A correlation sensitivity analysis of non-life underwriting risk in solvency capital requirement estimation

This paper analyses the impact of using different correlation assumptions between lines of business when estimating the risk-based capital reserve, the Solvency Capital Requirement (SCR), under Solvency II regulations. A case study is presented and the SCR is calculated according to the Standard Model approach. Alternatively, the requirement is then calculated using an Internal Model based on a Monte Carlo simulation of the net underwriting result at a one-year horizon, with copulas being used to model the dependence between lines of business. To address the impact of these model assumptions on the SCR we conduct a sensitivity analysis. We examine changes in the correlation matrix between lines of business and address the choice of copulas. Drawing on aggregate historical data from the Spanish non-life insurance market between 2000 and 2009, we conclude that modifications of the correlation and dependence assumptions have a significant impact on SCR estimation.

Genomics of the divergence continuum in an African plant biodiversity hotspot, I: drivers of population divergence in Restio capensis (Restionaceae).

Understanding the drivers of population divergence, speciation and species persistence is of great interest to molecular ecology, especially for species-rich radiations inhabiting the world's biodiversity hotspots. The toolbox of population genomics holds great promise for addressing these key issues, especially if genomic data are analysed within a spatially and ecologically explicit context. We have studied the earliest stages of the divergence continuum in the Restionaceae, a species-rich and ecologically important plant family of the Cape Floristic Region (CFR) of South Africa, using the widespread CFR endemic Restio capensis (L.) H.P. Linder & C.R. Hardy as an example. We studied diverging populations of this morphotaxon for plastid DNA sequences and >14 400 nuclear DNA polymorphisms from Restriction site Associated DNA (RAD) sequencing and analysed the results jointly with spatial, climatic and phytogeographic data, using a Bayesian generalized linear mixed modelling (GLMM) approach. The results indicate that population divergence across the extreme environmental mosaic of the CFR is mostly driven by isolation by environment (IBE) rather than isolation by distance (IBD) for both neutral and non-neutral markers, consistent with genome hitchhiking or coupling effects during early stages of divergence. Mixed modelling of plastid DNA and single divergent outlier loci from a Bayesian genome scan confirmed the predominant role of climate and pointed to additional drivers of divergence, such as drift and ecological agents of selection captured by phytogeographic zones. Our study demonstrates the usefulness of population genomics for disentangling the effects of IBD and IBE along the divergence continuum often found in species radiations across heterogeneous ecological landscapes.

Acidic ribosomal proteins and histone H3 from Leishmania present a high rate of divergence

Another additional peculiarity in Leishmania will be discussed about of the amino acid divergence rate of three structural proteins: acidic ribosomal P1 and P2b proteins, and histone H3 by using multiple sequence alignment and dendrograms. These structural proteins present a high rate of divergence regarding to their homologous protein in Trypanosoma cruzi. At this regard, L. (V.) peruviana P1 and T. cruzi P1 showed 57.4% of divergence rate. Likewise, L. (V.) braziliensis histone H3 and acidic ribosomal P2 protein exhibited 31.8% and 41.7% respectively of rate of divergence in comparison with their homologous in T. cruzi.

The nature of the Cr-C bond: direct estimation of aromaticity in Fischer carbenes

Report for the scientific sojourn at the the Philipps-Universität Marburg, Germany, from september to december 2007. For the first, we employed the Energy-Decomposition Analysis (EDA) to investigate aromaticity on Fischer carbenes as it is related through all the reaction mechanisms studied in my PhD thesis. This powerful tool, compared with other well-known aromaticity indices in the literature like NICS, is useful not only for quantitative results but also to measure the degree of conjugation or hyperconjugation in molecules. Our results showed for the annelated benzenoid systems studied here, that electron density is more concentrated on the outer rings than in the central one. The strain-induced bond localization plays a major role as a driven force to keep the more substituted ring as the less aromatic. The discussion presented in this work was contrasted at different levels of theory to calibrate the method and ensure the consistency of our results. We think these conclusions can also be extended to arene chemistry for explaining aromaticity and regioselectivity reactions found in those systems.In the second work, we have employed the Turbomole program package and density-functionals of the best performance in the state of art, to explore reaction mechanisms in the noble gas chemistry. Particularly, we were interested in compounds of the form H--Ng--Ng--F (where Ng (Noble Gas) = Ar, Kr and Xe) and we investigated the relative stability of these species. Our quantum chemical calculations predict that the dixenon compound HXeXeF has an activation barrier for decomposition of 11 kcal/mol which should be large enough to identify the molecule in a low-temperature matrix. The other noble gases present lower activation barriers and therefore are more labile and difficult to be observable systems experimentally.

Estimation of glomerular filtration rate in hospitalised patients: are we overestimating renal function?

QUESTIONS UNDER STUDY AND PRINCIPLES: Estimating glomerular filtration rate (GFR) in hospitalised patients with chronic kidney disease (CKD) is important for drug prescription but it remains a difficult task. The purpose of this study was to investigate the reliability of selected algorithms based on serum creatinine, cystatin C and beta-trace protein to estimate GFR and the potential added advantage of measuring muscle mass by bioimpedance. In a prospective unselected group of patients hospitalised in a general internal medicine ward with CKD, GFR was evaluated using inulin clearance as the gold standard and the algorithms of Cockcroft, MDRD, Larsson (cystatin C), White (beta-trace) and MacDonald (creatinine and muscle mass by bioimpedance). 69 patients were included in the study. Median age (interquartile range) was 80 years (73-83); weight 74.7 kg (67.0-85.6), appendicular lean mass 19.1 kg (14.9-22.3), serum creatinine 126 μmol/l (100-149), cystatin C 1.45 mg/l (1.19-1.90), beta-trace protein 1.17 mg/l (0.99-1.53) and GFR measured by inulin 30.9 ml/min (22.0-43.3). The errors in the estimation of GFR and the area under the ROC curves (95% confidence interval) relative to inulin were respectively: Cockcroft 14.3 ml/min (5.55-23.2) and 0.68 (0.55-0.81), MDRD 16.3 ml/min (6.4-27.5) and 0.76 (0.64-0.87), Larsson 12.8 ml/min (4.50-25.3) and 0.82 (0.72-0.92), White 17.6 ml/min (11.5-31.5) and 0.75 (0.63-0.87), MacDonald 32.2 ml/min (13.9-45.4) and 0.65 (0.52-0.78). Currently used algorithms overestimate GFR in hospitalised patients with CKD. As a consequence eGFR targeted prescriptions of renal-cleared drugs, might expose patients to overdosing. The best results were obtained with the Larsson algorithm. The determination of muscle mass by bioimpedance did not provide significant contributions.

Solvency Capital estimation and Risk Measures

This paper examines why a financial entity’s solvency capital estimation might be underestimated if the total amount required is obtained directly from a risk measurement. Using Monte Carlo simulation we show that, in some instances, a common risk measure such as Value-at-Risk is not subadditive when certain dependence structures are considered. Higher risk evaluations are obtained for independence between random variables than those obtained in the case of comonotonicity. The paper stresses, therefore, the relationship between dependence structures and capital estimation.

Assessment of adult formulas for glomerular filtration rate estimation in children.

BACKGROUND: Estimated glomerular filtration rate (eGFR) is an important diagnostic instrument in clinical practice. The National Kidney Foundation-Kidney Disease Quality Initiative (NKF-KDOQI) guidelines do not recommend using formulas developed for adults to estimate GFR in children; however, studies confirming these recommendations are scarce. The aim of our study was to evaluate the accuracy of the new Chronic Kidney Disease Epidemiology Collaboration (CKD-EPI) formula, the Modification of Diet in Renal Disease (MDRD) formula, and the Cockcroft-Gault formula in children with various stages of chronic kidney disease (CKD). METHODS: A total of 550 inulin clearance (iGFR) measurements for 391 children were analyzed. The cohort was divided into three groups: group 1, with iGFR >90 ml/min/1.73 m(2); group 2, with iGFR between 60 and 90 ml/min/1.73 m(2); group 3, with iGFR of <60 ml/min/1.73 m(2). RESULTS: All formulas overestimate iGFR with a significant bias (p < 0.001), present poor accuracies, and have poor Spearman correlations. For an accuracy of 10 %, only 11, 6, and 27 % of the eGFRs are accurate when using the MDRD, CKD-EPI, and Cockcroft-Gault formulas, respectively. For an accuracy of 30 %, these formulas do not reach the NKF-KDOQI guidelines for validation, with only 25, 20, and 70 % of the eGFRs, respectively, being accurate. CONCLUSIONS: Based on our results, the performances of all of these formulas are unreliable for eGFR in children across all CKD stages and cannot therefore be applied in the pediatric population group.

Bone mineral density (BMD), micro-architecture estimation (TBS) and vertebral fracture assessment (VFA) extracted from a single DXA device in combination with clinical risk factors improve significantly the identification of women at high risk of fracture

Introduction: Osteoporosis (OP) is a systemic skeletal disease characterized by a low bone mineral density (BMD) and a micro-architectural (MA) deterioration. Clinical risk factors (CRF) are often used as a MA approximation. MA is yet evaluable in daily practice by the Trabecular Bone Score (TBS) measure. TBS is a novel grey-level texture measurement reflecting bone micro-architecture based on the use of experimental variograms of 2D projection images. TBS is very simple to obtain, by reanalyzing a lumbar DXA-scan. TBS has proven to have diagnosis and prognosis value, partially independent of CRF and BMD. The aim of the OsteoLaus cohort is to combine in daily practice the CRF and the information given by DXA (BMD, TBS and vertebral fracture assessment (VFA)) to better identify women at high fracture risk. Method: The OsteoLaus cohort (1400 women 50 to 80 years living in Lausanne, Switzerland) started in 2010. This study is derived from the cohort COLAUS who started in Lausanne in 2003. The main goals of COLAUS is to obtain information on the epidemiology and genetic determinants of cardiovascular risk in 6700 men and women. CRF for OP, bone ultrasound of the heel, lumbar spine and hip BMD, VFA by DXA and MA evaluation by TBS are recorded in OsteoLaus. Preliminary results are reported. Results: We included 631 women: mean age 67.4±6.7 y, BMI 26.1±4.6, mean lumbar spine BMD 0.943±0.168 (T-score -1.4 SD), TBS 1.271±0.103. As expected, correlation between BMD and site matched TBS is low (r2=0.16). Prevalence of VFx grade 2/3, major OP Fx and all OP Fx is 8.4%, 17.0% and 26.0% respectively. Age- and BMI-adjusted ORs (per SD decrease) are 1.8 (1.2- 2.5), 1.6 (1.2-2.1), 1.3 (1.1-1.6) for BMD for the different categories of fractures and 2.0 (1.4-3.0), 1.9 (1.4-2.5), 1.4 (1.1-1.7) for TBS respectively. Only 32 to 37% of women with OP Fx have a BMD < -2.5 SD or a TBS < 1.200. If we combine a BMD < -2.5 SD or a TBS < 1.200, 54 to 60% of women with an osteoporotic Fx are identified. Conclusion: As in the already published studies, these preliminary results confirm the partial independence between BMD and TBS. More importantly, a combination of TBS subsequent to BMD increases significantly the identification of women with prevalent OP Fx which would have been miss-classified by BMD alone. For the first time we are able to have complementary information about fracture (VFA), density (BMD), micro- and macro architecture (TBS & HAS) from a simple, low ionizing radiation and cheap device: DXA. Such complementary information is very useful for the patient in the daily practice and moreover will likely have an impact on cost effectiveness analysis.

Phenotypic divergence but not genetic distance predicts assortative mating among species of a cichlid fish radiation.

The hypothesis of ecological divergence giving rise to premating isolation in the face of gene flow is controversial. However, this may be an important mechanism to explain the rapid multiplication of species during adaptive radiation following the colonization of a new environment when geographical barriers to gene flow are largely absent but underutilized niche space is abundant. Using cichlid fish, we tested the prediction of ecological speciation that the strength of premating isolation among species is predicted by phenotypic rather than genetic distance. We conducted mate choice experiments between three closely related, sympatric species of a recent radiation in Lake Mweru (Zambia/DRC) that differ in habitat use and phenotype, and a distantly related population from Lake Bangweulu that resembles one of the species in Lake Mweru. We found significant assortative mating among all closely related, sympatric species that differed phenotypically, but none between the distantly related allopatric populations of more similar phenotype. Phenotypic distance between species was a good predictor of the strength of premating isolation, suggesting that assortative mating can evolve rapidly in association with ecological divergence during adaptive radiation. Our data also reveals that distantly related allopatric populations that have not diverged phenotypically, may hybridize when coming into secondary contact, e.g. upon river capture because of diversion of drainage systems.

Phylogeny of subtribe Gentianinae (Gentianaceae): biogeographic inferences despite limitations in temporal calibration points

The subtribe Gentianinae comprises ca. 425 species, most of them within the well-studied genus Gentiana and mainly distributed over the Eurasian continent. Phylogenetic relationships between Gentiana and its closest relatives, the climbing gentians (Crawfurdia, Tripterospermum) and the new genus Metagentiana, remain unclear. All three genera were recently found to be polyphyletic, possibly because of poor sampling of Tripterospermum and Crawfurdia. Highest diversity of Gentianinae occurs in the western Himalaya, but the absence of uncontroversial fossil evidence limits our understanding of its biogeography. In the present study, we generated ITS and atpB-rbcL sequences for 19 species of Tripterospermum, 9 of Crawfurdia and 11 of Metagentiana, together representing about 60 percent of the species diversity of these genera. Our results show that only Metagentiana is polyphyletic and divided into three monophyletic entities. No unambiguous synapomorphies were associated with the three Metagentiana entities. Different combinations of three approximate calibration points were used to generate three divergence time estimation scenarios. Although dating hypotheses were mostly inconsistent, they concurred in associating radiation of Gentiana to an orogenic phase of the Himalaya between 15 and 10 million years ago. Our study illustrates the conceptual difficulties in addressing the time frame of diversification in a group lacking sufficient fossil number and quality.

Laboratory estimation of the effects of increasing temperatures on the duration of gonotrophic cycle of Anopheles albimanus (Diptera: Culicidae)

The increase of malaria transmission in the Pacific Coast of Colombia during the occurrence of El Niño warm event has been found not to be linked to increases in the density of the vector Anopheles albimanus, but to other temperature-sensitive variables such as longevity, duration of the gonotrophic cycle or the sporogonic period of Plasmodium. The present study estimated the effects of temperature on duration of the gonotrophic cycle and on maturation of the ovaries of An. albimanus. Blood fed adult mosquitoes were exposed to temperatures of 24, 27, and 30°C, held individually in oviposition cages and assessed at 12 h intervals. At 24, 27, and 30°C the mean development time of the oocytes was 91.2 h (95% C.I.: 86.5-96), 66.2 h (61.5-70.8), and 73.1 h (64-82.3), respectively. The mean duration of the gonotrophic cycle for these three temperatures was 88.4 h (81.88-94.9), 75 h (71.4-78.7), and 69.1 h (64.6-73.6) respectively. These findings indicate that both parameters in An. albimanus are reduced when temperatures rose from 24 to 30°C, in a nonlinear manner. According to these results the increase in malaria transmission during El Niño in Colombia could be associated with a shortening of the gonotrophic cycle in malaria vectors, which could enhance the frequency of man-vector contact, affecting the incidence of the disease.

Parametric estimation of pulse arrival time: a robust approach to pulse wave velocity.

Pulse wave velocity (PWV) is a surrogate of arterial stiffness and represents a non-invasive marker of cardiovascular risk. The non-invasive measurement of PWV requires tracking the arrival time of pressure pulses recorded in vivo, commonly referred to as pulse arrival time (PAT). In the state of the art, PAT is estimated by identifying a characteristic point of the pressure pulse waveform. This paper demonstrates that for ambulatory scenarios, where signal-to-noise ratios are below 10 dB, the performance in terms of repeatability of PAT measurements through characteristic points identification degrades drastically. Hence, we introduce a novel family of PAT estimators based on the parametric modeling of the anacrotic phase of a pressure pulse. In particular, we propose a parametric PAT estimator (TANH) that depicts high correlation with the Complior(R) characteristic point D1 (CC = 0.99), increases noise robustness and reduces by a five-fold factor the number of heartbeats required to obtain reliable PAT measurements.