Extremal properties of certain risk models

Cette thèse s'intéresse à étudier les propriétés extrémales de certains modèles de risque d'intérêt dans diverses applications de l'assurance, de la finance et des statistiques. Cette thèse se développe selon deux axes principaux, à savoir: Dans la première partie, nous nous concentrons sur deux modèles de risques univariés, c'est-à- dire, un modèle de risque de déflation et un modèle de risque de réassurance. Nous étudions le développement des queues de distribution sous certaines conditions des risques commun¬s. Les principaux résultats sont ainsi illustrés par des exemples typiques et des simulations numériques. Enfin, les résultats sont appliqués aux domaines des assurances, par exemple, les approximations de Value-at-Risk, d'espérance conditionnelle unilatérale etc. La deuxième partie de cette thèse est consacrée à trois modèles à deux variables: Le premier modèle concerne la censure à deux variables des événements extrême. Pour ce modèle, nous proposons tout d'abord une classe d'estimateurs pour les coefficients de dépendance et la probabilité des queues de distributions. Ces estimateurs sont flexibles en raison d'un paramètre de réglage. Leurs distributions asymptotiques sont obtenues sous certaines condi¬tions lentes bivariées de second ordre. Ensuite, nous donnons quelques exemples et présentons une petite étude de simulations de Monte Carlo, suivie par une application sur un ensemble de données réelles d'assurance. L'objectif de notre deuxième modèle de risque à deux variables est l'étude de coefficients de dépendance des queues de distributions obliques et asymétriques à deux variables. Ces distri¬butions obliques et asymétriques sont largement utiles dans les applications statistiques. Elles sont générées principalement par le mélange moyenne-variance de lois normales et le mélange de lois normales asymétriques d'échelles, qui distinguent la structure de dépendance de queue comme indiqué par nos principaux résultats. Le troisième modèle de risque à deux variables concerne le rapprochement des maxima de séries triangulaires elliptiques obliques. Les résultats théoriques sont fondés sur certaines hypothèses concernant le périmètre aléatoire sous-jacent des queues de distributions. -- This thesis aims to investigate the extremal properties of certain risk models of interest in vari¬ous applications from insurance, finance and statistics. This thesis develops along two principal lines, namely: In the first part, we focus on two univariate risk models, i.e., deflated risk and reinsurance risk models. Therein we investigate their tail expansions under certain tail conditions of the common risks. Our main results are illustrated by some typical examples and numerical simu¬lations as well. Finally, the findings are formulated into some applications in insurance fields, for instance, the approximations of Value-at-Risk, conditional tail expectations etc. The second part of this thesis is devoted to the following three bivariate models: The first model is concerned with bivariate censoring of extreme events. For this model, we first propose a class of estimators for both tail dependence coefficient and tail probability. These estimators are flexible due to a tuning parameter and their asymptotic distributions are obtained under some second order bivariate slowly varying conditions of the model. Then, we give some examples and present a small Monte Carlo simulation study followed by an application on a real-data set from insurance. The objective of our second bivariate risk model is the investigation of tail dependence coefficient of bivariate skew slash distributions. Such skew slash distributions are extensively useful in statistical applications and they are generated mainly by normal mean-variance mixture and scaled skew-normal mixture, which distinguish the tail dependence structure as shown by our principle results. The third bivariate risk model is concerned with the approximation of the component-wise maxima of skew elliptical triangular arrays. The theoretical results are based on certain tail assumptions on the underlying random radius.

Quantification of nicotine, cotinine, trans-3'-hydroxycotinine and varenicline in human plasma by a sensitive and specific UPLC-tandem mass-spectrometry procedure for a clinical study on smoking cessation.

A sensitive and specific ultra performance liquid chromatography-tandem mass spectrometry method for the simultaneous quantification of nicotine, its metabolites cotinine and trans-3'-hydroxycotinine and varenicline in human plasma was developed and validated. Sample preparation was realized by solid phase extraction of the target compounds and of the internal standards (nicotine-d4, cotinine-d3, trans-3'-hydroxycotinine-d3 and CP-533,633, a structural analog of varenicline) from 0.5mL of plasma, using a mixed-mode cation exchange support. Chromatographic separations were performed on a hydrophilic interaction liquid chromatography column (HILIC BEH 2.1×100mm, 1.7μm). A gradient program was used, with a 10mM ammonium formate buffer pH 3/acetonitrile mobile phase at a flow of 0.4mL/min. The compounds were detected on a triple quadrupole mass spectrometer, operated with an electrospray interface in positive ionization mode and quantification was performed using multiple reaction monitoring. Matrix effects were quantitatively evaluated with success, with coefficients of variation inferior to 8%. The procedure was fully validated according to Food and Drug Administration guidelines and to Société Française des Sciences et Techniques Pharmaceutiques. The concentration range was 2-500ng/mL for nicotine, 1-1000ng/mL for cotinine, 2-1000ng/mL for trans-3'-hydroxycotinine and 1-500ng/mL for varenicline, according to levels usually measured in plasma. Trueness (86.2-113.6%), repeatability (1.9-12.3%) and intermediate precision (4.4-15.9%) were found to be satisfactory, as well as stability in plasma. The procedure was successfully used to quantify nicotine, its metabolites and varenicline in more than 400 plasma samples from participants in a clinical study on smoking cessation.

Determination of nicotine and nicotine metabolites in urine by hydrophilic interaction chromatography-tandem mass spectrometry: Potential use of smokeless tobacco products by ice hockey players.

Consumption of nicotine in the form of smokeless tobacco (snus, snuff, chewing tobacco) or nicotine-containing medication (gum, patch) may benefit sport practice. Indeed, use of snus seems to be a growing trend and investigating nicotine consumption amongst professional athletes is of major interest to sport authorities. Thus, a liquid chromatography-tandem mass spectrometry (LC-MS/MS) method for the detection and quantification of nicotine and its principal metabolites cotinine, trans-3-hydroxycotinine, nicotine-N'-oxide and cotinine-N-oxide in urine was developed. Sample preparation was performed by liquid-liquid extraction followed by hydrophilic interaction chromatography-tandem mass spectrometry (HILIC-MS/MS) operated in electrospray positive ionization (ESI) mode with selective reaction monitoring (SRM) data acquisition. The method was validated and calibration curves were linear over the selected concentration ranges of 10-10,000 ng/mL for nicotine, cotinine, trans-3-hydroxycotinine and 10-5000 ng/mL for nicotine-N'-oxide and cotinine-N-oxide, with calculated coefficients of determination (R(2)) greater than 0.95. The total extraction efficiency (%) was concentration dependent and ranged between 70.4 and 100.4%. The lower limit of quantification (LLOQ) for all analytes was 10 ng/mL. Repeatability and intermediate precision were ?9.4 and ?9.9%, respectively. In order to measure the prevalence of nicotine exposure during the 2009 Ice Hockey World Championships, 72 samples were collected and analyzed after the minimum of 3 months storage period and complete removal of identification means as required by the 2009 International Standards for Laboratories (ISL). Nicotine and/or metabolites were detected in every urine sample, while concentration measurements indicated an exposure within the last 3 days for eight specimens out of ten. Concentrations of nicotine, cotinine, trans-3-hydroxycotinine, nicotine-N'-oxide and cotinine-N-oxide were found to range between 11 and 19,750, 13 and 10,475, 10 and 8217, 11 and 3396, and 13 and 1640 ng/mL, respectively. When proposing conservative concentration limits for nicotine consumption prior and/or during the games (50 ng/mL for nicotine, cotinine and trans-3-hydroxycotinine and 25 ng/mL for nicotine-N'-oxide and cotinine-N-oxide), about half of the hockey players were qualified as consumers. These findings significantly support the likelihood of extensive smokeless nicotine consumption. However, since such conclusions can only be hypothesized, the potential use of smokeless tobacco as a doping agent in ice hockey requires further investigation.

Effect of inspiratory threshold loading on ventilatory kinetics during constant-load exercise.

Humoral factors play an important role in the control of exercise hyperpnea. The role of neuromechanical ventilatory factors, however, is still being investigated. We tested the hypothesis that the afferents of the thoracopulmonary system, and consequently of the neuromechanical ventilatory loop, have an influence on the kinetics of oxygen consumption (VO2), carbon dioxide output (VCO2), and ventilation (VE) during moderate intensity exercise. We did this by comparing the ventilatory time constants (tau) of exercise with and without an inspiratory load. Fourteen healthy, trained men (age 22.6 +/- 3.2 yr) performed a continuous incremental cycle exercise test to determine maximal oxygen uptake (VO2max = 55.2 +/- 5.8 ml x min(-1) x kg(-1)). On another day, after unloaded warm-up they performed randomized constant-load tests at 40% of their VO2max for 8 min, one with and the other without an inspiratory threshold load of 15 cmH2O. Ventilatory variables were obtained breath by breath. Phase 2 ventilatory kinetics (VO2, VCO2, and VE) could be described in all cases by a monoexponential function. The bootstrap method revealed small coefficients of variation for the model parameters, indicating an accurate determination for all parameters. Paired Student's t-tests showed that the addition of the inspiratory resistance significantly increased the tau during phase 2 of VO2 (43.1 +/- 8.6 vs. 60.9 +/- 14.1 s; P < 0.001), VCO2 (60.3 +/- 17.6 vs. 84.5 +/- 18.1 s; P < 0.001) and VE (59.4 +/- 16.1 vs. 85.9 +/- 17.1 s; P < 0.001). The average rise in tau was 41.3% for VO2, 40.1% for VCO2, and 44.6% for VE. The tau changes indicated that neuromechanical ventilatory factors play a role in the ventilatory response to moderate exercise.

Addition of inspiratory resistance increases the amplitude of the slow component of O2 uptake kinetics.

The contribution of respiratory muscle work to the development of the O(2) consumption (Vo(2)) slow component is a point of controversy because it has been shown that the increased ventilation in hypoxia is not associated with a concomitant increase in Vo(2) slow component. The first purpose of this study was thus to test the hypothesis of a direct relationship between respiratory muscle work and Vo(2) slow component by manipulating inspiratory resistance. Because the conditions for a Vo(2) slow component specific to respiratory muscle can be reached during intense exercise, the second purpose was to determine whether respiratory muscles behave like limb muscles during heavy exercise. Ten trained subjects performed two 8-min constant-load heavy cycling exercises with and without a threshold valve in random order. Vo(2) was measured breath by breath by using a fast gas exchange analyzer, and the Vo(2) response was modeled after removal of the cardiodynamic phase by using two monoexponential functions. As anticipated, when total work was slightly increased with loaded inspiratory resistance, slight increases in base Vo(2), the primary phase amplitude, and peak Vo(2) were noted (14.2%, P < 0.01; 3.5%, P > 0.05; and 8.3%, P < 0.01, respectively). The bootstrap method revealed small coefficients of variation for the model parameter, including the slow-component amplitude and delay (15 and 19%, respectively), indicating an accurate determination for this critical parameter. The amplitude of the Vo(2) slow component displayed a 27% increase from 8.1 +/- 3.6 to 10.3 +/- 3.4 ml. min(-1). kg(-1) (P < 0.01) with the addition of inspiratory resistance. Taken together, this increase and the lack of any differences in minute volume and ventilatory parameters between the two experimental conditions suggest the occurrence of a Vo(2) slow component specific to the respiratory muscles in loaded condition.

Genetic characterization of morphologically variant strains of Paracoccidioides brasiliensis

Molecular characterization of Paracoccidioides brasiliensis variant strains that had been preserved under mineral oil for decades was carried out by random amplified polymorphic DNA analysis (RAPD). On P. brasiliensis variants in the transitional phase and strains with typical morphology, RAPD produced reproducible polymorphic amplification products that differentiated them. A dendrogram based on the generated RAPD patterns placed the 14 P. brasiliensis strains into five groups with similarity coefficients of 72%. A high correlation between the genotypic and phenotypic characteristics of the strains was observed. A 750 bp-RAPD fragment found only in the wild-type phenotype strains was cloned and sequenced. Genetic similarity analysis using BLASTx suggested that this RAPD marker represents a putative domain of a hypothetical flavin-binding monooxygenase (FMO)-like protein of Neurospora crassa.

Study of the relationship between Aedes (Stegomyia) aegypti egg and adult densities, dengue fever and climate in Mirassol, state of São Paulo, Brazil

The purpose of this study was to examine the relationship between Aedes aegypti egg and adult density indices, dengue fever and climate in Mirassol, state of São Paulo, Brazil, between November 2004-November 2005. Weekly collections of adults and eggs were made using, respectively, manual aspirators and oviposition traps that produced four entomological indices (positivity and average of females and eggs). Weekly incidence coefficients were calculated based on dengue cases. Each week, the data obtained from entomological indices were related to each other, dengue, and climate variables. The first index to show an association with dengue transmission was the female average, followed by female positivity and egg average. Egg positivity did not show a relationship with risk for dengue, but was sensitive to identifying the presence of the vector, principally in dry seasons. The relationship between climatic factors, the vector and the disease found in this study can be widely employed in planning and undertaking dengue surveillance and control activities, but it is a tool that has not been considered by the authorities responsible for controlling the disease. In fact, this relationship permits the use of information about climate for early detection of epidemics and for establishing more effective prevention strategies than currently exist.

An antibody-based ELISA for quantification of Ani s 1, a major allergen from Anisakis simplex.

Anisakis simplex is a nematode parasite that can infect humans who have eaten raw or undercooked seafood. Larvae invading the gastrointestinal mucosa excrete/secrete proteins that are implicated in the pathogenesis of anisakiasis and can induce IgE-mediated symptoms. Since Ani s 1 is a potent secreted allergen with important clinical relevance, its measurement could assess the quality of allergenic products used in diagnosis/immunotherapy of Anisakis allergy and track the presence of A. simplex parasites in fish foodstuffs. An antibody-based ELISA for quantification of Ani s 1 has been developed based on monoclonal antibody 4F2 as capture antibody and biotin-labelled polyclonal antibodies against Ani s 1 as detection reagent. The dose-response standard curves, obtained with natural and recombinant antigens, ranged from 4 to 2000 ng/ml and were identical and parallel to that of the A. simplex extract. The linear portion of the dose-response curve with nAni s 1 was between 15 and 250 ng/ml with inter-assay and intra-assays coefficients of variation less than 20% and 10%, respectively. The assay was specific since there was no cross-reaction with other extracts (except Ascaris extracts) and was highly sensitive (detection limit of 1·8 ng/ml), being able to detect Ani s 1 in fish extracts from codfish and monkfish.

Determination of chlorzoxazone and 6-hydroxychlorzoxazone in plasma by gas chromatography--mass spectrometry.

A gas chromatographic-mass spectrometric method is presented which allows the determination of chlorzoxazone and 6-hydroxychlorzoxazone after derivatization with the reagent N-tert.-butyldimethylsilyl-N-methyltrifluoroacetamide. No interference was observed from endogenous compounds following the extraction of plasma samples from six different human subjects. The standard curves were linear over a working range of 20 to 4000 ng/ml and of 20 to 1000 ng/ml for chlorzoxazone and 6-hydroxychlorzoxazone, respectively. Recoveries ranged from 65 to 97% for the two compounds and intra- and inter-day coefficients of variation were always less than 9%. The limit of quantitation of the method was found to be 5 ng/ml for the two compounds, hence allowing its use for single low dose pharmacokinetics.

Distributions on the simplex

The simplex, the sample space of compositional data, can be structured as a real Euclidean space. This fact allows to work with the coefficients with respect to an orthonormal basis. Over these coefficients we apply standard real analysis, inparticular, we define two different laws of probability trought the density function and we study their main properties

Evaluation of buffy coat 16S rRNA PCR, buffy coat culture and whole blood PCR for detection of bacteraemia

The use of Gram type-specific PCR on buffy coat from clinical specimens for the detection of bacteraemia was evaluated for the first time using whole blood culture as the gold standard. In addition, the established buffy coat culture and whole blood PCR were also compared. Gram-positive bacteria belonging to six species and Gram-negative bacteria from 10 species were isolated and identified by culture and detected using broad-range 16S rDNA primers and Gram-specific primers. Data from the three methods all conferred very high sensitivity, specificity, positive and negative predictive values when compared to whole blood culture. The Kappa coefficients of agreement were 0.9819 (buffy coat PCR), 0.9458 (whole blood PCR) and 1.0 (buffy coat culture), which establishes their validity as alternative methods to routine blood culture in detecting bacteraemia. In addition, results showed that there was a direct correlation of WBC counts greater than 12,000 cells per mm³ to the occurrence of bacteraemia as detected by the four methods (p < 0.05).

Body mass index, abdominal adiposity and blood pressure: consistency of their association across developing and developed countries.

BACKGROUND: Obesity is increasing worldwide because developing countries are adopting Western high-fat foods and sedentary lifestyles. In parallel, in many of them, hypertension is rising more rapidly, particularly with age, than in Western countries. OBJECTIVE: To assess the relationship between adiposity and blood pressure (BP) in a developing country with high average BP (The Seychelles, Indian Ocean, population mainly of African origin) in comparison to a developed country with low average BP (Switzerland, population mainly of Caucasian origin). DESIGN: Cross-sectional health examination surveys based on population random samples. SETTING: The main Seychelles island (Mahé) and two Swiss regions (Vaud-Fribourg and Ticino). SUBJECTS: Three thousand one hundred and sixteen adults (age range 35-64) untreated for hypertension. MEASUREMENTS: Body mass index (BMI), waist circumference (WC), waist-to-hip ratio (WHR), systolic and diastolic blood pressure (SBP and DBP, mean of two measures). METHODS: Scatterplot smoothing techniques and gender-specific linear regression models. RESULTS: On average, SBP and DBP were found to increase linearly over the whole variation range of BMI, WHR and WC. A modest, but statistically significant linear association was found between each indicator of adiposity and BP levels in separate regression models controlling for age. The regression coefficients were not significantly different between the Seychelles and the two Swiss regions, but were generally higher in women than in men. For the latter, a gain of 1.7 kg/m(2) in BMI, of 4.5 cm in WC or of 3.4% in WHR corresponded to an elevation of 1 mmHg in SBP. For women, corresponding figures were 1.25 kg/m(2), 2.5 cm and 1.8% respectively. Regression coefficients for age reflected a higher effect of this variable on both SBP and DBP in the Seychelles than in Switzerland. CONCLUSION: These findings suggest a stable linear relation of adiposity with BP, independent of age and body fat distribution, across developed and developing countries. The more rapid increase of BP with age observed in the latter countries are likely to reflect higher genetic susceptibility and/or higher cumulative exposure to another risk factor than adiposity.

Long circulating half-life and high tumor selectivity of the photosensitizer meta-tetrahydroxyphenylchlorin conjugated to polyethylene glycol in nude mice grafted with a human colon carcinoma.

In a mode of nude mice bearing a human colon carcinoma xenograft, the biodistribution and tumor localization of metatetrahydroxyphenylchlorin (m-THPC) coupled to polyethylene glycol (PEG) were compared with those of the free form of this photosensitizer used in photodynamic therapy (PDT). At different times after i.v. injection of both forms of 125I-labeled photosensitizer, m-THPC-PEG gave on average a 2-fold higher tumor uptake than free m-THPC. In addition, at early times after injection, m-THPC-PEG showed a 2-fold longer blood circulating half-life and a 4-fold lower liver uptake than free m-THPC. The tumor to normal tissue ratios of radioactivity concentrations were always higher for m-THPC-PEG than for free m-THPC at any time point studied from 2 to 96 hr post-injection. Significant coefficients of correlation between direct fluorescence measurements and radioactivity counting were obtained within each organ tested. Fluorescence microscopy studies showed that m-THPC-PEG was preferentially localized near the tumor vessels, whereas m-THPC was more diffusely distributed inside the tumor tissue. To verify whether m-THPC-PEG conjugate remained phototoxic in vivo, PDT experiments were performed 72 hr after injection and showed that m-THPC-PEG was as potent as free m-THPC in the induction of tumor regression provided that the irradiation does for m-THPC-PEG conjugate was adapted to a well-tolerated 2-fold higher level. The overall results demonstrate first the possibility of improving the in vivo tumor localization of a hydrophobic dye used for PDT by coupling it to PEG and second that a photosensitizer conjugated to a macromolecule can remain phototoxic in vivo.

The cover basement contact beneath the Rawil axial depression (Western Alps) - True amplitude seismic processing, petrophysical properties, and modeling

Since 1986, several near-vertical seismic reflection profiles have been recorded in Switzerland in order to map the deep geologic structure of the Alps. One objective of this endeavour has been to determine the geometries of the autochthonous basement and of the external crystalline massifs, important elements for understanding the geodynamics of the Alpine orogeny. The PNR-20 seismic line W1, located in the Rawil depression of the western Swiss Alps, provides important information on this subject. It extends northward from the `'Penninic front'' across the Helvetic nappes to the Prealps. The crystalline massifs do not outcrop along this profile. Thus, the interpretation of `'near-basement'' reflections has to be constrained by down-dip projections of surface geology, `'true amplitude'' processing, rock physical property studies and modelling. 3-D seismic modelling has been used to evaluate the seismic response of two alternative down-dip projection models. To constrain the interpretation in the southern part of the profile, `'true amplitude'' processing has provided information on the strength of the reflections. Density and velocity measurements on core samples collected up-dip from the region of the seismic line have been used to evaluate reflection coefficients of typical lithologic boundaries in the region. The cover-basement contact itself is not a source of strong reflections, but strong reflections arise from within the overlaying metasedimentary cover sequence, allowing the geometry of the top of the basement to be determined on the basis of `'near-basement'' reflections. The front of the external crystalline massifs is shown to extend beneath the Prealps, about 6 km north of the expected position. A 2-D model whose seismic response shows reflection patterns very similar to the observed is proposed.

Imagerie de diffusion (DWI) dans la caractérisation de l'échinococcose alvéolaire hépatique.

Objectifs: Etudier l'utilité de DWI dans l'échinococcose alveolaire (EA) hépatique. Matériels et méthodes: Dix-sept patients (10 hommes, âge moyen 64.3) avec 55 lésions hépatiques ont été examinés par IRM. La sémiologie des lésions a été étudiée après classification selon Kodama. Les coefficients apparent de diffusion (ADCmax, ADCmin, ADCtot) ont été mesurés. Résultats: Trois lésions de Kodama de type 1, 13 de type 2, 15 de type 3, 3 de type 4, et 21 de type 5. L'ADCtot des lésions mesurait 1.23±0.18 x 10-3 mm2/s. L'ADCtot de Kodama type 1, 2, 3, 4 et 5 mesuraient 1.97±0.27, 1.66±0.13, 1.73±0.12, 1.15±0.27 et 1.76±0.10 x 10-3 mm2/s, respectivement. Il n'y avait pas de différence significative de l'ADCtot entre les types (p=0.25) hormis le type 4 qui représente une lésion solide (p=0.035). Conclusion: Les valeurs d'ADC des lésions d'EA ne se révèlent pas utiles pour différencier les différents types selon Kodama, hormis pour le type 4 ce qui suggère la présence d'une composante solide. Celles-ci sont relativement basses comparées à d'autres lésions kystiques hépatiques, ce qui peut aider à suggérer le diagnostic.