On the problematic of reserving and stochastic loss models

Abstract Traditionally, the common reserving methods used by the non-life actuaries are based on the assumption that future claims are going to behave in the same way as they did in the past. There are two main sources of variability in the processus of development of the claims: the variability of the speed with which the claims are settled and the variability between the severity of the claims from different accident years. High changes in these processes will generate distortions in the estimation of the claims reserves. The main objective of this thesis is to provide an indicator which firstly identifies and quantifies these two influences and secondly to determine which model is adequate for a specific situation. Two stochastic models were analysed and the predictive distributions of the future claims were obtained. The main advantage of the stochastic models is that they provide measures of variability of the reserves estimates. The first model (PDM) combines one conjugate family Dirichlet - Multinomial with the Poisson distribution. The second model (NBDM) improves the first one by combining two conjugate families Poisson -Gamma (for distribution of the ultimate amounts) and Dirichlet Multinomial (for distribution of the incremental claims payments). It was found that the second model allows to find the speed variability in the reporting process and development of the claims severity as function of two above mentioned distributions' parameters. These are the shape parameter of the Gamma distribution and the Dirichlet parameter. Depending on the relation between them we can decide on the adequacy of the claims reserve estimation method. The parameters have been estimated by the Methods of Moments and Maximum Likelihood. The results were tested using chosen simulation data and then using real data originating from the three lines of business: Property/Casualty, General Liability, and Accident Insurance. These data include different developments and specificities. The outcome of the thesis shows that when the Dirichlet parameter is greater than the shape parameter of the Gamma, resulting in a model with positive correlation between the past and future claims payments, suggests the Chain-Ladder method as appropriate for the claims reserve estimation. In terms of claims reserves, if the cumulated payments are high the positive correlation will imply high expectations for the future payments resulting in high claims reserves estimates. The negative correlation appears when the Dirichlet parameter is lower than the shape parameter of the Gamma, meaning low expected future payments for the same high observed cumulated payments. This corresponds to the situation when claims are reported rapidly and fewer claims remain expected subsequently. The extreme case appears in the situation when all claims are reported at the same time leading to expectations for the future payments of zero or equal to the aggregated amount of the ultimate paid claims. For this latter case, the Chain-Ladder is not recommended.

Percolation and cluster Monte Carlo dynamics for spin models

A general scheme for devising efficient cluster dynamics proposed in a previous paper [Phys. Rev. Lett. 72, 1541 (1994)] is extensively discussed. In particular, the strong connection among equilibrium properties of clusters and dynamic properties as the correlation time for magnetization is emphasized. The general scheme is applied to a number of frustrated spin models and the results discussed.

Percolation transition and the onset of nonexponential relaxation in fully frustrated models

We numerically study the dynamical properties of fully frustrated models in two and three dimensions. The results obtained support the hypothesis that the percolation transition of the Kasteleyn-Fortuin clusters corresponds to the onset of stretched exponential autocorrelation functions in systems without disorder. This dynamical behavior may be due to the large scale effects of frustration, present below the percolation threshold. Moreover, these results are consistent with the picture suggested by Campbell et al. [J. Phys. C 20, L47 (1987)] in the space of configurations.

Invaded cluster dynamics for frustrated models

The invaded cluster (IC) dynamics introduced by Machta et al. [Phys. Rev. Lett. 75, 2792 (1995)] is extended to the fully frustrated Ising model on a square lattice. The properties of the dynamics that exhibits numerical evidence of self-organized criticality are studied. The fluctuations in the IC dynamics are shown to be intrinsic of the algorithm and the fluctuation-dissipation theorem is no longer valid. The relaxation time is found to be very short and does not present a critical size dependence.

SPATIAL UNCERTAINTY OF NUTRIENT LOSS BY EROSION IN SUGARCANE HARVESTING SCENARIOS

The assessment of spatial uncertainty in the prediction of nutrient losses by erosion associated with landscape models is an important tool for soil conservation planning. The purpose of this study was to evaluate the spatial and local uncertainty in predicting depletion rates of soil nutrients (P, K, Ca, and Mg) by soil erosion from green and burnt sugarcane harvesting scenarios, using sequential Gaussian simulation (SGS). A regular grid with equidistant intervals of 50 m (626 points) was established in the 200-ha study area, in Tabapuã, São Paulo, Brazil. The rate of soil depletion (SD) was calculated from the relation between the nutrient concentration in the sediments and the chemical properties in the original soil for all grid points. The data were subjected to descriptive statistical and geostatistical analysis. The mean SD rate for all nutrients was higher in the slash-and-burn than the green cane harvest scenario (Student’s t-test, p<0.05). In both scenarios, nutrient loss followed the order: Ca>Mg>K>P. The SD rate was highest in areas with greater slope. Lower uncertainties were associated to the areas with higher SD and steeper slopes. Spatial uncertainties were highest for areas of transition between concave and convex landforms.

Alkylpurine-DNA-N-glycosylase confers resistance to temozolomide in xenograft models of glioblastoma multiforme and is associated with poor survival in patients.

Glioblastoma multiforme (GBM) is the most common and lethal of all gliomas. The current standard of care includes surgery followed by concomitant radiation and chemotherapy with the DNA alkylating agent temozolomide (TMZ). O⁶-methylguanine-DNA methyltransferase (MGMT) repairs the most cytotoxic of lesions generated by TMZ, O⁶-methylguanine. Methylation of the MGMT promoter in GBM correlates with increased therapeutic sensitivity to alkylating agent therapy. However, several aspects of TMZ sensitivity are not explained by MGMT promoter methylation. Here, we investigated our hypothesis that the base excision repair enzyme alkylpurine-DNA-N-glycosylase (APNG), which repairs the cytotoxic lesions N³-methyladenine and N⁷-methylguanine, may contribute to TMZ resistance. Silencing of APNG in established and primary TMZ-resistant GBM cell lines endogenously expressing MGMT and APNG attenuated repair of TMZ-induced DNA damage and enhanced apoptosis. Reintroducing expression of APNG in TMZ-sensitive GBM lines conferred resistance to TMZ in vitro and in orthotopic xenograft mouse models. In addition, resistance was enhanced with coexpression of MGMT. Evaluation of APNG protein levels in several clinical datasets demonstrated that in patients, high nuclear APNG expression correlated with poorer overall survival compared with patients lacking APNG expression. Loss of APNG expression in a subset of patients was also associated with increased APNG promoter methylation. Collectively, our data demonstrate that APNG contributes to TMZ resistance in GBM and may be useful in the diagnosis and treatment of the disease.

DEA does not like positive discrimination : a comparison of alternative models based on empirical data

Due to the existence of free software and pedagogical guides, the use of data envelopment analysis (DEA) has been further democratized in recent years. Nowadays, it is quite usual for practitioners and decision makers with no or little knowledge in operational research to run themselves their own efficiency analysis. Within DEA, several alternative models allow for an environment adjustment. Five alternative models, each of them easily accessible to and achievable by practitioners and decision makers, are performed using the empirical case of the 90 primary schools of the State of Geneva, Switzerland. As the State of Geneva practices an upstream positive discrimination policy towards schools, this empirical case is particularly appropriate for an environment adjustment. The alternative of the majority of DEA models deliver divergent results. It is a matter of concern for applied researchers and a matter of confusion for practitioners and decision makers. From a political standpoint, these diverging results could lead to potentially opposite decisions. Grâce à l'existence de logiciels en libre accès et de guides pédagogiques, la méthode data envelopment analysis (DEA) s'est démocratisée ces dernières années. Aujourd'hui, il n'est pas rare que les décideurs avec peu ou pas de connaissances en recherche opérationnelle réalisent eux-mêmes leur propre analyse d'efficience. A l'intérieur de la méthode DEA, plusieurs modèles permettent de tenir compte des conditions plus ou moins favorables de l'environnement. Cinq de ces modèles, facilement accessibles et applicables par les décideurs, sont utilisés pour mesurer l'efficience des 90 écoles primaires du canton de Genève, Suisse. Le canton de Genève pratiquant une politique de discrimination positive envers les écoles défavorisées, ce cas pratique est particulièrement adapté pour un ajustement à l'environnement. La majorité des modèles DEA génèrent des résultats divergents. Ce constat est préoccupant pour les chercheurs appliqués et perturbant pour les décideurs. D'un point de vue politique, ces résultats divergents conduisent à des prises de décision différentes selon le modèle sur lequel elles sont fondées.

Liming in Agricultural Production Models with and Without the Adoption of Crop-Livestock Integration

ABSTRACT Perennial forage crops used in crop-livestock integration (CLI) are able to accumulate large amounts of straw on the soil surface in no-tillage system (NTS). In addition, they can potentially produce large amounts of soluble organic compounds that help improving the efficiency of liming in the subsurface, which favors root growth, thus reducing the risks of loss in yield during dry spells and the harmful effects of “overliming”. The aim of this study was to test the effects of liming on two models of agricultural production, with and without crop-livestock integration, for 2 years. Thus, an experiment was conducted in a Latossolo Vermelho (Oxisol) with a very clayey texture located in an agricultural area under the NTS in Bandeirantes, PR, Brazil. Liming was performed to increase base saturation (V) to 65, 75, and 90 % while one plot per block was maintained without the application of lime (control). A randomized block experimental design was adopted arranged in split-plots and four plots/block, with four replications. The soil properties evaluated were: pH in CaCl2, soil organic matter (SOM), Ca, Mg, K, Al, and P. The effects of liming were observed to a greater depth and for a long period through mobilization of ions in the soil, leading to a reduction in SOM and Al concentration and an increase in pH and the levels of Ca and Mg. In the first crop year, adoption of CLI led to an increase in the levels of K and Mg and a reduction in the levels of SOM; however, in the second crop year, the rate of decline of SOM decreased compared to the decline observed in the first crop year, and the level of K increased, whereas that of P decreased. The extent of the effects of liming in terms of depth and improvement in the root environment from the treatments were observed only partially from the changes observed in the chemical properties studied.

Evidence of aging in spin glass mean-field models

We study numerically the out-of-equilibrium dynamics of the hypercubic cell spin glass in high dimensionalities. We obtain evidence of aging effects qualitatively similar both to experiments and to simulations of low-dimensional models. This suggests that the Sherrington-Kirkpatrick model as well as other mean-field finite connectivity lattices can be used to study these effects analytically.

Evidence of a critical time in constrained Kinetic Ising models

We study the relaxational dynamics of the one-spin facilitated Ising model introduced by Fredrickson and Andersen. We show the existence of a critical time which separates an initial regime in which the relaxation is exponentially fast and aging is absent from a regime in which relaxation becomes slow and aging effects are present. The presence of this fast exponential process and its associated critical time is in agreement with some recent experimental results on fragile glasses.

SPATIAL VARIABILITY OF SOIL PROPERTIES IN AN AGRARIAN REFORM SETTLEMENT

ABSTRACT The study of soil chemical and physical properties variability is important for suitable management practices. The aim of this study was to evaluate the spatial variability of soil properties in the Malhada do Meio settlement to subsidize soil use planning. The settlement is located in Chapadinha, MA, Brazil, and has an area of 630.86 ha. The vegetation is seasonal submontane deciduous forest and steppe savanna. The geology is formed of sandstones and siltstones of theItapecuru Formation and by colluvial and alluvial deposits. The relief consists of hills with rounded and flat tops with an average altitude of 67 m, and frequently covered over by ferruginous duricrusts. A total of 183 georeferenced soil samples were collected at the depth of 0.00-0.20 m inPlintossolos, Neossolo andGleissolo. The following chemical variables were analyzed: pH(CaCl2), H+Al, Al, SB, V, CEC, P, K, OM, Ca, Mg, SiO2, Al2O3, and Fe2O3; along with particle size variables: clay, silt, and sand. Descriptive statistical and geostatistical analyses were carried out. The coefficient of variation (CV) was high for most of the variables, with the exception of pH with a low CV, and of sand with a medium CV. The models fitted to the experimental semivariograms of these variables were the exponential and the spherical. The range values were from 999 m to 3,690 m. For the variables pH(CaCl2), SB, and clay, there are three specific areas for land use planning. The central part of the area (zone III), where thePlintossolos Pétricos and Neossolos Flúvicos occur, is the most suitable for crops due to higher macronutrient content, organic matter and pH. Zones I and II are indicated for environmental preservation.

Insight in protein S deficiency from mouse models

Protein S (ProS) is an important negative regulator of blood coagulation. Its physiological importance is evident in purpura fulminans and other life-threatening thrombotic disorders typical of ProS deficient patients. Our previous characterization of ProS deficiency in mouse models has shown similarities with the human phenotypes: heterozygous ProS-deficient mice (Pros+/-) had increased thrombotic risk whereas homozygous deficiency in ProS (Pros-/-) was incompatible with life (Blood 2009; 114:2307-2314). In tissues, ProS exerts cellular functions by binding to and activating tyrosine kinase receptors of the Tyro3 family (TAM) on the cell surface.To extend the analysis of coagulation defects beyond the Pros-/- phenotype and add new insights into the sites of synthesis ProS and its action, we generated mice with inactivated ProS in hepatocytes (Proslox/loxAlbCre+) as well as in endothelial and hematopoietic cells (Proslox/loxTie2Cre+). Both models resulted in significant reduction of circulating ProS levels and in a remarkable increased thrombotic risk in vivo. In a model of tissue factor (TF)-induced venous thromboembolism (VTE), only 17% of Proslox/loxAlbCre+ mice (n=12) and only 13% of Proslox/loxTie2Cre+ mice (n=14) survived, compared with 86% of Proslox/lox mice (n=14; P<0.001).To mimic a severe acquired ProS deficiency, ProS gene was inactivated at the adult stage using the polyI:C-inducible Mx1-Cre system (Proslox/loxMx1Cre+). Ten days after polyI:C treatment, Proslox/loxMx1Cre+ mice developed disseminated intravascular coagulation with extensive lung and liver thrombosis.It is worth noting that no skin lesions compatible with purpura fulminans were observed in any of the above-described models of partial ProS deficiency. In order to shed light on the pathogenesis of purpura fulminans, we exposed the different ProS-deficient mice to warfarin (0.2 mg/day). We observed that Pros+/-, Proslox/loxAlbCre+ and Proslox/loxTie2Cre+ mice developed retiform purpura (characterized by erythematous and necrotic lesions of the genital region and extremities) and died after 3 to 5 days after the first warfarin administration.In human, ProS is also synthesized by megakaryocytes and hence stored at high concentrations in circulating platelets (pProS). The role of pProS has been investigated by generating megakaryocyte ProS-deficient model using the PF4 promoter as Cre driver (Proslox/loxPf4Cre+). In the TF-induced VTE model, Proslox/loxPf4Cre+ (n=15) mice showed a significant increased risk of thrombosis compared to Proslox/lox controls (n=14; survival rate 47% and 86%, respectively; P<0.05). Furthermore, preliminary results suggest survival to be associated with higher circulating ProS levels. In order to evaluate the potential role of pProS in thrombus formation, we investigated the thrombotic response to intravenous injection of collagen-epinephrine in vivo and platelet function in vitro. Both in vivo and in vitro experiments showed similar results between Proslox/loxPf4Cre+ and Proslox/lox, indicating that platelet reactivity was not influenced by the absence of pProS. These data suggest that pProS is delivered at the site of thrombosis to inhibit thrombin generation.We further investigated the ability of ProS to function as a ligand of TAM receptors, by using homozygous and heterozygous deficient mice for both the TAM ligands ProS and Gas6. Gas6-/-Pros-/- mice died in utero and showed comparable dramatic bleeding and thrombotic phenotype as described for Pros-/- embryos.In conclusion, like complete ProS deficiency, double deficiency in ProS and Gas6 was lethal, whereas partial ProS deficiency was not. Mice partially deficient in ProS displayed a prothrombotic phenotype, including those with only deficiency in pProS. Purpura fulminans did not occur spontaneously in mice with partial Pros deficiency but developed upon warfarin administration.Thus, the use of different mice models of ProS deficiency can be instrumental in the study of its highly variable thrombotic phenotype and in the investigation of additional roles of ProS in inflammation and autoimmunity through TAM signaling.

Automatic Prediction of Facial Trait Judgments: Appearance vs. Structural Models

Evaluating other individuals with respect to personality characteristics plays a crucial role in human relations and it is the focus of attention for research in diverse fields such as psychology and interactive computer systems. In psychology, face perception has been recognized as a key component of this evaluation system. Multiple studies suggest that observers use face information to infer personality characteristics. Interactive computer systems are trying to take advantage of these findings and apply them to increase the natural aspect of interaction and to improve the performance of interactive computer systems. Here, we experimentally test whether the automatic prediction of facial trait judgments (e.g. dominance) can be made by using the full appearance information of the face and whether a reduced representation of its structure is sufficient. We evaluate two separate approaches: a holistic representation model using the facial appearance information and a structural model constructed from the relations among facial salient points. State of the art machine learning methods are applied to a) derive a facial trait judgment model from training data and b) predict a facial trait value for any face. Furthermore, we address the issue of whether there are specific structural relations among facial points that predict perception of facial traits. Experimental results over a set of labeled data (9 different trait evaluations) and classification rules (4 rules) suggest that a) prediction of perception of facial traits is learnable by both holistic and structural approaches; b) the most reliable prediction of facial trait judgments is obtained by certain type of holistic descriptions of the face appearance; and c) for some traits such as attractiveness and extroversion, there are relationships between specific structural features and social perceptions.