The relationship of capitalization period length with market portfolio composition and betas

Beta coefficients are not stable if we modify the observation periods of the returns. The market portfolio composition also varies, whereas changes in the betas are the same, whether they are calculated as regression coefficients or as a ratio of the risk premiums. The instantaneous beta, obtained when the capitalization frequency approaches infinity, may be a useful tool in portfolio selection.

Discrete analysis of dividend payments in a non-life insurance portfolio

The process of free reserves in a non-life insurance portfolio as defined in the classical model of risk theory is modified by the introduction of dividend policies that set maximum levels for the accumulation of reserves. The first part of the work formulates the quantification of the dividend payments via the expectation of their current value under diferent hypotheses. The second part presents a solution based on a system of linear equations for discrete dividend payments in the case of a constant dividend barrier, illustrated by solving a specific case.

The aggregate claims distribution of a life insurance portfolio with a pairwise positive dependence structure

The individual life model has always been considered as the one closest to the real situation of the total claims of a life insurance portfolio. It only makes the ¿nearly inevitable assumption¿ of independence of the lifelenghts of insured persons in the portfolio. Many clinical studies, however, have demonstrated positive dependence of paired lives such as husband and wife. In our opinion, it won¿t be unrealistic expecting a considerable number of married couples in any life insurance portfolio (e.g. life insurance contracts formalized at the time of signing a mortatge) and these dependences materially increase the values for the stop-loss premiums associated to the aggregate claims of the portfolio. Since the stop-loss order is the order followed by any risk averse decison maker, the simplifying hypothesis of independence constitute a real financial danger for the company, in the sense that most of their decisions are based on the aggregated claims distribution. In this paper, we will determine approximations for the distribution of the aggregate claims of a life insurance portfolio with some married couples and we will describe how to make safe decisions when we don¿t know exactly the dependence structure between the risks in each couple. Results in this paper are partly based on results in Dhaene and Goovaerts (1997)

Three essays in financial economics: asset pricing, optimal portfolio selection and financial integration

Executive Summary The unifying theme of this thesis is the pursuit of a satisfactory ways to quantify the riskureward trade-off in financial economics. First in the context of a general asset pricing model, then across models and finally across country borders. The guiding principle in that pursuit was to seek innovative solutions by combining ideas from different fields in economics and broad scientific research. For example, in the first part of this thesis we sought a fruitful application of strong existence results in utility theory to topics in asset pricing. In the second part we implement an idea from the field of fuzzy set theory to the optimal portfolio selection problem, while the third part of this thesis is to the best of our knowledge, the first empirical application of some general results in asset pricing in incomplete markets to the important topic of measurement of financial integration. While the first two parts of this thesis effectively combine well-known ways to quantify the risk-reward trade-offs the third one can be viewed as an empirical verification of the usefulness of the so-called "good deal bounds" theory in designing risk-sensitive pricing bounds. Chapter 1 develops a discrete-time asset pricing model, based on a novel ordinally equivalent representation of recursive utility. To the best of our knowledge, we are the first to use a member of a novel class of recursive utility generators to construct a representative agent model to address some long-lasting issues in asset pricing. Applying strong representation results allows us to show that the model features countercyclical risk premia, for both consumption and financial risk, together with low and procyclical risk free rate. As the recursive utility used nests as a special case the well-known time-state separable utility, all results nest the corresponding ones from the standard model and thus shed light on its well-known shortcomings. The empirical investigation to support these theoretical results, however, showed that as long as one resorts to econometric methods based on approximating conditional moments with unconditional ones, it is not possible to distinguish the model we propose from the standard one. Chapter 2 is a join work with Sergei Sontchik. There we provide theoretical and empirical motivation for aggregation of performance measures. The main idea is that as it makes sense to apply several performance measures ex-post, it also makes sense to base optimal portfolio selection on ex-ante maximization of as many possible performance measures as desired. We thus offer a concrete algorithm for optimal portfolio selection via ex-ante optimization over different horizons of several risk-return trade-offs simultaneously. An empirical application of that algorithm, using seven popular performance measures, suggests that realized returns feature better distributional characteristics relative to those of realized returns from portfolio strategies optimal with respect to single performance measures. When comparing the distributions of realized returns we used two partial risk-reward orderings first and second order stochastic dominance. We first used the Kolmogorov Smirnov test to determine if the two distributions are indeed different, which combined with a visual inspection allowed us to demonstrate that the way we propose to aggregate performance measures leads to portfolio realized returns that first order stochastically dominate the ones that result from optimization only with respect to, for example, Treynor ratio and Jensen's alpha. We checked for second order stochastic dominance via point wise comparison of the so-called absolute Lorenz curve, or the sequence of expected shortfalls for a range of quantiles. As soon as the plot of the absolute Lorenz curve for the aggregated performance measures was above the one corresponding to each individual measure, we were tempted to conclude that the algorithm we propose leads to portfolio returns distribution that second order stochastically dominates virtually all performance measures considered. Chapter 3 proposes a measure of financial integration, based on recent advances in asset pricing in incomplete markets. Given a base market (a set of traded assets) and an index of another market, we propose to measure financial integration through time by the size of the spread between the pricing bounds of the market index, relative to the base market. The bigger the spread around country index A, viewed from market B, the less integrated markets A and B are. We investigate the presence of structural breaks in the size of the spread for EMU member country indices before and after the introduction of the Euro. We find evidence that both the level and the volatility of our financial integration measure increased after the introduction of the Euro. That counterintuitive result suggests the presence of an inherent weakness in the attempt to measure financial integration independently of economic fundamentals. Nevertheless, the results about the bounds on the risk free rate appear plausible from the view point of existing economic theory about the impact of integration on interest rates.

The aggregate claims distribution of a life insurance portfolio with a pairwise positive dependence structure

The individual life model has always been considered as the one closest to the real situation of the total claims of a life insurance portfolio. It only makes the ¿nearly inevitable assumption¿ of independence of the lifelenghts of insured persons in the portfolio. Many clinical studies, however, have demonstrated positive dependence of paired lives such as husband and wife. In our opinion, it won¿t be unrealistic expecting a considerable number of married couples in any life insurance portfolio (e.g. life insurance contracts formalized at the time of signing a mortatge) and these dependences materially increase the values for the stop-loss premiums associated to the aggregate claims of the portfolio. Since the stop-loss order is the order followed by any risk averse decison maker, the simplifying hypothesis of independence constitute a real financial danger for the company, in the sense that most of their decisions are based on the aggregated claims distribution. In this paper, we will determine approximations for the distribution of the aggregate claims of a life insurance portfolio with some married couples and we will describe how to make safe decisions when we don¿t know exactly the dependence structure between the risks in each couple. Results in this paper are partly based on results in Dhaene and Goovaerts (1997)

The relationship of capitalization period length with market portfolio composition and betas

Beta coefficients are not stable if we modify the observation periods of the returns. The market portfolio composition also varies, whereas changes in the betas are the same, whether they are calculated as regression coefficients or as a ratio of the risk premiums. The instantaneous beta, obtained when the capitalization frequency approaches infinity, may be a useful tool in portfolio selection.

Discrete analysis of dividend payments in a non-life insurance portfolio

The process of free reserves in a non-life insurance portfolio as defined in the classical model of risk theory is modified by the introduction of dividend policies that set maximum levels for the accumulation of reserves. The first part of the work formulates the quantification of the dividend payments via the expectation of their current value under diferent hypotheses. The second part presents a solution based on a system of linear equations for discrete dividend payments in the case of a constant dividend barrier, illustrated by solving a specific case.

[The World's Columbian Exposition. Portfolio of views issued by the Department of photography, C.D. Arnold, chief. Chicago and St. Louis, National Chemigraph Company, 1893, 36 phot., don du marquis Davidsard en 1930]

Donateur : Davidsard (18..-18.. ; marquis)

An index to identify stroke-related vs incidental patent foramen ovale in cryptogenic stroke.

OBJECTIVE: We aimed to create an index to stratify cryptogenic stroke (CS) patients with patent foramen ovale (PFO) by their likelihood that the stroke was related to their PFO. METHODS: Using data from 12 component studies, we used generalized linear mixed models to predict the presence of PFO among patients with CS, and derive a simple index to stratify patients with CS. We estimated the stratum-specific PFO-attributable fraction and stratum-specific stroke/TIA recurrence rates. RESULTS: Variables associated with a PFO in CS patients included younger age, the presence of a cortical stroke on neuroimaging, and the absence of these factors: diabetes, hypertension, smoking, and prior stroke or TIA. The 10-point Risk of Paradoxical Embolism score is calculated from these variables so that the youngest patients with superficial strokes and without vascular risk factors have the highest score. PFO prevalence increased from 23% (95% confidence interval [CI]: 19%-26%) in those with 0 to 3 points to 73% (95% CI: 66%-79%) in those with 9 or 10 points, corresponding to attributable fraction estimates of approximately 0% to 90%. Kaplan-Meier estimated stroke/TIA 2-year recurrence rates decreased from 20% (95% CI: 12%-28%) in the lowest Risk of Paradoxical Embolism score stratum to 2% (95% CI: 0%-4%) in the highest. CONCLUSION: Clinical characteristics identify CS patients who vary markedly in PFO prevalence, reflecting clinically important variation in the probability that a discovered PFO is likely to be stroke-related vs incidental. Patients in strata more likely to have stroke-related PFOs have lower recurrence risk.

Portfolio kliinisen eläinlääketieteen erikoistumiskoulutuksen apuvälineenä

Summary: Professional development portfolio as a tool for veterinarians specializing in small animal diseases, equine diseases and production medicine

Systematic surgical closure of patent foramen ovale in selected patients with cerebrovascular events due to paradoxical embolism. Early results of a preliminary study.

OBJECTIVE: To define therapeutic strategy for management of patients with ischemic stroke due to a high probability of paradoxical embolism through a Patent Foramen Ovale (PFO). METHODS: Since 1988 all consecutive patients with cerebrovascular events and PFO from the Stroke Registry of our population-based primary-care center are prospectively studied and followed. Since 1992, among 118 patients with cryptogenic embolic brain infarct or transient ischemic attack (TIA) and PFO, 32 consecutive patients younger than 60 years who presented at least two of the following criteria were admitted for surgery: history of Valsalva strain before stroke (11); multiple clinical events (13); multiple infarcts on brain Magnetic Resonance Imaging (MRI) (15); atrial septal aneurysm (ASA) (16); large right-to-left shunt (> 50 microbubbles) (12). RESULTS: Operative time 135' +/- 33'. CPB time 34' +/- 14'. Aortic crossclamping time 16' +/- 6'. Post-operative bleeding 485 +/- 170 ml. No homologous blood transfusion required. No neurological, cardiac or renal complications. All patients were followed-up corresponding to a cumulative time of 601 patient-months. This revealed no recurrent vascular events nor silent new brain lesions on brain MRI. Systematic simultaneous contrast Trans Esophageal Echocardiography (TEE)-Trans Cranial Doppler showed a small residual interatrial shunt in two patients. CONCLUSION: Surgical closure of a patent foramen ovale can be accomplished with very low morbidity and reduce efficiently the risk of stroke recurrence. It seems to be the option of choice in selected patients with a higher (> 1.5%/year) risk of stroke recurrence.

Patent foramen ovale in patients with ischaemic stroke of unknown cause: to close? "pro closure" position

There is ample epidemiological and anecdotal evidence that a PFO increases the risk of stroke both in young and elderly patients, although only in a modest way: PFOs are more prevalent in patients with cryptogenic (unexplained) stroke than in healthy subjects, and are more prevalent in cryptogenic stroke than in strokes of other causes. Furthermore, multiple case series confirm an association of paradoxical embolism across a PFO in patients with deep vein thrombosis and/or pulmonary emboli.2. Is stroke recurrence risk in PFO-patients really not elevated when compared to PFO-free patients, as suggested by traditional observational studies? This finding is an epidemiological artifact called "the paradox of recurrence risk research" (Dahabreh & Kent, JAMA 2011) and is due to one (minor) risk factor, such as PFO, being wiped out by other, stronger risk factors in the control population.3. Having identified PFO as a risk factor for a first stroke and probably also for recurrences, we have to treat it, because treating risk factors always has paid off. No one would nowadays question the aggressive treatment of other risk factors of stroke such as hypertension, atrial fibrillation, smoking, or hyperlipidemia.4. In order to be effective, the preventive treatment has to control the risk factor (i.e. close effectively the PFO), and has to have little or no side effects. Both these conditions are now fulfilled thanks to increasing expertise of cardiologists with technically advanced closure devices and solid back up by multidisciplinary stroke teams.5. Closing a PFO does not dispense us from treating other stroke risk factors aggressively, given that these are cumulative with PFO.6. The most frequent reason why patients have a stroke recurrence after PFO closure is not that closure is ineffective, but that the initial stroke etiology is insufficiently investigated and not PFO related, and that the recurrence is due to another mechanism because of poor risk factor control.7. Similarly, the randomized CLOSURE study was negative because a) patients were included who had a low chance that their initial event was due to the PFO, b) patients were selected with a low chance that a PFO-related recurrence would occur, c) there was an unacceptable high rate of closure-related side effects, and d) the number of randomized patients was too small for a prevention trial.8. It is only a question of time until a sufficiently large randomized clinical trial with true PFO-related stroke patients and a high PFO-related recurrence risk will be performed and show the effectiveness of this closure9. PFO being a rather modest risk factor for stroke does not mean we should prevent our patients from getting the best available prevention by the best physicians in the best stroke centers Therefore, a PFO-closure performed by an excellent cardiologist following the recommendation of an expert neurovascular specialist after a thorough workup in a leading stroke center is one of the most effective stroke prevention treatments available in 2011.

Managing Technologies in Research Organization: Framework for Research Surplus Portfolio

Avoimesta innovaatiosta ja innovaatioiden tehokkaasta hyödyntämisestä on tulossa tärkeitä osia yritysten T&K-prosesseihin. Diplomityön tarkoituksena on luoda viitekehys teknologioiden, jotka eivät kuulu yrityksen ydinliiketoimintaan, tehokkaampaan hallinnointiin tutkimusorganisaatiossa. Konstruktiivinen viitekehys on rakennettu pohjautuen aineettomien pääomien johtamisen ja portfolion hallinnoinnin teorioihin. Lisäksi työssä määritellään työkaluja jatekniikoita ylijäämäteknologioiden arviointiin. Uutta ylijäämäteknologioiden portfoliota voidaan hyödyntää hakukoneena, ideapankkina, kommunikaatiotyökaluna tai teknologioiden markkinapaikkana. Sen johtaminen koostuu tietojen dokumentoinnista järjestelmään, teknologioiden arvioinnista ja portfolion päivityksestä ja ylläpidosta.