Optimal dividend strategies for a compound Poisson risk process under transaction costs and power utility

We characterize the value function of maximizing the total discounted utility of dividend payments for a compound Poisson insurance risk model when strictly positive transaction costs are included, leading to an impulse control problem. We illustrate that well known simple strategies can be optimal in the case of exponential claim amounts. Finally we develop a numerical procedure to deal with general claim amount distributions.

Right ventromedial and dorsolateral prefrontal cortices mediate adaptive decisions under ambiguity by integrating choice utility and outcome evaluation.

The Iowa gambling task (IGT) is one of the most influential behavioral paradigms in reward-related decision making and has been, most notably, associated with ventromedial prefrontal cortex function. However, performance in the IGT relies on a complex set of cognitive subprocesses, in particular integrating information about the outcome of choices into a continuously updated decision strategy under ambiguous conditions. The complexity of the task has made it difficult for neuroimaging studies to disentangle the underlying neurocognitive processes. In this study, we used functional magnetic resonance imaging in combination with a novel adaptation of the task, which allowed us to examine separately activation associated with the moment of decision or the evaluation of decision outcomes. Importantly, using whole-brain regression analyses with individual performance, in combination with the choice/outcome history of individual subjects, we aimed to identify the neural overlap between areas that are involved in the evaluation of outcomes and in the progressive discrimination of the relative value of available choice options, thus mapping the two fundamental cognitive processes that lead to adaptive decision making. We show that activation in right ventromedial and dorsolateral prefrontal cortex was predictive of adaptive performance, in both discriminating disadvantageous from advantageous decisions and confirming negative decision outcomes. We propose that these two prefrontal areas mediate shifting away from disadvantageous choices through their sensitivity to accumulating negative outcomes. These findings provide functional evidence of the underlying processes by which these prefrontal subregions drive adaptive choice in the task, namely through contingency-sensitive outcome evaluation.

Mutational activation of niche-specific genes provides insight into regulatory networks and bacterial function in a complex environment

The genome of the plant-colonizing bacterium Pseudomonas fluorescens SBW25 harbors a subset of genes that are expressed specifically on plant surfaces. The function of these genes is central to the ecological success of SBW25, but their study poses significant challenges because no phenotype is discernable in vitro. Here, we describe a genetic strategy with general utility that combines suppressor analysis with IVET (SPyVET) and provides a means of identifying regulators of niche-specific genes. Central to this strategy are strains carrying operon fusions between plant environment-induced loci (EIL) and promoterless 'dapB. These strains are prototrophic in the plant environment but auxotrophic on laboratory minimal medium. Regulatory elements were identified by transposon mutagenesis and selection for prototrophs on minimal medium. Approximately 106 mutants were screened for each of 27 strains carrying 'dapB fusions to plant EIL and the insertion point for the transposon determined in approximately 2,000 putative regulator mutants. Regulators were functionally characterized and used to provide insight into EIL phenotypes. For one strain carrying a fusion to the cellulose-encoding wss operon, five different regulators were identified including a diguanylate cyclase, the flagella activator, FleQ, and alginate activator, AmrZ (AlgZ). Further rounds of suppressor analysis, possible by virtue of the SPyVET strategy, revealed an additional two regulators including the activator AlgR, and allowed the regulatory connections to be determined.

Enhancing and diminishing gene function in human embryonic stem cells

It is widely recognized that gain- and loss-of-function approaches are essential for understanding the functions of specific genes, and such approaches would be particularly valuable in studies involving human embryonic stem (hES) cells. We describe a simple and efficient approach using lipofection to transfect hES cells, which enabled us to generate hES cell lines expressing naturally fluorescent green or red proteins without affecting cell pluripotency. We used these cell lines to establish a means of diminishing gene function using small interfering (si)RNAs, which were effective at knocking down gene expression in hES cells. We then demonstrated that stable expression of siRNA could knock down the expression of endogenous genes. Application of these gain- and loss-of-function approaches should have widespread use, not only in revealing the developmental roles of specific human genes, but also for their utility in modulating differentiation.

On the differentiability of the consumer demand function

For strictly quasi concave differentiable utility functions, demand is shown to be differentiable almost everywhere if marginal utilities are pointwise Lipschitzian. For concave utility functions, demand is differentiable almost everywhere in the case of differentiable additively separable utility or in the case of quasi-linear utility.

Dynamic hedging with stocastic differential utility

In this paper we study the dynamic hedging problem using three different utility specifications: stochastic differential utility, terminal wealth utility, and we propose a particular utility transformation connecting both previous approaches. In all cases, we assume Markovian prices. Stochastic differential utility, SDU, impacts the pure hedging demand ambiguously, but decreases the pure speculative demand, because risk aversion increases. We also show that consumption decision is, in some sense, independent of hedging decision. With terminal wealth utility, we derive a general and compact hedging formula, which nests as special all cases studied in Duffie and Jackson (1990). We then show how to obtain their formulas. With the third approach we find a compact formula for hedging, which makes the second-type utility framework a particular case, and show that the pure hedging demand is not impacted by this specification. In addition, with CRRA- and CARA-type utilities, the risk aversion increases and, consequently the pure speculative demand decreases. If futures price are martingales, then the transformation plays no role in determining the hedging allocation. We also derive the relevant Bellman equation for each case, using semigroup techniques.

Collateral or utility penalties ?

In a two-period economy with incomplete markets and possibility of default we consider the two classical ways to enforce the honor of financial commitments: by using utility penalties and by using collateral requirements that borrowers have to fulfill. Firstly, we prove that any equilibrium in an economy with collateral requirements is also equilibrium in a non-collateralized economy where each agent is penalized (rewarded) in his utility if his delivery rate is lower (greater) than the payment rate of the financial market. Secondly, we prove the converse: any equilibrium in an economy with utility penalties is also equilibrium in a collateralized economy. For this to be true the payoff function and initial endowments of the agents must be modified in a quite natural way. Finally, we prove that the equilibrium in the economy with collateral requirements attains the same welfare as in the new economy with utility penalties.

Options listing and the volatility of the underlying asset: a study on the derivative market function

Os mercados de derivativos são vistos com muita desconfiança por inúmeras pessoas. O trabalho analisa o efeito da introdução de opções sobre ações no mercado brasileiro buscando identificar uma outra justificativa para a existência destes mercados: a alteração no nível de risco dos ativos objetos destas opções. A evidência empírica encontrada neste mercado está de acordo com os resultados obtidos em outros mercados - a introdução de opções é benéfica para o investidor posto que reduz a volatilidade do ativo objeto. Existe também uma tênue indicação de que a volatilidade se torna mais estocástica com a introdução das opções.

The structural origin and biological function of pH-sensitivity in firefly luciferases

Firefly luciferases are called pH-sensitive because their bioluminescence spectra display a typical red-shift at acidic pH, higher temperatures, and in the presence of heavy metal cations, whereas other beetle luciferases (click beetles and railroadworms) do not, and for this reason they are called pH-insensitive. Despite many studies on firefly luciferases, the origin of pH-sensitivity is far from being understood. This subject is revised in view of recent results. Some substitutions of amino-acid residues influencing pH-sensitivity in firefly luciferases have been identified. Sequence comparison, site-directed mutagenesis and modeling studies have shown a set of residues differing between pH-sensitive and pH-insensitive luciferases which affect bioluminescence colors. Some substitutions dramatically affecting bioluminescence colors in both groups of luciferases are clustered in the loop between residues 223-235 (Photinus pyralis sequence). A network of hydrogen bonds and salt bridges involving the residues N229-S284-E311-R337 was found to be important for affecting bioluminescence colors. It is suggested that these structural elements may affect the benzothiazolyl side of the luciferin-binding site affecting bioluminescence colors. Experimental evidence suggest that the residual red light emission in pH-sensitive luciferases could be a vestige that may have biological importance in some firefly species. Furthermore, the potential utility of pH-sensitivity for intracellular biosensing applications is considered. © The Royal Society of Chemistry and Owner Societies.

J/psi production as a function of charged particle multiplicity in pp collisions at root s=7 TeV

The ALICE Collaboration reports the measurement of the relative J/psi yield as a function of charged particle pseudorapidity density dN(ch)/d eta in pp collisions at root s = 7 TeV at the LHC. J/psi particles are detected for p(t) > 0, in the rapidity interval vertical bar y vertical bar < 0.9 via decay into e(+)e(-), and in the interval 2.5 < y < 4.0 via decay into mu(+)/mu(-) pairs. An approximately linear increase of the J/psi yields normalized to their event average (dN(J/psi)/dy)/(dN(J/psi)/dy) with (dN(ch)/c eta)/(dN(ch)/d eta) is observed in both rapidity ranges, where dN(ch)/d eta is measured within vertical bar eta vertical bar < 1 and p(t) > 0. In the highest multiplicity interval with (dN(ch)/d eta)(bin)) = 24.1, corresponding to four times the minimum bias multiplicity density, an enhancement relative to the minimum bias J/psi yield by a factor of about 5 at 2.5 < y <4 (8 at vertical bar y vertical bar < 0.9) is observed. (C) 2012 CERN. Published by Elsevier B.V. All rights reserved.

Variability of lung function predicts loss of asthma control following withdrawal of inhaled corticosteroid treatment

BACKGROUND One aspect of a multidimensional approach to understanding asthma as a complex dynamic disease is to study how lung function varies with time. Variability measures of lung function have been shown to predict response to beta(2)-agonist treatment. An investigation was conducted to determine whether mean, coefficient of variation (CV) or autocorrelation, a measure of short-term memory, of peak expiratory flow (PEF) could predict loss of asthma control following withdrawal of regular inhaled corticosteroid (ICS) treatment, using data from a previous study. METHODS 87 adult patients with mild to moderate asthma who had been taking ICS at a constant dose for at least 6 months were monitored for 2-4 weeks. ICS was then withdrawn and monitoring continued until loss of control occurred as per predefined criteria. Twice-daily PEF was recorded during monitoring. Associations between loss of control and mean, CV and autocorrelation of morning PEF within 2 weeks pre- and post-ICS withdrawal were assessed using Cox regression analysis. Predictive utility was assessed using receiver operator characteristics. RESULTS 53 out of 87 patients had sufficient PEF data over the required analysis period. The mean (389 vs 370 l/min, p<0.0001) and CV (4.5% vs 5.6%, p=0.007) but not autocorrelation of PEF changed significantly from prewithdrawal to postwithdrawal in subjects who subsequently lost control, and were unaltered in those who did not. These changes were related to time to loss of control. CV was the most consistent predictor, with similar sensitivity and sensitivity to exhaled nitric oxide. CONCLUSION A simple, easy to obtain variability measure of daily lung function such as the CV may predict loss of asthma control within the first 2 weeks of ICS withdrawal.

ON THE MERITS OF VOXEL-BASED MORPHOMETRIC PATH-ANALYSIS FOR INVESTIGATING VOLUMETRIC MEDIATION OF A TOXICANT'S INFLUENCE ON COGNITIVE FUNCTION

We previously showed that lifetime cumulative lead dose, measured as lead concentration in the tibia bone by X-ray fluorescence, was associated with persistent and progressive declines in cognitive function and with decreases in MRI-based brain volumes in former lead workers. Moreover, larger region-specific brain volumes were associated with better cognitive function. These findings motivated us to explore a novel application of path analysis to evaluate effect mediation. Voxel-wise path analysis, at face value, represents the natural evolution of voxel-based morphometry methods to answer questions of mediation. Application of these methods to the former lead worker data demonstrated potential limitations in this approach where there was a tendency for results to be strongly biased towards the null hypothesis (lack of mediation). Moreover, a complimentary analysis using anatomically-derived regions of interest volumes yielded opposing results, suggesting evidence of mediation. Specifically, in the ROI-based approach, there was evidence that the association of tibia lead with function in three cognitive domains was mediated through the volumes of total brain, frontal gray matter, and/or possibly cingulate. A simulation study was conducted to investigate whether the voxel-wise results arose from an absence of localized mediation, or more subtle defects in the methodology. The simulation results showed the same null bias evidenced as seen in the lead workers data. Both the lead worker data results and the simulation study suggest that a null-bias in voxel-wise path analysis limits its inferential utility for producing confirmatory results.

Health of farmed fish: its relation to fish welfare and its utility as welfare indicator

This brief review focuses on health and biological function as cornerstones of fish welfare. From the function-based point of view, good welfare is reflected in the ability of the animal to cope with infectious and non-infectious stressors, thereby maintaining homeostasis and good health, whereas stressful husbandry conditions and protracted suffering will lead to the loss of the coping ability and, thus, to impaired health. In the first part of the review, the physiological processes through which stressful husbandry conditions modulate health of farmed fish are examined. If fish are subjected to unfavourable husbandry conditions, the resulting disruption of internal homeostasis necessitates energy-demanding physiological adjustments (allostasis/acclimation). The ensuing energy drain leads to trade-offs with other energy-demanding processes such as the functioning of the primary epithelial barriers (gut, skin, gills) and the immune system. Understanding of the relation between husbandry conditions, allostatic responses and fish health provides the basis for the second theme developed in this review, the potential use of biological function and health parameters as operational welfare indicators (OWIs). Advantages of function- and health-related parameters are that they are relatively straightforward to recognize and to measure and are routinely monitored in most aquaculture units, thereby providing feasible tools to assess fish welfare under practical farming conditions. As the efforts to improve fish welfare and environmental sustainability lead to increasingly diverse solutions, in particular integrated production, it is imperative that we have objective OWIs to compare with other production forms, such as high-density aquaculture. However, to receive the necessary acceptance for legislation, more robust scientific backing of the health- and function-related OWIs is urgently needed.

Ventilation/perfusion SPECT or SPECT/CT for lung function imaging in patients with pulmonary emphysema?

PURPOSE To evaluate the utility of attenuation correction (AC) of V/P SPECT images for patients with pulmonary emphysema. MATERIALS AND METHODS Twenty-one patients (mean age 67.6 years) with pulmonary emphysema who underwent V/P SPECT/CT were included. AC/non-AC V/P SPECT images were compared visually and semiquantitatively. Visual comparison of AC/non-AC images was based on a 5-point likert scale. Semiquantitative comparison assessed absolute counts per lung (aCpLu) and lung lobe (aCpLo) for AC/non-AC images using software-based analysis; percentage counts (PC = (aCpLo/aCpLu) × 100) were calculated. Correlation between AC/non-AC V/P SPECT images was analyzed using Spearman's rho correlation coefficient; differences were tested for significance with the Wilcoxon rank sum test. RESULTS Visual analysis revealed high conformity for AC and non-AC V/P SPECT images. Semiquantitative analysis of PC in AC/non-AC images had an excellent correlation and showed no significant differences in perfusion (ρ = 0.986) or ventilation (ρ = 0.979, p = 0.809) SPECT/CT images. CONCLUSION AC of V/P SPECT images for lung lobe-based function imaging in patients with pulmonary emphysema do not improve visual or semiquantitative image analysis.

The Problem with Utility: Towards a Non-Consequentialist / Utility Theory Synthesis

I develop the argument that our current decision-making framework, utility theory, when used by itself, is 1) descriptively incomplete, 2) theoretically flawed, and 2) ethically questionable. In response, I offer an exploratory framework that incorporates both consequentialist and non-consequentialist motivations. Adding a commitment function provides a synthesis which remedies the problems associated with the sole use of utility theory. Finally, I show how philosophers Immanuel Kant, W.D. Ross, and Martin Buber provide an ethical basis for the framework.