Explicit ruin formulas for models with dependence among risks

We show that a simple mixing idea allows one to establish a number of explicit formulas for ruin probabilities and related quantities in collective risk models with dependence among claim sizes and among claim inter-occurrence times. Examples include compound Poisson risk models with completely monotone marginal claim size distributions that are dependent according to Archimedean survival copulas as well as renewal risk models with dependent inter-occurrence times.

Neglected risks, financial innovation, and financial fragility

We present a standard model of financial innovation, in which intermediaries engineer securities with cash flows that investors seek, but modify two assumptions. First, investors (and possibly intermediaries) neglect certain unlikely risks. Second, investors demand securities with safe cash flows. Financial intermediaries cater to these preferences and beliefs by engineering securities perceived to be safe but exposed to neglected risks. Because the risks are neglected, security issuance is excessive. As investors eventually recognize these risks, they fly back to safety of traditional securities and markets become fragile, even without leverage, precisely because the volume of new claims is excessive.

Assessing risks of multiple sclerosis therapies.

Over the last two decades, thanks to the discovery of several pharmaceutical agents, multiple sclerosis (MS) has been transformed into a treatable disorder although the degree of therapeutic response may vary considerably. As more medications find their entry into the MS market, a clinician faces a mounting challenge of comparing risk and benefit profiles of various agents in an attempt to find the best treatment approach for each individual patient. In this review, we aim to summarize the available data on safety profiles of available MS therapies while focusing mostly on serious medication specific potential adverse events without discussing the teratogenic potential of each agent (unless there is a black box warning) or hypersensitivity reactions. Our goal is to provide a clinician with guidance on assuring the appropriate safety monitoring for patients treated with one of the agents discussed. We also comment on the future of risk management in MS and discuss possible enhancements to the current model of drug approval process and general strategies to improve the patient safety.

A subsampling approach to estimating the distribution of diversing statistics with application to assessing financial market risks

In this paper we propose a subsampling estimator for the distribution ofstatistics diverging at either known rates when the underlying timeseries in strictly stationary abd strong mixing. Based on our results weprovide a detailed discussion how to estimate extreme order statisticswith dependent data and present two applications to assessing financialmarket risk. Our method performs well in estimating Value at Risk andprovides a superior alternative to Hill's estimator in operationalizingSafety First portofolio selection.

Health investment complementarities under competing risks

Applying the competing--risks model to multi--cause mortality,this paper provides a theoretical and empirical investigation of the positive complementarities that occur between disease--specific policy interventions. We argue that since an individual cannot die twice, competing risks imply that individuals will not waste resources on causes that are not the most immediate, but will make health investments so as to equalize cause--specific mortality. However, equal mortality risk from a variety of diseases does not imply that disease--specific public health interventions are a waste. Rather, a cause--specific intervention produces spillovers to other disease risks, so that the overall reduction in mortality will generally be larger than the direct effect measured on the targeted disease. The assumption that mortality from non--targeted diseases remains the same after a cause--specific intervention under--estimates the true effect of such programs, since the background mortality is also altered as a result of intervention. Analyzing data from one of the most important public health programs ever introduced, the Expanded Program on Immunization (EPI) of the United Nations, we find evidence for the existence of such complementarities, involving causes that are not biomedically, but behaviorally, linked.

What risks do people perceive in everyday life? A perspective gained from the experience sampling method (ESM)

The experiential sampling method (ESM) was used to collect data from 74 parttimestudents who described and assessed the risks involved in their current activitieswhen interrupted at random moments by text messages. The major categories ofperceived risk were short-term in nature and involved loss of time or materials relatedto work and physical damage (e.g., from transportation). Using techniques of multilevelanalysis, we demonstrate effects of gender, emotional state, and types of risk onassessments of risk. Specifically, females do not differ from males in assessing thepotential severity of risks but they see these as more likely to occur. Also, participantsassessed risks to be lower when in more positive self-reported emotional states. Wefurther demonstrate the potential of ESM by showing that risk assessments associatedwith current actions exceed those made retrospectively. We conclude by notingadvantages and disadvantages of ESM for collecting data about risk perceptions.

Health correlates of overweight and obesity in adults aged 50 years and over: results from the Survey of Health, Ageing and Retirement in Europe (SHARE)

QUESTIONS UNDER STUDY: To examine the association between overweight/obesity and several self-reported chronic diseases, symptoms and disability measures. METHODS: Data from eleven European countries participating in the Survey of Health, Ageing and Retirement in Europe were used. 18,584 non-institutionalised individuals aged 50 years and over with BMI > or = 18.5 (kg/m2) were included. BMI was categorized into normal weight (BMI 18.5-24.9), overweight (BMI 25.0-29.9) and obesity (BMI > or = 30). Dependent variables were 13 diagnosed chronic conditions, 11 health complaints, subjective health and physical disability measures. For both genders, multiple logistic regressions were performed adjusting for age, socioeconomic status and behaviour risks. RESULTS: The odds ratios for high blood pressure, high cholesterol, diabetes, arthritis, joint pain and swollen legs were significantly increased for overweight and obese adults. Compared to normal-weight individuals, the odds ratio (OR) for reporting > or = 2 chronic diseases was 2.4 (95% CI 1.9-2.9) for obese men and 2.7 (95% CI 2.2-3.1) for obese women. Overweight and obese women were more likely to report health symptoms. Obesity in men (OR 0.5, 95% CI 0.4-0.6), and overweight (OR 0.5, 95% CI 0.4-0.6) and obesity (OR 0.4, 95% CI 0.3-0.5) in women, were associated with poorer subjective health (i.e. a decreased risk of reporting excellent, very good or good subjective health). Disability outcomes were those showing the greatest differences in strength of association across BMI categories, and between genders. For example, the OR for any difficulty in walking 100 metres was non-significant at 0.8 for overweight men, at 1.9 (95% CI 1.3-2.7) for obese men, at 1.4 (95% CI 1.1-1.8) for overweight women, and at 3.5 (95% CI 2.6-4.7) for obese women. CONCLUSIONS: These results highlight the impact of increased BMI on morbidity and disability. Healthcare stakeholders of the participating countries should be aware of the substantial burden that obesity places on the general health and autonomy of adults aged over 50.

Neglected risks, financial innovation and financial fragility

We present a standard model of financial innovation, in which intermediaries engineer securities with cash flows that investors seek, but modify two assumptions. First, investors (and possibly intermediaries) neglect certain unlikely risks. Second, investors demand securities with safe cash flows. Financial intermediaries cater to these preferences and beliefs by engineering securities perceived to be safe but exposed to neglected risks. Because the risks are neglected, security issuance is excessive. As investors eventually recognize these risks, they fly back to safety of traditional securities and markets become fragile, even without leverage, precisely because the volume of new claims is excessive.

Interaction between tobacco and alcohol use and the risk of head and neck cancer: pooled analysis in the International Head and Neck Cancer Epidemiology Consortium.

BACKGROUND: The magnitude of risk conferred by the interaction between tobacco and alcohol use on the risk of head and neck cancers is not clear because studies have used various methods to quantify the excess head and neck cancer burden. METHODS: We analyzed individual-level pooled data from 17 European and American case-control studies (11,221 cases and 16,168 controls) participating in the International Head and Neck Cancer Epidemiology consortium. We estimated the multiplicative interaction parameter (psi) and population attributable risks (PAR). RESULTS: A greater than multiplicative joint effect between ever tobacco and alcohol use was observed for head and neck cancer risk (psi = 2.15; 95% confidence interval, 1.53-3.04). The PAR for tobacco or alcohol was 72% (95% confidence interval, 61-79%) for head and neck cancer, of which 4% was due to alcohol alone, 33% was due to tobacco alone, and 35% was due to tobacco and alcohol combined. The total PAR differed by subsite (64% for oral cavity cancer, 72% for pharyngeal cancer, 89% for laryngeal cancer), by sex (74% for men, 57% for women), by age (33% for cases <45 years, 73% for cases >60 years), and by region (84% in Europe, 51% in North America, 83% in Latin America). CONCLUSIONS: Our results confirm that the joint effect between tobacco and alcohol use is greater than multiplicative on head and neck cancer risk. However, a substantial proportion of head and neck cancers cannot be attributed to tobacco or alcohol use, particularly for oral cavity cancer and for head and neck cancer among women and among young-onset cases.

Electronic titling: Potential and risks

Initiatives in electronic conveyancing and registration show the potential of new technologies to transform such systems, reducing costs and enhancing legal security. However,they also incur substantial risks of transferring costs and risks among registries, conveyancersand rightholders, instead of reducing them; entrenching the private interests of conveyancers,instead of increasing competition and disintermediating them; modifying the allocation of tasksin a way that leads in the long term to the debasement of registries of rights with indefeasibletitle into mere recordings of deeds; and empowering conveyancers instead of transactors andrightholders, which increases costs and reduces security. Fulfilling the promise of newtechnologies in both costs and security requires strengthening registries incentives andempowering rightholders in their interaction with registries.

Validation procedures in radiological diagnostic models. Neural network and logistic regression

The objective of this paper is to compare the performance of twopredictive radiological models, logistic regression (LR) and neural network (NN), with five different resampling methods. One hundred and sixty-seven patients with proven calvarial lesions as the only known disease were enrolled. Clinical and CT data were used for LR and NN models. Both models were developed with cross validation, leave-one-out and three different bootstrap algorithms. The final results of each model were compared with error rate and the area under receiver operating characteristic curves (Az). The neural network obtained statistically higher Az than LR with cross validation. The remaining resampling validation methods did not reveal statistically significant differences between LR and NN rules. The neural network classifier performs better than the one based on logistic regression. This advantage is well detected by three-fold cross-validation, but remains unnoticed when leave-one-out or bootstrap algorithms are used.

Ruling out coronary heart disease in primary care patients with chest pain: a clinical prediction score.

ABSTRACT: BACKGROUND: Chest pain raises concern for the possibility of coronary heart disease. Scoring methods have been developed to identify coronary heart disease in emergency settings, but not in primary care. METHODS: Data were collected from a multicenter Swiss clinical cohort study including 672 consecutive patients with chest pain, who had visited one of 59 family practitioners' offices. Using delayed diagnosis we derived a prediction rule to rule out coronary heart disease by means of a logistic regression model. Known cardiovascular risk factors, pain characteristics, and physical signs associated with coronary heart disease were explored to develop a clinical score. Patients diagnosed with angina or acute myocardial infarction within the year following their initial visit comprised the coronary heart disease group. RESULTS: The coronary heart disease score was derived from eight variables: age, gender, duration of chest pain from 1 to 60 minutes, substernal chest pain location, pain increases with exertion, absence of tenderness point at palpation, cardiovascular risks factors, and personal history of cardiovascular disease. Area under the receiver operating characteristics curve was of 0.95 with a 95% confidence interval of 0.92; 0.97. From this score, 413 patients were considered as low risk for values of percentile 5 of the coronary heart disease patients. Internal validity was confirmed by bootstrapping. External validation using data from a German cohort (Marburg, n = 774) revealed a receiver operating characteristics curve of 0.75 (95% confidence interval, 0.72; 0.81) with a sensitivity of 85.6% and a specificity of 47.2%. CONCLUSIONS: This score, based only on history and physical examination, is a complementary tool for ruling out coronary heart disease in primary care patients complaining of chest pain.