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.

The stabilizing effects of the acquired immunity on the schistosomiasis transmission modeling - the sensitivity Analysis

A mathematical model is proposed to analyze the effects of acquired immunity on the transmission of schistosomiasis in the human host. From this model the prevalence curve dependent on four parameters can be obtained. These parameters were estimated fitting the data by the maximum likelihood method. The model showed a good retrieving capacity of real data from two endemic areas of schistosomiasis: Touros, Brazil (Schistosoma mansoni) and Misungwi, Tanzania (S. haematobium). Also, the average worm burden per person and the dispersion of parasite per person in the community can be obtained from the model. In this paper, the stabilizing effects of the acquired immunity assumption in the model are assessed in terms of the epidemiological variables as follows. Regarded to the prevalence curve, we calculate the confidence interval, and related to the average worm burden and the worm dispersion in the community, the sensitivity analysis (the range of the variation) of both variables with respect to their parameters is performed.

Interpersonal Power: A Review, Critique, and Research Agenda

Power is a fundamental force in social relationships and is pervasive throughout various types of interactions. Although research has shown that the possession of power can change the powerholder, the full extent of power's consequences on individuals' decision making capabilities and social interactions within organizations is not fully understood. The goal of this paper is to review, synthesize, and critique the literature on power with a focus on its organizational and managerial implications. Specifically, we propose a definition of power that takes into account its three defining characteristics-having the discretion and means to enforce one's will-and summarize the extant literature on how power influences individuals' thoughts, emotions, and actions both in terms of prosocial and antisocial outcomes. In addition, we highlight important moderators of power and describe ways in which it can be studied in a more rigorous manner by examining methodological issues and pitfalls with regard to its measurement and manipulation. We also provide future research directions to motivate and guide the study of power by management scholars. Our desire is to present a thorough and parsimonious account of power's influence on individuals within an organizational context, as well as provide a foundation that scholars can build upon as they continue to make consequential contributions to the study of power.

Influence of inter-electrode distance, contraction type, and muscle on the relationship between the sEMG power spectrum and contraction force.

INTRODUCTION: Spectral frequencies of the surface electromyogram (sEMG) increase with contraction force, but debate still exists on whether this increase is affected by various methodological and anatomical factors. This study aimed to investigate the influence of inter-electrode distance (IED) and contraction modality (step-wise vs. ramp) on the changes in spectral frequencies with increasing contraction strength for the vastus lateralis (VL) and vastus medialis (VM) muscles. METHODS: Twenty healthy male volunteers were assessed for isometric sEMG activity of the VM and VL, with the knee at 90° flexion. Subjects performed isometric ramp contractions in knee extension (6-s duration) with the force gradually increasing from 0 to 80 % MVC. Also, subjects performed 4-s step-wise isometric contractions at 10, 20, 30, 40, 50, 60, 70, and 80 % MVC. Interference sEMG signals were recorded simultaneously at different IEDs: 10, 20, 30, and 50 mm. The mean (F mean) and median (F median) frequencies and root mean square (RMS) of sEMG signals were calculated. RESULTS: For all IEDs, contraction modalities, and muscles tested, spectral frequencies increased significantly with increasing level of force up to 50-60 % MVC force. Spectral indexes increased systematically as IED was decreased. The sensitivity of spectral frequencies to changes in contraction force was independent of IED. The behaviour of spectral indexes with increasing contraction force was similar for step-wise and ramp contractions. CONCLUSIONS: In the VL and VM muscles, it is highly unlikely that a particular inter-electrode distance or contraction modality could have prevented the observation of the full extent of the increase in spectral frequencies with increasing force level.

Sensitivity of predictive species distribution models to change in grain size

Predictive species distribution modelling (SDM) has become an essential tool in biodiversity conservation and management. The choice of grain size (resolution) of environmental layers used in modelling is one important factor that may affect predictions. We applied 10 distinct modelling techniques to presence-only data for 50 species in five different regions, to test whether: (1) a 10-fold coarsening of resolution affects predictive performance of SDMs, and (2) any observed effects are dependent on the type of region, modelling technique, or species considered. Results show that a 10 times change in grain size does not severely affect predictions from species distribution models. The overall trend is towards degradation of model performance, but improvement can also be observed. Changing grain size does not equally affect models across regions, techniques, and species types. The strongest effect is on regions and species types, with tree species in the data sets (regions) with highest locational accuracy being most affected. Changing grain size had little influence on the ranking of techniques: boosted regression trees remain best at both resolutions. The number of occurrences used for model training had an important effect, with larger sample sizes resulting in better models, which tended to be more sensitive to grain. Effect of grain change was only noticeable for models reaching sufficient performance and/or with initial data that have an intrinsic error smaller than the coarser grain size.

Schistosome vaccine testing: lessons from the baboon model

The high level of protection elicited in rodents and primates by the radiation-attenuated schistosome vaccine gives hope that a human vaccine relying on equivalent mechanisms is feasible. In humans, a vaccine would be undoubtedly administered to previously or currently infected individuals. We have therefore used the olive baboon to investigate whether vaccine-induced immunity is compromised by a schistosome infection. We showed that neither a preceding infection, terminated by chemotherapy, nor an ongoing chronic infection affected the level of protection. Whilst IgM responses to vaccination or infection were short-lived, IgG responses rose with each successive exposure to the vaccine. Such a rise was obscured by responses to egg deposition in already-infected animals. In human trials it would be necessary to use indirect estimates of infection intensity to determine vaccine efficacy. Using worm burden as the definitive criterion, we demonstrated that the surrogate measures, fecal eggs, and circulating antigens, consistently overestimated protection. Regression analysis of the surrogate parameters on worm burden revealed that the principal reason for overestimation was the threshold sensitivity of the assays. If we extrapolate our findings to human schistosomiasis mansoni, it is clear that more sensitive indirect measures of infection intensity are required for future vaccine trials.

The cost-effectiveness and public health benefit of nalmefene added to psychosocial support for the reduction of alcohol consumption in alcohol-dependent patients with high/very high drinking risk levels: a Markov model.

OBJECTIVES: To determine whether nalmefene combined with psychosocial support is cost-effective compared with psychosocial support alone for reducing alcohol consumption in alcohol-dependent patients with high/very high drinking risk levels (DRLs) as defined by the WHO, and to evaluate the public health benefit of reducing harmful alcohol-attributable diseases, injuries and deaths. DESIGN: Decision modelling using Markov chains compared costs and effects over 5 years. SETTING: The analysis was from the perspective of the National Health Service (NHS) in England and Wales. PARTICIPANTS: The model considered the licensed population for nalmefene, specifically adults with both alcohol dependence and high/very high DRLs, who do not require immediate detoxification and who continue to have high/very high DRLs after initial assessment. DATA SOURCES: We modelled treatment effect using data from three clinical trials for nalmefene (ESENSE 1 (NCT00811720), ESENSE 2 (NCT00812461) and SENSE (NCT00811941)). Baseline characteristics of the model population, treatment resource utilisation and utilities were from these trials. We estimated the number of alcohol-attributable events occurring at different levels of alcohol consumption based on published epidemiological risk-relation studies. Health-related costs were from UK sources. MAIN OUTCOME MEASURES: We measured incremental cost per quality-adjusted life year (QALY) gained and number of alcohol-attributable harmful events avoided. RESULTS: Nalmefene in combination with psychosocial support had an incremental cost-effectiveness ratio (ICER) of £5204 per QALY gained, and was therefore cost-effective at the £20,000 per QALY gained decision threshold. Sensitivity analyses showed that the conclusion was robust. Nalmefene plus psychosocial support led to the avoidance of 7179 alcohol-attributable diseases/injuries and 309 deaths per 100,000 patients compared to psychosocial support alone over the course of 5 years. CONCLUSIONS: Nalmefene can be seen as a cost-effective treatment for alcohol dependence, with substantial public health benefits. TRIAL REGISTRATION NUMBERS: This cost-effectiveness analysis was developed based on data from three randomised clinical trials: ESENSE 1 (NCT00811720), ESENSE 2 (NCT00812461) and SENSE (NCT00811941).

A deterministic model to assess the impact of AIDS interventions in countries with generalized HIV epidemic. An application to Botswana

General introductionThe Human Immunodeficiency/Acquired Immunodeficiency Syndrome (HIV/AIDS) epidemic, despite recent encouraging announcements by the World Health Organization (WHO) is still today one of the world's major health care challenges.The present work lies in the field of health care management, in particular, we aim to evaluate the behavioural and non-behavioural interventions against HIV/AIDS in developing countries through a deterministic simulation model, both in human and economic terms. We will focus on assessing the effectiveness of the antiretroviral therapies (ART) in heterosexual populations living in lesser developed countries where the epidemic has generalized (formerly defined by the WHO as type II countries). The model is calibrated using Botswana as a case study, however our model can be adapted to other countries with similar transmission dynamics.The first part of this thesis consists of reviewing the main mathematical concepts describing the transmission of infectious agents in general but with a focus on human immunodeficiency virus (HIV) transmission. We also review deterministic models assessing HIV interventions with a focus on models aimed at African countries. This review helps us to recognize the need for a generic model and allows us to define a typical structure of such a generic deterministic model.The second part describes the main feed-back loops underlying the dynamics of HIV transmission. These loops represent the foundation of our model. This part also provides a detailed description of the model, including the various infected and non-infected population groups, the type of sexual relationships, the infection matrices, important factors impacting HIV transmission such as condom use, other sexually transmitted diseases (STD) and male circumcision. We also included in the model a dynamic life expectancy calculator which, to our knowledge, is a unique feature allowing more realistic cost-efficiency calculations. Various intervention scenarios are evaluated using the model, each of them including ART in combination with other interventions, namely: circumcision, campaigns aimed at behavioral change (Abstain, Be faithful or use Condoms also named ABC campaigns), and treatment of other STD. A cost efficiency analysis (CEA) is performed for each scenario. The CEA consists of measuring the cost per disability-adjusted life year (DALY) averted. This part also describes the model calibration and validation, including a sensitivity analysis.The third part reports the results and discusses the model limitations. In particular, we argue that the combination of ART and ABC campaigns and ART and treatment of other STDs are the most cost-efficient interventions through 2020. The main model limitations include modeling the complexity of sexual relationships, omission of international migration and ignoring variability in infectiousness according to the AIDS stage.The fourth part reviews the major contributions of the thesis and discusses model generalizability and flexibility. Finally, we conclude that by selecting the adequate interventions mix, policy makers can significantly reduce the adult prevalence in Botswana in the coming twenty years providing the country and its donors can bear the cost involved.Part I: Context and literature reviewIn this section, after a brief introduction to the general literature we focus in section two on the key mathematical concepts describing the transmission of infectious agents in general with a focus on HIV transmission. Section three provides a description of HIV policy models, with a focus on deterministic models. This leads us in section four to envision the need for a generic deterministic HIV policy model and briefly describe the structure of such a generic model applicable to countries with generalized HIV/AIDS epidemic, also defined as pattern II countries by the WHO.

ELOVL6 Genetic Variation Is Related to Insulin Sensitivity: A New Candidate Gene in Energy Metabolism

BACKGROUND: The elongase of long chain fatty acids family 6 (ELOVL6) is an enzyme that specifically catalyzes the elongation of saturated and monounsaturated fatty acids with 12, 14 and 16 carbons. ELOVL6 is expressed in lipogenic tissues and it is regulated by sterol regulatory element binding protein 1 (SREBP-1). OBJECTIVE: We investigated whether ELOVL6 genetic variation is associated with insulin sensitivity in a population from southern Spain. DESIGN: We undertook a prospective, population-based study collecting phenotypic, metabolic, nutritional and genetic information. Measurements were made of weight and height and the body mass index (BMI) was calculated. Insulin resistance was measured by homeostasis model assessment. The type of dietary fat was assessed from samples of cooking oil taken from the participants' kitchens and analyzed by gas chromatography. Five SNPs of the ELOVL6 gene were analyzed by SNPlex. RESULTS: Carriers of the minor alleles of the SNPs rs9997926 and rs6824447 had a lower risk of having high HOMA_IR, whereas carriers of the minor allele rs17041272 had a higher risk of being insulin resistant. An interaction was detected between the rs6824447 polymorphism and the intake of oil in relation with insulin resistance, such that carriers of this minor allele who consumed sunflower oil had lower HOMA_IR than those who did not have this allele (P = 0.001). CONCLUSIONS: Genetic variations in the ELOVL6 gene were associated with insulin sensitivity in this population-based study.

Application for fault location in electrical power distribution systems

Fault location has been studied deeply for transmission lines due to its importance in power systems. Nowadays the problem of fault location on distribution systems is receiving special attention mainly because of the power quality regulations. In this context, this paper presents an application software developed in Matlabtrade that automatically calculates the location of a fault in a distribution power system, starting from voltages and currents measured at the line terminal and the model of the distribution power system data. The application is based on a N-ary tree structure, which is suitable to be used in this application due to the highly branched and the non- homogeneity nature of the distribution systems, and has been developed for single-phase, two-phase, two-phase-to-ground, and three-phase faults. The implemented application is tested by using fault data in a real electrical distribution power system

Applications of stochastic analysis in finance and statistical inference

First: A continuous-time version of Kyle's model (Kyle 1985), known as the Back's model (Back 1992), of asset pricing with asymmetric information, is studied. A larger class of price processes and of noise traders' processes are studied. The price process, as in Kyle's model, is allowed to depend on the path of the market order. The process of the noise traders' is an inhomogeneous Lévy process. Solutions are found by the Hamilton-Jacobi-Bellman equations. With the insider being risk-neutral, the price pressure is constant, and there is no equilibirium in the presence of jumps. If the insider is risk-averse, there is no equilibirium in the presence of either jumps or drifts. Also, it is analised when the release time is unknown. A general relation is established between the problem of finding an equilibrium and of enlargement of filtrations. Random announcement time is random is also considered. In such a case the market is not fully efficient and there exists equilibrium if the sensitivity of prices with respect to the global demand is time decreasing according with the distribution of the random time. Second: Power variations. it is considered, the asymptotic behavior of the power variation of processes of the form _integral_0^t u(s-)dS(s), where S_ is an alpha-stable process with index of stability 0&alpha&2 and the integral is an Itô integral. Stable convergence of corresponding fluctuations is established. These results provide statistical tools to infer the process u from discrete observations. Third: A bond market is studied where short rates r(t) evolve as an integral of g(t-s)sigma(s) with respect to W(ds), where g and sigma are deterministic and W is the stochastic Wiener measure. Processes of this type are particular cases of ambit processes. These processes are in general not of the semimartingale kind.

Obtenció d'un model de predicció de les afectacions dels parcs eòlics sobre els serveis de televisió

L'objectiu principal del projecte és l'obtenció d'un model que faci possible la predicció de les afectacionsdels parcs eòlics sobre els serveis de televisió tant analògica com digital. Perquè això sigui possible elpresent projecte pretén assolir els punts següents: 1. Estudi de les diferents fonts d'interferència que poden ocasionar els aerogeneradors, principalmentsobre els elements encarregats de la difusió del senyal de televisió. Aquest estudi es centraen l'anàlisi i detecció dels problemes en recepció de televisió analògica i digital. 2. Desenvolupament d'una metodologia que faci possible la predicció de les afectacions dels parcseòlics sobre els serveis de televisió analògica i digital i l'estudi de la seva viabilitat mitjançantmesures sobre el terreny on es té coneixement d'afectacions provocades per parcs eòlics. 3. Estudi tecno-econòmic dels costos aproximats d'implantació de les diferents solucions per reduirles afectacions i comparació econòmica entre la implantació de solucions prèvies i posteriors a laconstrucció del parc.

A general continuous auction model with insiders

We analyse in a unified way how the presence of a trader with privilege information makes the market to be efficient when the release time is known. We establish a general relation between the problem of finding an equilibrium and the problem of enlargement of filtrations. We also consider the case where the time of announcement is random. In such a case the market is not fully efficient and there exists equilibrium if the sensitivity of prices with respect to the global demand is time decreasing according with the distribution of the random time.

Simultaneous EEG-fMRI at ultra-high field: Artifact prevention and safety assessment.

The simultaneous recording of scalp electroencephalography (EEG) and functional magnetic resonance imaging (fMRI) can provide unique insights into the dynamics of human brain function, and the increased functional sensitivity offered by ultra-high field fMRI opens exciting perspectives for the future of this multimodal approach. However, simultaneous recordings are susceptible to various types of artifacts, many of which scale with magnetic field strength and can seriously compromise both EEG and fMRI data quality in recordings above 3T. The aim of the present study was to implement and characterize an optimized setup for simultaneous EEG-fMRI in humans at 7T. The effects of EEG cable length and geometry for signal transmission between the cap and amplifiers were assessed in a phantom model, with specific attention to noise contributions from the MR scanner coldheads. Cable shortening (down to 12cm from cap to amplifiers) and bundling effectively reduced environment noise by up to 84% in average power and 91% in inter-channel power variability. Subject safety was assessed and confirmed via numerical simulations of RF power distribution and temperature measurements on a phantom model, building on the limited existing literature at ultra-high field. MRI data degradation effects due to the EEG system were characterized via B0 and B1(+) field mapping on a human volunteer, demonstrating important, although not prohibitive, B1 disruption effects. With the optimized setup, simultaneous EEG-fMRI acquisitions were performed on 5 healthy volunteers undergoing two visual paradigms: an eyes-open/eyes-closed task, and a visual evoked potential (VEP) paradigm using reversing-checkerboard stimulation. EEG data exhibited clear occipital alpha modulation and average VEPs, respectively, with concomitant BOLD signal changes. On a single-trial level, alpha power variations could be observed with relative confidence on all trials; VEP detection was more limited, although statistically significant responses could be detected in more than 50% of trials for every subject. Overall, we conclude that the proposed setup is well suited for simultaneous EEG-fMRI at 7T.

Uncertainty Quantification Of A Semi-Supervised Support Vector Regression Reservoir Model

Uncertainty quantification of petroleum reservoir models is one of the present challenges, which is usually approached with a wide range of geostatistical tools linked with statistical optimisation or/and inference algorithms. Recent advances in machine learning offer a novel approach to model spatial distribution of petrophysical properties in complex reservoirs alternative to geostatistics. The approach is based of semisupervised learning, which handles both ?labelled? observed data and ?unlabelled? data, which have no measured value but describe prior knowledge and other relevant data in forms of manifolds in the input space where the modelled property is continuous. Proposed semi-supervised Support Vector Regression (SVR) model has demonstrated its capability to represent realistic geological features and describe stochastic variability and non-uniqueness of spatial properties. On the other hand, it is able to capture and preserve key spatial dependencies such as connectivity of high permeability geo-bodies, which is often difficult in contemporary petroleum reservoir studies. Semi-supervised SVR as a data driven algorithm is designed to integrate various kind of conditioning information and learn dependences from it. The semi-supervised SVR model is able to balance signal/noise levels and control the prior belief in available data. In this work, stochastic semi-supervised SVR geomodel is integrated into Bayesian framework to quantify uncertainty of reservoir production with multiple models fitted to past dynamic observations (production history). Multiple history matched models are obtained using stochastic sampling and/or MCMC-based inference algorithms, which evaluate posterior probability distribution. Uncertainty of the model is described by posterior probability of the model parameters that represent key geological properties: spatial correlation size, continuity strength, smoothness/variability of spatial property distribution. The developed approach is illustrated with a fluvial reservoir case. The resulting probabilistic production forecasts are described by uncertainty envelopes. The paper compares the performance of the models with different combinations of unknown parameters and discusses sensitivity issues.