brazil. Subjects: Undernourished children (n 228) from the southern slums of Sao Paulo who had received treatment at CREN under a day-hospital regime between the years 1994 and 2009. Results: The Kaplan-Meier curves of survival analysis showed statistically significant differences in the periods of treatment at CREN between children presenting different degrees of neuropsychomotor development (log-rank = 6.621; P = 0.037). Estimates based on the multivariate Cox model revealed that children aged >= 24 months at the time of admission exhibited a lower probability of nutritional rehabilitation (hazard ratio (HR) = 0.49; P = 0.046) at the end of the period compared with infants aged up 12 months. Children presenting slow development were better rehabilitated in comparison with those exhibiting adequate evolution (HR = 4.48; P = 0.023). No significant effects of sex, degree of undernutrition or birth weight on the probability of nutritional rehabilitation were found. Conclusions: Age and neuropsychomotor developmental status at the time of admission to CREN are critical factors in determining the duration of treatment.

Lung cancer symptoms and pulse oximetry in the prognostic assessment of patients with lung cancer

Abstract Background Medical oncologists continue to use performance status as a proxy for quality of life (QOL) measures, as completion of QOL instruments is perceived as time consuming, may measure aspects of QOL not affected by cancer therapy, and interpretation may be unclear. The pulse oximeter is widely used in clinical practice to predict cardiopulmonary morbidity after lung resection in cancer patients, but little is known on its role outside the surgical setting. We evaluated whether the Lung Cancer Symptom Scale and pulse oximetry may contribute to the evaluation of lung cancer patients who received standard anticancer therapy. Methods We enrolled forty-one consecutive, newly diagnosed, patients with locally advanced or metastatic lung cancer in this study. We developed a survival model with the variables gender, age, histology, clinical stage, Karnofsky performance status, wasting, LCSS symptom scores, average symptom burden index, and pulse oximetry (SpO2). Results Patient and observer-rated scores were correlated, except for the fatigue subscale. The median SpO2 was 95% (range: 86 to 98), was unrelated to symptom scores, and was weakly correlated with observer cough scores. In a multivariate survival model, SpO2 > 90% and patient scores on the LCSS appetite and fatigue subscales were independent predictors of survival. Conclusion LCSS fatigue and appetite rating, and pulse oximetry should be studied further as prognostic factors in lung cancer patients.

Il contributo della psicopatologia ansiosa materna prenatale sul temperamento infantile e la relazione precoce madre-bambino

La sintomatologia ansiosa materna nel periodo prenatale risulta influire negativamente non sullo stato materno ma anche sul successivo sviluppo infantile, Tuttavia, sono limitati gli studi che hanno considerato lo specifico contributo dei disturbi d’ansia nel periodo prenatale. L’obiettivo generale dello studio è quello di indagare nel primo periodo post partum la relazione tra psicopatologia ansiosa materna e: temperamento e sviluppo neonatale, qualità del caregiving materno e dei pattern interattivi madre-bambino. 138 donne sono state intervistate utilizzando SCID-I (First et al., 1997) durante il terzo trimestre di gravidanza. 31 donne (22,5%) presentano disturbo d’ansia nel periodo prenatale. A 1 mese post partum il comportamento del neonato è stato valutato mediante NBAS (Brazelton, Nugent, 1995), mentre le madri hanno compilato MBAS (Brazelton, Nugent, 1995). A 3 mesi postpartum, una sequenza interattiva madre-bambino è stata videoregistrata e codificata utilizzando GRS (Murray et al., 1996). La procedura dello Stranger Episode (Murray et al., 2007) è stata utilizzata per osservare i pattern interattivi materni e infantili nell’interazione con una persona estranea. I neonati di madri con disturbo d’ansia manifestano alle NBAS minori capacità a livello di organizzazione di stati comportamentali, minori capacità attentive e di autoregolazione. Le madri ansiose si percepiscono significativamente meno sicure nell’occuparsi di loro, valutando i propri figli maggiormente instabili e irregolari. Nell’interazione face to face, esse mostrano comportamenti significativamente meno sensibilI, risultando meno coinvolte attivamente con il proprio bambino. Durante lo Stranger Episode, le madri con fobia sociale presentano maggiori livelli di ansia e incoraggiando in modo significativamente inferiore l’interazione del bambino con l’estraneo. I risultati sottolineano l’importanza di valutare in epoca prenatale la psicopatologia ansiosa materna. Le evidenze confermano la rilevanza che può assumere un modello multifattoriale di rischio in cui i disturbi d’ansia prenatali e la qualità del caregiving materno possono agire in modo sinergico nell’influire sugli esiti infantili.