On optimal dividend strategies with deficit or incomplete information

Rapport de synthèse Cette thèse consiste en trois essais sur les stratégies optimales de dividendes. Chaque essai correspond à un chapitre. Les deux premiers essais ont été écrits en collaboration avec les Professeurs Hans Ulrich Gerber et Elias S. W. Shiu et ils ont été publiés; voir Gerber et al. (2006b) ainsi que Gerber et al. (2008). Le troisième essai a été écrit en collaboration avec le Professeur Hans Ulrich Gerber. Le problème des stratégies optimales de dividendes remonte à de Finetti (1957). Il se pose comme suit: considérant le surplus d'une société, déterminer la stratégie optimale de distribution des dividendes. Le critère utilisé consiste à maximiser la somme des dividendes escomptés versés aux actionnaires jusqu'à la ruine2 de la société. Depuis de Finetti (1957), le problème a pris plusieurs formes et a été résolu pour différents modèles. Dans le modèle classique de théorie de la ruine, le problème a été résolu par Gerber (1969) et plus récemment, en utilisant une autre approche, par Azcue and Muler (2005) ou Schmidli (2008). Dans le modèle classique, il y a un flux continu et constant d'entrées d'argent. Quant aux sorties d'argent, elles sont aléatoires. Elles suivent un processus à sauts, à savoir un processus de Poisson composé. Un exemple qui correspond bien à un tel modèle est la valeur du surplus d'une compagnie d'assurance pour lequel les entrées et les sorties sont respectivement les primes et les sinistres. Le premier graphique de la Figure 1 en illustre un exemple. Dans cette thèse, seules les stratégies de barrière sont considérées, c'est-à-dire quand le surplus dépasse le niveau b de la barrière, l'excédent est distribué aux actionnaires comme dividendes. Le deuxième graphique de la Figure 1 montre le même exemple du surplus quand une barrière de niveau b est introduite, et le troisième graphique de cette figure montre, quand à lui, les dividendes cumulés. Chapitre l: "Maximizing dividends without bankruptcy" Dans ce premier essai, les barrières optimales sont calculées pour différentes distributions du montant des sinistres selon deux critères: I) La barrière optimale est calculée en utilisant le critère usuel qui consiste à maximiser l'espérance des dividendes escomptés jusqu'à la ruine. II) La barrière optimale est calculée en utilisant le second critère qui consiste, quant à lui, à maximiser l'espérance de la différence entre les dividendes escomptés jusqu'à la ruine et le déficit au moment de la ruine. Cet essai est inspiré par Dickson and Waters (2004), dont l'idée est de faire supporter aux actionnaires le déficit au moment de la ruine. Ceci est d'autant plus vrai dans le cas d'une compagnie d'assurance dont la ruine doit être évitée. Dans l'exemple de la Figure 1, le déficit au moment de la ruine est noté R. Des exemples numériques nous permettent de comparer le niveau des barrières optimales dans les situations I et II. Cette idée, d'ajouter une pénalité au moment de la ruine, a été généralisée dans Gerber et al. (2006a). Chapitre 2: "Methods for estimating the optimal dividend barrier and the probability of ruin" Dans ce second essai, du fait qu'en pratique on n'a jamais toute l'information nécessaire sur la distribution du montant des sinistres, on suppose que seuls les premiers moments de cette fonction sont connus. Cet essai développe et examine des méthodes qui permettent d'approximer, dans cette situation, le niveau de la barrière optimale, selon le critère usuel (cas I ci-dessus). Les approximations "de Vylder" et "diffusion" sont expliquées et examinées: Certaines de ces approximations utilisent deux, trois ou quatre des premiers moments. Des exemples numériques nous permettent de comparer les approximations du niveau de la barrière optimale, non seulement avec les valeurs exactes mais également entre elles. Chapitre 3: "Optimal dividends with incomplete information" Dans ce troisième et dernier essai, on s'intéresse à nouveau aux méthodes d'approximation du niveau de la barrière optimale quand seuls les premiers moments de la distribution du montant des sauts sont connus. Cette fois, on considère le modèle dual. Comme pour le modèle classique, dans un sens il y a un flux continu et dans l'autre un processus à sauts. A l'inverse du modèle classique, les gains suivent un processus de Poisson composé et les pertes sont constantes et continues; voir la Figure 2. Un tel modèle conviendrait pour une caisse de pension ou une société qui se spécialise dans les découvertes ou inventions. Ainsi, tant les approximations "de Vylder" et "diffusion" que les nouvelles approximations "gamma" et "gamma process" sont expliquées et analysées. Ces nouvelles approximations semblent donner de meilleurs résultats dans certains cas.

Traffic Management Strategies for Merge Area in Rural Interstate Work Zones, CTRE 97-12, 1999

The Iowa Department of Transportation, like many other state transportation agencies, is experiencing growing congestion and traffic delays in work zones on rural interstate highways. The congestion results in unproductive and wasteful delays for both motorists and commercial vehicles. It also results in hazardous conditions where vehicle stopped in queues on rural interstate highways are being approached by vehicles upstream at very high speeds. The delays also result in driver frustration, making some drivers willing to take unsafe risks in an effort to bypass delays. To reduce the safety hazards and unproductive delays of congested rural interstate work zones, the Iowa Department of Transportation would like to improve its traffic management strategies at these locations. Applying better management practices requires knowledge of the traffic flow properties and driver behavior in and around work zones, and knowledge of possible management strategies. The project reported here and in a companion report documents research which seeks to better understand traffic flow behavior at rural interstate highway work zones and to estimate the traffic carrying capacity of work zone lane closures. In addition, this document also reports on technology available to better manage traffic in and around work zones.

Stratégies thérapeutiques pour le traitement des gliomes [Therapeutic strategies for the management of gliomas]

The management of gliomas remains challenging and requires a multidisciplinary approach that involves neurosurgeons, radiation therapists and oncologists. For patients with glioblastomas, progress has been made in recent years with the introduction of a combined modality treatment associating radiation therapy and concomitant chemotherapy with the novel alkylating agent temozolomide. This combination resulted in a significant prolongation of survival and increase in the number of patients with survival well beyond two years. Since then, interest in developing new agents in this disease has dramatically increased. In parallel, molecular markers, such as methylation status of MGMT or identification of the translocation of 1p and 19q in oligodendrogliomas have allowed to identify distinct subtypes with exquisite response to treatment or different prognosis. These developments have implications for the development of clinical trials of new potential drug treatments. In this article, we provide a review of the current management of low- and high-grade gliomas, including astrocytomas, oligodendrogliomas and glioblastomas and provide an outlook into future potential therapies.

Profiling of steroid metabolites after transdermal and oral administration of testosterone by ultra-high pressure liquid chromatography coupled to quadrupole time-of-flight mass spectrometry.

The screening of testosterone (T) misuse for doping control is based on the urinary steroid profile, including T, its precursors and metabolites. Modifications of individual levels and ratio between those metabolites are indicators of T misuse. In the context of screening analysis, the most discriminant criterion known to date is based on the T glucuronide (TG) to epitestosterone glucuronide (EG) ratio (TG/EG). Following the World Anti-Doping Agency (WADA) recommendations, there is suspicion of T misuse when the ratio reaches 4 or beyond. While this marker remains very sensitive and specific, it suffers from large inter-individual variability, with important influence of enzyme polymorphisms. Moreover, use of low dose or topical administration forms makes the screening of endogenous steroids difficult while the detection window no longer suits the doping habit. As reference limits are estimated on the basis of population studies, which encompass inter-individual and inter-ethnic variability, new strategies including individual threshold monitoring and alternative biomarkers were proposed to detect T misuse. The purpose of this study was to evaluate the potential of ultra-high pressure liquid chromatography (UHPLC) coupled with a new generation high resolution quadrupole time-of-flight mass spectrometer (QTOF-MS) to investigate the steroid metabolism after transdermal and oral T administration. An approach was developed to quantify 12 targeted urinary steroids as direct glucuro- and sulfo-conjugated metabolites, allowing the conservation of the phase II metabolism information, reflecting genetic and environmental influences. The UHPLC-QTOF-MS(E) platform was applied to clinical study samples from 19 healthy male volunteers, having different genotypes for the UGT2B17 enzyme responsible for the glucuroconjugation of T. Based on reference population ranges, none of the traditional markers of T misuse could detect doping after topical administration of T, while the detection window was short after oral TU ingestion. The detection ability of the 12 targeted steroids was thus evaluated by using individual thresholds following both transdermal and oral administration. Other relevant biomarkers and minor metabolites were studied for complementary information to the steroid profile, including sulfoconjugated analytes and hydroxy forms of glucuroconjugated metabolites. While sulfoconjugated steroids may provide helpful screening information for individuals with homozygotous UGT2B17 deletion, hydroxy-glucuroconjugated analytes could enhance the detection window of oral T undecanoate (TU) doping.

Optimization strategies for fast detection of positive selection on phylogenetic trees.

MOTIVATION: The detection of positive selection is widely used to study gene and genome evolution, but its application remains limited by the high computational cost of existing implementations. We present a series of computational optimizations for more efficient estimation of the likelihood function on large-scale phylogenetic problems. We illustrate our approach using the branch-site model of codon evolution. RESULTS: We introduce novel optimization techniques that substantially outperform both CodeML from the PAML package and our previously optimized sequential version SlimCodeML. These techniques can also be applied to other likelihood-based phylogeny software. Our implementation scales well for large numbers of codons and/or species. It can therefore analyse substantially larger datasets than CodeML. We evaluated FastCodeML on different platforms and measured average sequential speedups of FastCodeML (single-threaded) versus CodeML of up to 5.8, average speedups of FastCodeML (multi-threaded) versus CodeML on a single node (shared memory) of up to 36.9 for 12 CPU cores, and average speedups of the distributed FastCodeML versus CodeML of up to 170.9 on eight nodes (96 CPU cores in total).Availability and implementation: ftp://ftp.vital-it.ch/tools/FastCodeML/. CONTACT: selectome@unil.ch or nicolas.salamin@unil.ch.

Public health impact of statin prescribing strategies based on JUPITER Modeling study from a population-based study.

OBJECTIVE: To evaluate the public health impact of statin prescribing strategies based on the Justification for the Use of Statins in Primary Prevention: An Intervention Trial Evaluating Rosuvastatin Study (JUPITER). METHODS: We studied 2268 adults aged 35-75 without cardiovascular disease in a population-based study in Switzerland in 2003-2006. We assessed the eligibility for statins according to the Adult Treatment Panel III (ATPIII) guidelines, and by adding "strict" (hs-CRP≥2.0mg/L and LDL-cholesterol <3.4mmol/L), and "extended" (hs-CRP≥2.0mg/L alone) JUPITER-like criteria. We estimated the proportion of CHD deaths potentially prevented over 10years in the Swiss population. RESULTS: Fifteen % were already taking statins, 42% were eligible by ATPIII guidelines, 53% by adding "strict", and 62% by adding "extended" criteria, with a total of 19% newly eligible. The number needed to treat with statins to avoid one CHD death over 10years was 38 for ATPIII, 84 for "strict" and 92 for "extended" JUPITER-like criteria. ATPIII would prevent 17% of CHD deaths, compared with 20% for ATPIII+"strict" and 23% for ATPIII + "extended" criteria (+6%). CONCLUSION: Implementing JUPITER-like strategies would make statin prescribing for primary prevention more common and less efficient than it is with current guidelines.

Stratégies destinées a optimiser l'utilisation des antibiotiques en réanimation [Strategies targeted at optimising antimicrobial therapy in critically ill patients]

Antibiotics are widely used in critical care and adequate empirical treatments has a significant impact on the outcome of many patients. Most nosocomial infections may be due to multidrug-resistant pathogens and requires empirical borad spectrum coverage before identification of the etiologic agents. This is associated with overuse of antibiotics which contributes to the further increase in multidrug-resistances. In this context, new strategies targeted at antibiotic control, such as guidelines and de-escalation are needed to control this evolution.

A connectome-based comparison of diffusion MRI schemes.

Diffusion MRI has evolved towards an important clinical diagnostic and research tool. Though clinical routine is using mainly diffusion weighted and tensor imaging approaches, Q-ball imaging and diffusion spectrum imaging techniques have become more widely available. They are frequently used in research-oriented investigations in particular those aiming at measuring brain network connectivity. In this work, we aim at assessing the dependency of connectivity measurements on various diffusion encoding schemes in combination with appropriate data modeling. We process and compare the structural connection matrices computed from several diffusion encoding schemes, including diffusion tensor imaging, q-ball imaging and high angular resolution schemes, such as diffusion spectrum imaging with a publically available processing pipeline for data reconstruction, tracking and visualization of diffusion MR imaging. The results indicate that the high angular resolution schemes maximize the number of obtained connections when applying identical processing strategies to the different diffusion schemes. Compared to the conventional diffusion tensor imaging, the added connectivity is mainly found for pathways in the 50-100mm range, corresponding to neighboring association fibers and long-range associative, striatal and commissural fiber pathways. The analysis of the major associative fiber tracts of the brain reveals striking differences between the applied diffusion schemes. More complex data modeling techniques (beyond tensor model) are recommended 1) if the tracts of interest run through large fiber crossings such as the centrum semi-ovale, or 2) if non-dominant fiber populations, e.g. the neighboring association fibers are the subject of investigation. An important finding of the study is that since the ground truth sensitivity and specificity is not known, the comparability between results arising from different strategies in data reconstruction and/or tracking becomes implausible to understand.

Improved SNR efficiency in gradient echo coronary MRA with high temporal resolution using parallel imaging.

Contemporary coronary magnetic resonance angiography techniques suffer from signal-to-noise ratio (SNR) constraints. We propose a method to enhance SNR in gradient echo coronary magnetic resonance angiography by using sensitivity encoding (SENSE). While the use of sensitivity encoding to improve SNR seems counterintuitive, it can be exploited by reducing the number of radiofrequency excitations during the acquisition window while lowering the signal readout bandwidth, therefore improving the radiofrequency receive to radiofrequency transmit duty cycle. Under certain conditions, this leads to improved SNR. The use of sensitivity encoding for improved SNR in three-dimensional coronary magnetic resonance angiography is investigated using numerical simulations and an in vitro and an in vivo study. A maximum 55% SNR enhancement for coronary magnetic resonance angiography was found both in vitro and in vivo, which is well consistent with the numerical simulations. This method is most suitable for spoiled gradient echo coronary magnetic resonance angiography in which a high temporal and spatial resolution is required.

Pasture characteristics of Italian ryegrass and milk production under different management strategies

The objective of this work was to assess the effects of the sward structure of Italian ryegrass (Lolium multiflorum), during the first grazing cycle, on its morphological and bromatological characteristics throughout the growing season, and on the performance of dairy cows. The treatments consisted of two structures obtained as a function of canopy-light interception: high-light interception (HLI) and low-light interception (LLI), with different pre-grazing heights in the first grazing cycle. Pasture was managed under rotational grazing with a herbage allowance not below 30 kg dry matter (DM) per cow per day. Three grazing cycles, with a grazing interval of 30 days, were evaluated. Pre-grazing herbage mass was greater (2,240 vs. 1,656 kg ha-1 DM), but the proportion of leaf blades was smaller (0.35 vs. 0.43) for HLI swards. Neutral detergent fiber (NDF) content and organic matter digestibility (OMD) were similar between treatments in the first grazing cycle, but in the second and third ones NDF was greater, and OMD lower, for the HLI swards. Milk yields were greater for cows grazing LLI swards (19.4 vs. 21.1 kg per day). Initial grazing with 90% of light interception promotes greater nutritional value in the subsequent cycles.

Mixed spectral-structural classification of very high resolution images with summation kernels

In this paper, mixed spectral-structural kernel machines are proposed for the classification of very-high resolution images. The simultaneous use of multispectral and structural features (computed using morphological filters) allows a significant increase in classification accuracy of remote sensing images. Subsequently, weighted summation kernel support vector machines are proposed and applied in order to take into account the multiscale nature of the scene considered. Such classifiers use the Mercer property of kernel matrices to compute a new kernel matrix accounting simultaneously for two scale parameters. Tests on a Zurich QuickBird image show the relevance of the proposed method : using the mixed spectral-structural features, the classification accuracy increases of about 5%, achieving a Kappa index of 0.97. The multikernel approach proposed provide an overall accuracy of 98.90% with related Kappa index of 0.985.

Prediction of soil orders with high spatial resolution: response of different classifiers to sampling density

The objective of this work was to evaluate sampling density on the prediction accuracy of soil orders, with high spatial resolution, in a viticultural zone of Serra Gaúcha, Southern Brazil. A digital elevation model (DEM), a cartographic base, a conventional soil map, and the Idrisi software were used. Seven predictor variables were calculated and read along with soil classes in randomly distributed points, with sampling densities of 0.5, 1, 1.5, 2, and 4 points per hectare. Data were used to train a decision tree (Gini) and three artificial neural networks: adaptive resonance theory, fuzzy ARTMap; self‑organizing map, SOM; and multi‑layer perceptron, MLP. Estimated maps were compared with the conventional soil map to calculate omission and commission errors, overall accuracy, and quantity and allocation disagreement. The decision tree was less sensitive to sampling density and had the highest accuracy and consistence. The SOM was the less sensitive and most consistent network. The MLP had a critical minimum and showed high inconsistency, whereas fuzzy ARTMap was more sensitive and less accurate. Results indicate that sampling densities used in conventional soil surveys can serve as a reference to predict soil orders in Serra Gaúcha.

Studies toward new anti-cancer strategies based on alpha-mannosidase inhibition.

Changes in the glycosylation pattern of cellular glycoproteins constitute a hallmark in human cancer and influence tumor progression, suggesting that inhibitors of selected glycosidases may control cancer progression. Following the studies on swainsonine, a natural inhibitor of Golgi alpha-mannosidase II, which highlighted the inhibition of cellular mannosidases as a potential innovative approach for the treatment of cancer, several dihydroxylated pyrrolidines and analogues were developed as new potent inhibitors of alpha-mannosidases II able to induce antiproliferative effects in human cancer cells.