Transformation kernel density estimation of actuarial loss functions

[cat] Es presenta un estimador nucli transformat que és adequat per a distribucions de cua pesada. Utilitzant una transformació basada en la distribució de probabilitat Beta l’elecció del paràmetre de finestra és molt directa. Es presenta una aplicació a dades d’assegurances i es mostra com calcular el Valor en Risc.

Low-loss rib waveguides containing Si nanocrystals embedded in SiO2

We report on the study and modeling of the structural and optical properties of rib-loaded waveguides working in the 600-900-nm spectral range. A Si nanocrystal (Si-nc) rich SiO2 layer with nominal Si excess ranging from 10% to 20% was produced by quadrupole ion implantation of Si into thermal SiO2 formed on a silicon substrate. Si-ncs were precipitated by annealing at 1100°C, forming a 0.4-um-thick core layer in the waveguide. The Si content, the Si-nc density and size, the Si-nc emission, and the active layer effective refractive index were determined by dedicated experiments using x-ray photoelectron spectroscopy, Raman spectroscopy, energy-filtered transmission electron microscopy, photoluminescence and m-lines spectroscopy. Rib-loaded waveguides were fabricated by photolithographic and reactive ion etching processes, with patterned rib widths ranging from 1¿to¿8¿¿m. Light propagation in the waveguide was observed and losses of 11dB/cm at 633 and 780 nm were measured, modeled and interpreted.

Sweet taste loss in myasthenia gravis: more than a coincidence?

Sweet dysgeusia, a rare taste disorder, may be encountered in severe anti-acetylcholine receptor antibody (AChRAb)-myasthenia gravis (MG). A 42 year-old man reported progressive loss of sweet taste evolving for almost 10 weeks, revealing an AChRAb-positive MG with thymoma. Improvement of sweet perception paralleled reduction of the MG composite score during the 15 months follow up period, with immunosuppressive and surgical treatments. We suggest that sweet dysgeusia is a non-motor manifestation of MG that may result from a thymoma-dependent autoimmune mechanism targeting gustducin-positive G-protein-coupled taste receptor cells, in line with recent data from MRL/MpJ-Fas lpr/ (MRL/lpr) transgenic mice with autoimmune disease.

Towards a theory of the credit-risk balance sheet

This article designs what it calls a Credit-Risk Balance Sheet (the risk being that of default by customers), a tool which, in principle, can contribute to revealing, controlling and managing the bad debt risk arising from a company¿s commercial credit, whose amount can represent a significant proportion of both its current and total assets.To construct it, we start from the duality observed in any credit transaction of this nature, whose basic identity can be summed up as Credit = Risk. ¿Credit¿ is granted by a company to its customer, and can be ranked by quality (we suggest the credit scoring system) and ¿risk¿ can either be assumed (interiorised) by the company itself or transferred to third parties (exteriorised).What provides the approach that leads to us being able to talk with confidence of a real Credit-Risk Balance Sheet with its methodological robustness is that the dual vision of the credit transaction is not, as we demonstrate, merely a classificatory duality (a double risk-credit classification of reality) but rather a true causal relationship, that is, a risk-credit causal duality.Once said Credit-Risk Balance Sheet (which bears a certain structural similarity with the classic net asset balance sheet) has been built, and its methodological coherence demonstrated, its properties ¿static and dynamic¿ are studied.Analysis of the temporal evolution of the Credit-Risk Balance Sheet and of its applications will be the object of subsequent works.

Towards a theory of the credit-risk balance sheet (II). The evolution of its structure

This article has an immediate predecessor, upon which it is based and with which readers must necessarily be familiar: Towards a Theory of the Credit-Risk Balance Sheet (Vallverdú, Somoza and Moya, 2006). The Balance Sheet is conceptualised on the basis of the duality of a credit-based transaction; it deals with its theoretical foundations, providing evidence of a causal credit-risk duality, that is, a true causal relationship; its characteristics, properties and its static and dynamic characteristics are analyzed. This article, which provides a logical continuation to the previous one, studies the evolution of the structure of the Credit-Risk Balance Sheet as a consequence of a business¿s dynamics in the credit area. Given the Credit-Risk Balance Sheet of a company at any given time, it attempts to estimate, by means of sequential analysis, its structural evolution, showing its usefulness in the management and control of credit and risk. To do this, it bases itself, with the necessary adaptations, on the by-now classic works of Palomba and Cutolo. The establishment of the corresponding transformation matrices allows one to move from an initial balance sheet structure to a final, future one, to understand its credit-risk situation trends, as well as to make possible its monitoring and control, basic elements in providing support for risk management.

Loss-of-function mutations of an inhibitory upstream ORF in the human hairless transcript cause Marie Unna hereditary hypotrichosis.

Marie Unna hereditary hypotrichosis (MUHH) is an autosomal dominant form of genetic hair loss. In a large Chinese family carrying MUHH, we identified a pathogenic initiation codon mutation in U2HR, an inhibitory upstream ORF in the 5' UTR of the gene encoding the human hairless homolog (HR). U2HR is predicted to encode a 34-amino acid peptide that is highly conserved among mammals. In 18 more families from different ancestral groups, we identified a range of defects in U2HR, including loss of initiation, delayed termination codon and nonsense and missense mutations. Functional analysis showed that these classes of mutations all resulted in increased translation of the main HR physiological ORF. Our results establish the link between MUHH and U2HR, show that fine-tuning of HR protein levels is important in control of hair growth, and identify a potential mechanism for preventing hair loss or promoting hair removal.

Transformation kernel density estimation of actuarial loss functions

[cat] Es presenta un estimador nucli transformat que és adequat per a distribucions de cua pesada. Utilitzant una transformació basada en la distribució de probabilitat Beta l’elecció del paràmetre de finestra és molt directa. Es presenta una aplicació a dades d’assegurances i es mostra com calcular el Valor en Risc.

Cotton manufacturers as bankers: the textile trade and credit in spain, 1840-1913

[cat] La historiografia ha assenyalat que en el segle XIX el crèdit que els fabricants cotoners catalans oferien als seus clients era de caràcter informal i, per tant, impossible de ser transferit al sistema bancari. Això hauria tingut un efecte negatiu en la rendibilitat de les empreses cotoneres. A partir de l’anàlisi de diversos arxius empresarials, així com de fonts judicials i notarials, aquest treball confirma aquesta descripció dels fets però proposa una interpretació més optimista. Els fabricants feien de banquers dels seus clients perquè eren els millor situats per a exercir aquesta funció. Havien construït una bona estructura d’informació, gestionaven eficientment el risc creditici i obtenien beneficis d’aquesta activitat.

Ruin Theory with Excess of Loss Reinsurance and Reinstatements

The present paper studies the probability of ruin of an insurer, if excess of loss reinsurance with reinstatements is applied. In the setting of the classical Cramer-Lundberg risk model, piecewise deterministic Markov processes are used to describe the free surplus process in this more general situation. It is shown that the finite-time ruin probability is both the solution of a partial integro-differential equation and the fixed point of a contractive integral operator. We exploit the latter representation to develop and implement a recursive algorithm for numerical approximation of the ruin probability that involves high-dimensional integration. Furthermore we study the behavior of the finite-time ruin probability under various levels of initial surplus and security loadings and compare the efficiency of the numerical algorithm with the computational alternative of stochastic simulation of the risk process. (C) 2011 Elsevier Inc. All rights reserved.

Valoración de credit default swaps: una aplicación del modelo de Hull-White al mercado español

En este trabajo se presenta una aplicación empírica del modelo de Hull-White (2000) al mercado de renta fija español. Este modelo proporciona la expresión por el cálculo de los pagos hechos por el comprador de un credit default swap (CDS), bajo la hipótesis de que no existe riesgo de contrapartida. Se supone, además, que la curva cupón cero, la tasa de recuperación constante y el momento del suceso de crédito son independientes. Se utilizan bonos del Banco Santander Central Hispano para mesurar la probabilidad neutra al riesgo de quiebra y, bajo hipótesis de no arbitraje, se calculan las primas de un CDS, por un bono subyacente con la misma calificación crediticia que la entidad de referencia. Se observa que las primas se ajustan bien a los spreads crediticios del mercado, que se acostumbran a utilizar como alternativa a las mismas.

Loss of the thyroid hormone-binding protein Crym renders striatal neurons more vulnerable to mutant huntingtin in Huntington's disease.

The mechanisms underlying preferential atrophy of the striatum in Huntington's disease (HD) are unknown. One hypothesis is that a set of gene products preferentially expressed in the striatum could determine the particular vulnerability of this brain region to mutant huntingtin (mHtt). Here, we studied the striatal protein µ-crystallin (Crym). Crym is the NADPH-dependent p38 cytosolic T3-binding protein (p38CTBP), a key regulator of thyroid hormone (TH) T3 (3,5,3'-triiodo-l-thyronine) transportation. It has been also recently identified as the enzyme that reduces the sulfur-containing cyclic ketimines, which are potential neurotransmitters. Here, we confirm the preferential expression of the Crym protein in the rodent and macaque striatum. Crym expression was found to be higher in the macaque caudate than in the putamen. Expression of Crym was reduced in the BACHD and Knock-in 140CAG mouse models of HD before onset of striatal atrophy. We show that overexpression of Crym in striatal medium-size spiny neurons using a lentiviral-based strategy in mice is neuroprotective against the neurotoxicity of an N-terminal fragment of mHtt in vivo. Thus, reduction of Crym expression in HD could render striatal neurons more susceptible to mHtt suggesting that Crym may be a key determinant of the vulnerability of the striatum. In addition our work points to Crym as a potential molecular link between striatal degeneration and the THs deregulation reported in HD patients.

A Heterozygous Deletion Mutation in the Cardiac Sodium Channel Gene SCN5A with Loss- and Gain-of-Function Characteristics Manifests as Isolated Conduction Disease, without Signs of Brugada or Long QT Syndrome.

BACKGROUND: The SCN5A gene encodes for the α-subunit of the cardiac sodium channel NaV1.5, which is responsible for the rapid upstroke of the cardiac action potential. Mutations in this gene may lead to multiple life-threatening disorders of cardiac rhythm or are linked to structural cardiac defects. Here, we characterized a large family with a mutation in SCN5A presenting with an atrioventricular conduction disease and absence of Brugada syndrome. METHOD AND RESULTS: In a large family with a high incidence of sudden cardiac deaths, a heterozygous SCN5A mutation (p.1493delK) with an autosomal dominant inheritance has been identified. Mutation carriers were devoid of any cardiac structural changes. Typical ECG findings were an increased P-wave duration, an AV-block I° and a prolonged QRS duration with an intraventricular conduction delay and no signs for Brugada syndrome. HEK293 cells transfected with 1493delK showed strongly (5-fold) reduced Na(+) currents with altered inactivation kinetics compared to wild-type channels. Immunocytochemical staining demonstrated strongly decreased expression of SCN5A 1493delK in the sarcolemma consistent with an intracellular trafficking defect and thereby a loss-of-function. In addition, SCN5A 1493delK channels that reached cell membrane showed gain-of-function aspects (slowing of the fast inactivation, reduction in the relative fraction of channels that fast inactivate, hastening of the recovery from inactivation). CONCLUSION: In a large family, congregation of a heterozygous SCN5A gene mutation (p.1493delK) predisposes for conduction slowing without evidence for Brugada syndrome due to a predominantly trafficking defect that reduces Na(+) current and depolarization force.

Relationship of breast fillet deboning time to shear force, pH, cooking loss and color in broilers stunned by high electrical current

Selostus: Korkealla virranvoimakkuudella tainnutettujen broilereiden rintafileen irroitushetken vaikutus lihaksen leikkausvoiman vastukseen, pH:hon, keittohävikkiin ja väriin