Properties of a risk measure derived from ruin theory

This paper studies a risk measure inherited from ruin theory and investigates some of its properties. Specifically, we consider a value-at-risk (VaR)-type risk measure defined as the smallest initial capital needed to ensure that the ultimate ruin probability is less than a given level. This VaR-type risk measure turns out to be equivalent to the VaR of the maximal deficit of the ruin process in infinite time. A related Tail-VaR-type risk measure is also discussed.

Prediction of Childhood Asthma Using Conditional Probability and Discrete Event Simulation

Abstract: Asthma prevalence in children and adolescents in Spain is 10-17%. It is the most common chronic illness during childhood. Prevalence has been increasing over the last 40 years and there is considerable evidence that, among other factors, continued exposure to cigarette smoke results in asthma in children. No statistical or simulation model exist to forecast the evolution of childhood asthma in Europe. Such a model needs to incorporate the main risk factors that can be managed by medical authorities, such as tobacco (OR = 1.44), to establish how they affect the present generation of children. A simulation model using conditional probability and discrete event simulation for childhood asthma was developed and validated by simulating realistic scenario. The parameters used for the model (input data) were those found in the bibliography, especially those related to the incidence of smoking in Spain. We also used data from a panel of experts from the Hospital del Mar (Barcelona) related to actual evolution and asthma phenotypes. The results obtained from the simulation established a threshold of a 15-20% smoking population for a reduction in the prevalence of asthma. This is still far from the current level in Spain, where 24% of people smoke. We conclude that more effort must be made to combat smoking and other childhood asthma risk factors, in order to significantly reduce the number of cases. Once completed, this simulation methodology can realistically be used to forecast the evolution of childhood asthma as a function of variation in different risk factors.

Changes in the risk of death after HIV seroconversion compared with mortality in the general population.

CONTEXT: Mortality among human immunodeficiency virus (HIV)-infected individuals has decreased dramatically in countries with good access to treatment and may now be close to mortality in the general uninfected population. OBJECTIVE: To evaluate changes in the mortality gap between HIV-infected individuals and the general uninfected population. DESIGN, SETTING, AND POPULATION: Mortality following HIV seroconversion in a large multinational collaboration of HIV seroconverter cohorts (CASCADE) was compared with expected mortality, calculated by applying general population death rates matched on demographic factors. A Poisson-based model adjusted for duration of infection was constructed to assess changes over calendar time in the excess mortality among HIV-infected individuals. Data pooled in September 2007 were analyzed in March 2008, covering years at risk 1981-2006. MAIN OUTCOME MEASURE: Excess mortality among HIV-infected individuals compared with that of the general uninfected population. RESULTS: Of 16,534 individuals with median duration of follow-up of 6.3 years (range, 1 day to 23.8 years), 2571 died, compared with 235 deaths expected in an equivalent general population cohort. The excess mortality rate (per 1000 person-years) decreased from 40.8 (95% confidence interval [CI], 38.5-43.0; 1275.9 excess deaths in 31,302 person-years) before the introduction of highly active antiretroviral therapy (pre-1996) to 6.1 (95% CI, 4.8-7.4; 89.6 excess deaths in 14,703 person-years) in 2004-2006 (adjusted excess hazard ratio, 0.05 [95% CI, 0.03-0.09] for 2004-2006 vs pre-1996). By 2004-2006, no excess mortality was observed in the first 5 years following HIV seroconversion among those infected sexually, though a cumulative excess probability of death remained over the longer term (4.8% [95% CI, 2.5%-8.6%] in the first 10 years among those aged 15-24 years). CONCLUSIONS: Mortality rates for HIV-infected persons have become much closer to general mortality rates since the introduction of highly active antiretroviral therapy. In industrialized countries, persons infected sexually with HIV now appear to experience mortality rates similar to those of the general population in the first 5 years following infection, though a mortality excess remains as duration of HIV infection lengthens.

Genetic variants influencing circulating lipid levels and risk of coronary artery disease.

OBJECTIVE: Genetic studies might provide new insights into the biological mechanisms underlying lipid metabolism and risk of CAD. We therefore conducted a genome-wide association study to identify novel genetic determinants of low-density lipoprotein cholesterol (LDL-C), high-density lipoprotein cholesterol (HDL-C), and triglycerides. METHODS AND RESULTS: We combined genome-wide association data from 8 studies, comprising up to 17 723 participants with information on circulating lipid concentrations. We did independent replication studies in up to 37 774 participants from 8 populations and also in a population of Indian Asian descent. We also assessed the association between single-nucleotide polymorphisms (SNPs) at lipid loci and risk of CAD in up to 9 633 cases and 38 684 controls. We identified 4 novel genetic loci that showed reproducible associations with lipids (probability values, 1.6×10(-8) to 3.1×10(-10)). These include a potentially functional SNP in the SLC39A8 gene for HDL-C, an SNP near the MYLIP/GMPR and PPP1R3B genes for LDL-C, and at the AFF1 gene for triglycerides. SNPs showing strong statistical association with 1 or more lipid traits at the CELSR2, APOB, APOE-C1-C4-C2 cluster, LPL, ZNF259-APOA5-A4-C3-A1 cluster and TRIB1 loci were also associated with CAD risk (probability values, 1.1×10(-3) to 1.2×10(-9)). CONCLUSIONS: We have identified 4 novel loci associated with circulating lipids. We also show that in addition to those that are largely associated with LDL-C, genetic loci mainly associated with circulating triglycerides and HDL-C are also associated with risk of CAD. These findings potentially provide new insights into the biological mechanisms underlying lipid metabolism and CAD risk.

Averting risk in the face of large losses: Bernoulli vs. Tversky and Kahneman

We experimentally question the assertion of Prospect Theory that people display risk attraction in choices involving high-probability losses. Indeed, our experimental participants tend to avoid fair risks for large (up to ? 90), high-probability (80%) losses. Our research hinges on a novel experimental method designed to alleviate the house-money bias that pervades experiments with real (not hypothetical) loses.Our results vindicate Daniel Bernoulli?s view that risk aversion is the dominant attitude,But, contrary to the Bernoulli-inspired canonical expected utility theory, we do find frequent risk attraction for small amounts of money at stake.In any event, we attempt neither to test expected utility versus nonexpected utility theories, nor to contribute to the important literature that estimates value and weighting functions. The question that we ask is more basic, namely: do people display risk aversion when facing large losses, or large gains? And, at the risk of oversimplifying, our answer is yes.

Ruin and related quantities in some advanced insurance risk models

Risk theory has been a very active research area over the last decades. The main objectives of the theory are to find adequate stochastic processes which can model the surplus of a (non-life) insurance company and to analyze the risk related quantities such as ruin time, ruin probability, expected discounted penalty function and expected discounted dividend/tax payments. The study of these ruin related quantities provides crucial information for actuaries and decision makers. This thesis consists of the study of four different insurance risk models which are essentially related. The ruin and related quantities are investigated by using different techniques, resulting in explicit or asymptotic expressions for the ruin time, the ruin probability, the expected discounted penalty function and the expected discounted tax payments. - La recherche en théorie du risque a été très dynamique au cours des dernières décennies. D'un point de vue théorique, les principaux objectifs sont de trouver des processus stochastiques adéquats permettant de modéliser le surplus d'une compagnie d'assurance non vie et d'analyser les mesures de risque, notamment le temps de ruine, la probabilité de ruine, l'espérance de la valeur actuelle de la fonction de pénalité et l'espérance de la valeur actuelle des dividendes et taxes. L'étude de ces mesures associées à la ruine fournit des informations cruciales pour les actuaires et les décideurs. Cette thèse consiste en l'étude des quatre différents modèles de risque d'assurance qui sont essentiellement liés. La ruine et les mesures qui y sont associées sont examinées à l'aide de différentes techniques, ce qui permet d'induire des expressions explicites ou asymptotiques du temps de ruine, de la probabilité de ruine, de l'espérance de la valeur actuelle de la fonction de pénalité et l'espérance de la valeur actuelle des dividendes et taxes.

Disparities in work, risk and health between immigrants and native-born Spaniards

We analyse the impact of working and contractual conditions, particularly exposure to job risks, on the probability of acquiring a permanent disability, controlling for other personal and firm characteristics. We postulate a model in which this impact is mediated by the choice of occupation, with a level of risk associated with it. We assume this choice is endogenous, and that it depends on preferences and opportunities in the labour market, both of which may differ between immigrants and natives. To test this hypothesis we apply a bivariate probit model to data for 2006 from the Continuous Sample of Working Lives provided by the Spanish Social Security system, containing records for over a million workers. We find that risk exposure increases the probability of permanent disability arising from any cause - by almost 5%.

The Effects of Multifactorial Fall Prevention on the Psychological Risk Factors of Falling

Psychological factors, such as depression or depressive symptoms and fear of falling are linked to falls among the aged. According to previous studies, they may increase the risk of falls and injurious falls. In addition, depression or a high amount of depressive symptoms and fear of falling may hinder participation in preventive activities. Despite the severe consequences of both conditions and their high prevalence among the aged, they have rarely been studied in the context of fall prevention. The study aimed to assess the effects of multifactorial fall prevention on the psychological risk factors of falling (depressive symptoms and fear of falling) among the community-dwelling aged at increased risk of falling. In addition, it aimed to determine factors predicting high adherence to preventive activities. Volunteers aged 65 or over, who had fallen during the year previous to randomisation were recruited. Participants (n=591) were randomised into an intervention or a control group. The intervention group received a multifactorial fall prevention programme including geriatric assessment, individual guidance on fall and fracture prevention, group- and home-based physical exercise, psychosocial group activities, lectures and home hazards assessment. The control group had a one-time counselling on fall and fracture prevention. The data on psychological risk factors of falling were collected by self-rated questionnaires. Multifactorial fall prevention was not effective in reducing depressive symptoms or fear of falling compared to one-time counselling in the total sample. However, in subgroup analyses, depressive symptoms reduced statistically significantly more among the men and older participants of the intervention group compared to the control group. Female gender, high physical and cognitive abilities and low self-perceived probability of falling were independent predictors of higher adherence in organised activities. In conclusion, few psychological benefits were gained during this multifactorial fall prevention trial. More attention should be focused on adherence, especially among the aged with functional disabilities.

Harmonization ofsignificant environmental aspects and their risk assessment in UPM paper and pulp mills

Työn tavoite onharmonisoida yhtenäiset rakenteet UPM:n paperi- ja sellutehtaiden merkittävilleympäristönäkökohdille sekä niiden ympäristöriskienhallintajärjestelmille. Näin saavutetaan yhteneväiset tavoitteet ja analysointikeinot yrityksen yksiköille. Harmonisointiprosessi on osa koko yrityksen ympäristöhallintajärjestelmän kehittämistä. Ja konsernin EMS -prosessi puolestaan konvergoi konsernin integroidun johtamisjärjestelmän kehitystä. Lisäksi työn tapaustutkimuksessa selvitettiin riskienhallintajärjestelmien integroitumispotentiaalia. Sen avulla saavutettaisiin paremmin suuren yrityksen synergia-etuja ja vuorovaikutteisuutta toimijoiden kesken, sekä parannettaisiin riskienhallintajärjestelmän mukautuvuutta ja käytettävyyttä. Työssä käsitellään kolmea esimerkkiä, joiden pohjalta tehdään esitys harmonisoiduille merkittäville ympäristönäkökohdille sekä riskienhallintajärjestelmien parametreille. Tutkimusongelmaa lähestytään haastattelujen, kirjallisuuden, yrityksen PWC:llä teettämän selvityksen sekä omien päätelmien avulla. Lisäksi työssä esitetään ympäristöhallintajärjestelmän tehokkuuden todentaminen ympäristösuorituskyvyn muuttujiin suhteutettuna. Pohjana jatkuvan kehityksen päämäärälle on organisaatio-oppiminen, niin yksittäisen työntekijän, tiimien kuin eri yksiköiden kesken. Se antaa sysäyksen aineettoman omaisuuden, kuten ympäristö-osaamisen, hyödyntämiseen parhaalla mahdollisella tavalla. Tärkeimpinä lopputuloksina työssä ovat ehdotukset harmonisoiduille merkittäville ympäristönäkökohdille sekä ympäristöriskienhallintajärjestelmän määritetyille komponenteille. Niitä ovat määritelmät ja skaalat riskien todennäköisyydelle, seurauksille sekä riskiluokille. Työn viimeisenä osana luodaan pohja tapaustutkimuksen avulla Rauman tehtaan jätevedenpuhdistamon kahden erilaisen riskienhallintajärjestelmän integroitumiselle.

Cannabis use and other illicit drug use: Do subjective experiences during first cannabis use increase the probability of using illicit drug use?

Background and aims: Few studies have examined whether subjective experiences during first cannabis use are related to other illicit drug (OID) use. This study investigated this topic. Methods: Baseline data from a representative sample of young Swiss men was obtained from an ongoing Cohort Study on Substance Use Risk Factors (N ¼ 5753). Logistic regressions were performed to examine the relationships between cannabis use and of subjective experiences during first cannabis use with 15 OID. Results: Positive experiences increased the likelihood of using hallucinogens (hallucinogens, salvia divinorum, spice; p50.015), stimulants (speed, ecstasy, cocaine, amphetamines/methamphetamines; p50.006) and also poppers, research chemicals, GHB/GBL, and crystal meth (p50.049). Sniffed drugs (poppers, solvents for sniffing) and ''hard'' drugs (heroin, ketamine, research chemicals, GHB/GBL and crystal meth) were more likely to be used by participants who experienced negative feelings on first use of cannabis (p50.034). Conclusion: Subjective feelings seemed to amplify the association of cannabis with OID. The risk increased for drugs with effects resembling feelings experienced on first cannabis use. Negative experiences should also be a concern, as they were associated with increased risk of using the ''hardest'' illicit drugs.

Prevalence and risk factors for therapy escalation in ulcerative colitis in the Swiss IBD Cohort Study

BACKGROUND: Physicians traditionally treat ulcerative colitis (UC) using a step-up approach. Given the paucity of data, we aimed to assess the cumulative probability of UC-related need for step-up therapy and to identify escalation-associated risk factors. METHODS: Patients with UC enrolled into the Swiss IBD Cohort Study were analyzed. The following steps from the bottom to the top of the therapeutic pyramid were examined: (1) 5-aminosalicylic acid and/or rectal corticosteroids, (2) systemic corticosteroids, (3) immunomodulators (IM) (azathioprine, 6-mercaptopurine, methotrexate), (4) TNF antagonists, (5) calcineurin inhibitors, and (6) colectomy. RESULTS: Data on 996 patients with UC with a median disease duration of 9 years were examined. The point estimates of cumulative use of different treatments at years 1, 5, 10, and 20 after UC diagnosis were 91%, 96%, 96%, and 97%, respectively, for 5-ASA and/or rectal corticosteroids, 63%, 69%, 72%, and 79%, respectively, for systemic corticosteroids, 43%, 57%, 59%, and 64%, respectively, for IM, 15%, 28%, and 35% (up to year 10 only), respectively, for TNF antagonists, 5%, 9%, 11%, and 12%, respectively, for calcineurin inhibitors, 1%, 5%, 9%, and 18%, respectively, for colectomy. The presence of extraintestinal manifestations and extended disease location (at least left-sided colitis) were identified as risk factors for step-up in therapy with systemic corticosteroids, IM, TNF antagonists, calcineurin inhibitors, and surgery. Cigarette smoking at diagnosis was protective against surgery. CONCLUSIONS: The presence of extraintestinal manifestations, left-sided colitis, and extensive colitis/pancolitis at the time of diagnosis were associated with use of systemic corticosteroids, IM, TNF antagonists, calcineurin inhibitors, and colectomy during the disease course.

Adjusting fracture probability by trabecular bone score.

The aim of the present study was to determine the impact of trabecular bone score on the probability of fracture above that provided by the clinical risk factors utilized in FRAX. We performed a retrospective cohort study of 33,352 women aged 40-99 years from the province of Manitoba, Canada, with baseline measurements of lumbar spine trabecular bone score (TBS) and FRAX risk variables. The analysis was cohort-specific rather than based on the Canadian version of FRAX. The associations between trabecular bone score, the FRAX risk factors and the risk of fracture or death were examined using an extension of the Poisson regression model and used to calculate 10-year probabilities of fracture with and without TBS and to derive an algorithm to adjust fracture probability to take account of the independent contribution of TBS to fracture and mortality risk. During a mean follow-up of 4.7 years, 1754 women died and 1639 sustained one or more major osteoporotic fractures excluding hip fracture and 306 women sustained one or more hip fracture. When fully adjusted for FRAX risk variables, TBS remained a statistically significant predictor of major osteoporotic fractures excluding hip fracture (HR/SD 1.18, 95 % CI 1.12-1.24), death (HR/SD 1.20, 95 % CI 1.14-1.26) and hip fracture (HR/SD 1.23, 95 % CI 1.09-1.38). Models adjusting major osteoporotic fracture and hip fracture probability were derived, accounting for age and trabecular bone score with death considered as a competing event. Lumbar spine texture analysis using TBS is a risk factor for osteoporotic fracture and a risk factor for death. The predictive ability of TBS is independent of FRAX clinical risk factors and femoral neck BMD. Adjustment of fracture probability to take account of the independent contribution of TBS to fracture and mortality risk requires validation in independent cohorts.

INCLUDING RISK IN ECONOMIC FEASIBILITY ANALYSIS:A STOCHASTIC SIMULATION MODEL FOR BLUEBERRY INVESTMENT DECISIONS IN CHILE

ABSTRACT The traditional method of net present value (NPV) to analyze the economic profitability of an investment (based on a deterministic approach) does not adequately represent the implicit risk associated with different but correlated input variables. Using a stochastic simulation approach for evaluating the profitability of blueberry (Vaccinium corymbosum L.) production in Chile, the objective of this study is to illustrate the complexity of including risk in economic feasibility analysis when the project is subject to several but correlated risks. The results of the simulation analysis suggest that the non-inclusion of the intratemporal correlation between input variables underestimate the risk associated with investment decisions. The methodological contribution of this study illustrates the complexity of the interrelationships between uncertain variables and their impact on the convenience of carrying out this type of business in Chile. The steps for the analysis of economic viability were: First, adjusted probability distributions for stochastic input variables (SIV) were simulated and validated. Second, the random values of SIV were used to calculate random values of variables such as production, revenues, costs, depreciation, taxes and net cash flows. Third, the complete stochastic model was simulated with 10,000 iterations using random values for SIV. This result gave information to estimate the probability distributions of the stochastic output variables (SOV) such as the net present value, internal rate of return, value at risk, average cost of production, contribution margin and return on capital. Fourth, the complete stochastic model simulation results were used to analyze alternative scenarios and provide the results to decision makers in the form of probabilities, probability distributions, and for the SOV probabilistic forecasts. The main conclusion shown that this project is a profitable alternative investment in fruit trees in Chile.

PERC rule to exclude the diagnosis of pulmonary embolism in emergency low-risk patients: study protocol for the PROPER randomized controlled study.

BACKGROUND: The diagnosis of Pulmonary Embolism (PE) in the emergency department (ED) is crucial. As emergency physicians fear missing this potential life-threatening condition, PE tends to be over-investigated, exposing patients to unnecessary risks and uncertain benefit in terms of outcome. The Pulmonary Embolism Rule-out Criteria (PERC) is an eight-item block of clinical criteria that can identify patients who can safely be discharged from the ED without further investigation for PE. The endorsement of this rule could markedly reduce the number of irradiative imaging studies, ED length of stay, and rate of adverse events resulting from both diagnostic and therapeutic interventions. Several retrospective and prospective studies have shown the safety and benefits of the PERC rule for PE diagnosis in low-risk patients, but the validity of this rule is still controversial. We hypothesize that in European patients with a low gestalt clinical probability and who are PERC-negative, PE can be safely ruled out and the patient discharged without further testing. METHODS/DESIGN: This is a controlled, cluster randomized trial, in 15 centers in France. Each center will be randomized for the sequence of intervention periods: a 6-month intervention period (PERC-based strategy) followed by a 6-month control period (usual care), or in reverse order, with 2 months of "wash-out" between the 2 periods. Adult patients presenting to the ED with a suspicion of PE and a low pre test probability estimated by clinical gestalt will be eligible. The primary outcome is the percentage of failure resulting from the diagnostic strategy, defined as diagnosed venous thromboembolic events at 3-month follow-up, among patients for whom PE has been initially ruled out. DISCUSSION: The PERC rule has the potential to decrease the number of irradiative imaging studies in the ED, and is reported to be safe. However, no randomized study has ever validated the safety of PERC. Furthermore, some studies have challenged the safety of a PERC-based strategy to rule-out PE, especially in Europe where the prevalence of PE diagnosed in the ED is high. The PROPER study should provide high-quality evidence to settle this issue. If it confirms the safety of the PERC rule, physicians will be able to reduce the number of investigations, associated subsequent adverse events, costs, and ED length of stay for patients with a low clinical probability of PE. TRIAL REGISTRATION: NCT02375919 .

Detecting Heterogeneous Risk Attitudes with Mixed Gambles

We propose a task for eliciting attitudes toward risk that is close to real-world risky decisions which typically involve gains and losses. The task consists of accepting or rejecting gambles that provide a gain with probability p and a loss with probability 1−p . We employ finite mixture models to uncover heterogeneity in risk preferences and find that (i) behavior is heterogeneous, with one half of the subjects behaving as expected utility maximizers, (ii) for the others, reference-dependent models perform better than those where subjects derive utility from final outcomes, (iii) models with sign-dependent decision weights perform better than those without, and (iv) there is no evidence for loss aversion. The procedure is sufficiently simple so that it can be easily used in field or lab experiments where risk elicitation is not the main experiment.