Systematic risk estimation in symmetric models

The aim of this article is to discuss the estimation of the systematic risk in capital asset pricing models with heavy-tailed error distributions to explain the asset returns. Diagnostic methods for assessing departures from the model assumptions as well as the influence of observations on the parameter estimates are also presented. It may be shown that outlying observations are down weighted in the maximum likelihood equations of linear models with heavy-tailed error distributions, such as Student-t, power exponential, logistic II, so on. This robustness aspect may also be extended to influential observations. An application in which the systematic risk estimate of Microsoft is compared under normal and heavy-tailed errors is presented for illustration.

Breast cancer prognosis risk estimation using integrated gene expression and clinical data

Novel prognostic markers are needed so newly diagnosed breast cancer patients do not undergo any unnecessary therapy. Various microarray gene expression datasets based studies have generated gene signatures to predict the prognosis outcomes, while ignoring the large amount of information contained in established clinical markers. Nevertheless, small sample sizes in individual microarray datasets remain a bottleneck in generating robust gene signatures that show limited predictive power. The aim of this study is to achieve high classification accuracy for the good prognosis group and then achieve high classification accuracy for the poor prognosis group.

An evolving possibilistic fuzzy modeling approach for value-at-risk estimation

Market risk exposure plays a key role for nancial institutions risk management. A possible measure for this exposure is to evaluate losses likely to incurwhen the price of the portfolio's assets declines using Value-at-Risk (VaR) estimates, one of the most prominent measure of nancial downside market risk. This paper suggests an evolving possibilistic fuzzy modeling approach for VaR estimation. The approach is based on an extension of the possibilistic fuzzy c-means clustering and functional fuzzy rule-based modeling, which employs memberships and typicalities to update clusters and creates new clusters based on a statistical control distance-based criteria. ePFM also uses an utility measure to evaluate the quality of the current cluster structure. Computational experiments consider data of the main global equity market indexes of United States, London, Germany, Spain and Brazil from January 2000 to December 2012 for VaR estimation using ePFM, traditional VaR benchmarks such as Historical Simulation, GARCH, EWMA, and Extreme Value Theory and state of the art evolving approaches. The results show that ePFM is a potential candidate for VaR modeling, with better performance than alternative approaches.

Risk muskuloskeletal disorders in upper limbs in dental students: concordance of different methods for estimation of body angle

The purpose of this paper was to evaluate the agreement among different methods used to estimate angular deviation of the body to determine the risk for development of upper limb musculoskeletal disorders in dentistry undergraduates. Materials and Methods: Students (n = 79) enrolled in the final year undergraduate course of the Araraquara School of Dentistry-Sγo Paulo State University-UNESP were evaluated. Photographs were taken of students performing clinical procedures. The work postures adopted by each student were evaluated by means of rapid upper limb assessment (RULA). The basis used to obtain the individual's final risk score is the measurement of the angular deviations in the neutral positions of the regions evaluated. Two methods were used to estimate the angular deviation of the body: Visual exam and Image Tool software. A RULA final risk score was attributed to each procedure the student performed (n = 333). Study of the agreement between the methods about risk of musculoskeletal disorders was conducted by means of Kappa (κ) statistics. The level of significance adopted was 5%. Results: Fair agreement (κ = 0.32) between the evaluated methods was verified. Conclusion: The risk for development of upper limb musculoskeletal disorders by dentistry undergraduates evaluated by using RULA was not in agreement with the results obtained by use of visual exam and Image Tool.

Risk of musculoskeletal disorders in upper limbs in dental students: concordance of different methods for estimation of body angle

The purpose of this paper was to evaluate the agreement among different methods used to estimate angular deviation of the body to determine the risk for development of upper limb musculoskeletal disorders in dentistry undergraduates. Materials and Methods: Students (n = 79) enrolled in the final year undergraduate course of the Araraquara School of Dentistry-Sγo Paulo State University-UNESP were evaluated. Photographs were taken of students performing clinical procedures. The work postures adopted by each student were evaluated by means of rapid upper limb assessment (RULA). The basis used to obtain the individual's final risk score is the measurement of the angular deviations in the neutral positions of the regions evaluated. Two methods were used to estimate the angular deviation of the body: Visual exam and Image Tool software. A RULA final risk score was attributed to each procedure the student performed (n = 333). Study of the agreement between the methods about risk of musculoskeletal disorders was conducted by means of Kappa (κ) statistics. The level of significance adopted was 5%. Results: Fair agreement (κ = 0.32) between the evaluated methods was verified. Conclusion: The risk for development of upper limb musculoskeletal disorders by dentistry undergraduates evaluated by using RULA was not in agreement with the results obtained by use of visual exam and Image Tool.

Surveillance of bovine tuberculosis and risk estimation of a future reservoir formation in wildlife in Switzerland and Liechtenstein.

Bovine tuberculosis (bTB) caused by Mycobacterium bovis or M. caprae has recently (re-) emerged in livestock and wildlife in all countries bordering Switzerland (CH) and the Principality of Liechtenstein (FL). Comprehensive data for Swiss and Liechtenstein wildlife are not available so far, although two native species, wild boar (Sus scrofa) and red deer (Cervus elaphus elaphus), act as bTB reservoirs elsewhere in continental Europe. Our aims were (1) to assess the occurrence of bTB in these wild ungulates in CH/FL and to reinforce scanning surveillance in all wild mammals; (2) to evaluate the risk of a future bTB reservoir formation in wild boar and red deer in CH/FL. Tissue samples collected from 2009 to 2011 from 434 hunted red deer and wild boar and from eight diseased ungulates with tuberculosis-like lesions were tested by direct real-time PCR and culture to detect mycobacteria of the Mycobacterium tuberculosis complex (MTBC). Identification of suspicious colonies was attempted by real-time PCR, genotyping and spoligotyping. Information on risk factors for bTB maintenance within wildlife populations was retrieved from the literature and the situation regarding identified factors was assessed for our study areas. Mycobacteria of the MTBC were detected in six out of 165 wild boar (3.6%; 95% CI: 1.4-7.8) but none of the 269 red deer (0%; 0-1.4). M. microti was identified in two MTBC-positive wild boar, while species identification remained unsuccessful in four cases. Main risk factors for bTB maintenance worldwide, including different causes of aggregation often resulting from intensive wildlife management, are largely absent in CH and FL. In conclusion, M. bovis and M. caprae were not detected but we report for the first time MTBC mycobacteria in Swiss wild boar. Present conditions seem unfavorable for a reservoir emergence, nevertheless increasing population numbers of wild ungulates and offal consumption may represent a risk.

A bivariate return period based on copulas for hydrologic dam design: accounting for reservoir routing in risk estimation

A multivariate analysis on flood variables is needed to design some hydraulic structures like dams, as the complexity of the routing process in a reservoir requires a representation of the full hydrograph. In this work, a bivariate copula model was used to obtain the bivariate joint distribution of flood peak and volume, in order to know the probability of occurrence of a given inflow hydrograph. However, the risk of dam overtopping is given by the maximum water elevation reached during the routing process, which depends on the hydrograph variables, the reservoir volume and the spillway crest length. Consequently, an additional bivariate return period, the so-called routed return period, was defined in terms of risk of dam overtopping based on this maximum water elevation obtained after routing the inflow hydrographs. The theoretical return periods, which give the probability of occurrence of a hydrograph prior to accounting for the reservoir routing, were compared with the routed return period, as in both cases hydrographs with the same probability will draw a curve in the peak-volume space. The procedure was applied to the case study of the Santillana reservoir in Spain. Different reservoir volumes and spillway lengths were considered to investigate the influence of the dam and reservoir characteristics on the results. The methodology improves the estimation of the Design Flood Hydrograph and can be applied to assess the risk of dam overtopping

A first approach to earthquake damage estimation in Haiti: advices to minimize the seismic risk

This study is in the frame of the cooperative line that several Spanish Universities and other foreign partners started with the Haitian government in 2010. According to our studies (Benito et al. in An evaluation of seismic hazard in La Hispaniola, after the 2010 Haiti earthquake, 33rd General Assembly of the European Seismological Commission, Moscow, Russia, 2012) and recent scientific literature, the earthquake hazard in Haiti remains high (Calais et al. in Nat Geosci 3:794–799, 2010). In view of this, we wonder whether the country is currently ready to face another earthquake. In this sense, we estimated several damage scenarios in Port-au-Prince and Cap-Haitien associated to realistic possible major earthquakes. Our findings show that almost 50 % of the building stock of both cities would result uninhabitable due to structural damage. Around 80 % of the buildings in both cities have reinforced concrete structure with concrete block infill; however, the presence of masonry buildings becomes significant (between 25 and 45 % of the reinforced concrete buildings) in rural areas and informal settlements on the outskirts, where the estimated damage is higher. The influence of the soil effect on the damage spatial distribution is evident in both cities. We have found that the percentage of uninhabitable buildings in soft soil areas may be double the percentage obtained in nearby districts located in hard soil. These results reveal that a new seismic catastrophe of similar or even greater consequences than the 2010 Haiti earthquake might happen if the earthquake resilience is not improved in the country. Nowadays, the design of prevention actions and mitigation policies is the best instrument the society has to face seismic risk. In this sense, the results of this research might contribute to define measures oriented to earthquake risk reduction in Haiti, which should be a real priority for national and international institutions.

Sentinel node biopsy for breast cancer: Using local results for estimation of risk to the patient

Background: Sentinel node biopsy (SNB) is being increasingly used but its place outside randomized trials has not yet been established. Methods: The first 114 sentinel node (SN) biopsies performed for breast cancer at the Princess Alexandra Hospital from March 1999 to June 2001 are presented. In 111 cases axillary dissection was also performed, allowing the accuracy of the technique to be assessed. A standard combination of preoperative lymphoscintigraphy, intraoperative gamma probe and injection of blue dye was used in most cases. Results are discussed in relation to the risk and potential consequences of understaging. Results: Where both probe and dye were used, the SN was identified in 90% of patients. A significant number of patients were treated in two stages and the technique was no less effective in patients who had SNB performed at a second operation after the primary tumour had already been removed. The interval from radioisotope injection to operation was very wide (between 2 and 22 h) and did not affect the outcome. Nodal metastases were present in 42 patients in whom an SN was found, and in 40 of these the SN was positive, giving a false negative rate of 4.8% (2/42), with the overall percentage of patients understaged being 2%. For this particular group as a whole, the increased risk of death due to systemic therapy being withheld as a consequence of understaging (if SNB alone had been employed) is estimated at less than 1/500. The risk for individuals will vary depending on other features of the particular primary tumour. Conclusion: For patients who elect to have the axilla staged using SNB alone, the risk and consequences of understaging need to be discussed. These risks can be estimated by allowing for the specific surgeon's false negative rate for the technique, and considering the likelihood of nodal metastases for a given tumour. There appears to be no disadvantage with performing SNB at a second operation after the primary tumour has already been removed. Clearly, for a large number of patients, SNB alone will be safe, but ideally participation in randomized trials should continue to be encouraged.

Cardiovascular risk estimation by professionally active cardiovascular nurses: Results from the Basel 2005 Nurses Cohort

Background Nurses play a key role in the prevention of cardiovascular disease (CVD) and one would, therefore, expect them to have a heightened awareness of the need for systematic screening and their own CVD risk profile. The aim of this study was to examine personal awareness of CVD risk among a cohort of cardiovascular nurses attending a European conference. Methods Of the 340 delegates attending the 5th annual Spring Meeting on Cardiovascular Nursing (Basel, Switzerland, 2005), 287 (83%) completed a self-report questionnaire to assess their own risk factors for CVD. Delegates were also asked to give an estimation of their absolute total risk of experiencing a fatal CVD event in the next 10 years. Level of agreement between self-reported CVD risk estimation and their actual risk according to the SCORE risk assessment system was compared by calculating weighted Kappa (κw). Results Overall, 109 responders (38%) self-reported having either pre-existing CVD (only 2%), one or more markedly raised CVD risk factors, a high total risk of fatal CVD (≥ 5% in 10 years) or a strong family history of CVD. About half of this cohort (53%) did not know their own total cholesterol level. Less than half (45%) reported having a 10-year risk of fatal CVD of < 1%, while 13% reported having a risk ≥ 5%. Based on the SCORE risk function, the estimated 10-year risk of a fatal CVD event was < 1% for 96% of responders: only 2% had a ≥ 5% risk of such an event. Overall, less than half (46%) of this cohort's self-reported CVD risk corresponded with that calculated using the SCORE risk function (κw = 0.27). Conclusion Most cardiovascular nurses attending a European conference in 2005 poorly understood their own CVD risk profile, and the agreement between their self-reported 10-year risk of a fatal CVD and their CVD risk using SCORE was only fair. Given the specialist nature of this conference, our findings clearly demonstrate a need to improve overall nursing awareness of the role and importance of systematic CVD risk assessment.

Estimation of a Regression Function on a Point Process and its Application to Financial Ruin Risk Forecast

2000 Mathematics Subject Classification: Primary 60G55; secondary 60G25.