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.

Risk Measures for Classical and Perturbed Risk Processes - a Survey

2000 Mathematics Subject Classification: 60B10, 60G17, 60G51, 62P05.

Differences Between ""Classical"" Risk Factors for Infections Caused by Methicillin-Resistant Staphylococcus aureus (MRSA) and Risk Factors for Nosocomial Bloodstream Infections Caused by Multiple Clones of the Staphylococcal Cassette Chromosome mec Type IV MRSA Strain

OBJECTIVE. To identify risk factors associated with nosocomial bloodstream infections caused by multiple clones of the staphylococcal cassette chromosome mec (SCCmec) type IV strain of methicillin-resistant Staphylococcus aureus (MRSA). DESIGN. An unmatched case-control study (at a ratio of 1 : 2) performed during the period from October 2002 through September 2003. SETTING. A 2,000-bed tertiary care teaching hospital affiliated with the University of Sao Paulo in Sao Paulo, Brazil. METHODS. Case patients (n = 30) were defined either as patients who had a bloodstream infection due to SCCmec type IV strains of MRSA diagnosed at least 48 hours after hospital admission or as neonates with the infection who were born in the hospital. Control patients (n = 60) were defined as patients with SCCmec type III MRSA infection diagnosed at least 48 hours after hospital admission. Genes n = 60 encoding virulence factors were studied in the isolates recovered from case patients, and molecular typing of the SCCmec type IV MRSA isolates was also done by pulsed-field gel electrophoresis and multilocus sequence typing. RESULTS. In multivariate analysis, the following 3 variables were significantly associated with having a nosocomial bloodstream infection caused by SCCmec type IV strains of MRSA: an age of less than 1 year, less frequent use of a central venous catheter (odds ratio [OR], 0.07 [95% confidence interval {CI}, 0.02-0.28]; P = .001), and female sex. A second analysis was performed that excluded the case and Pp. 001 control patients from the neonatal unit, and, in multivariate analysis, the following variables were significantly associated with having a nosocomial bloodstream infection caused by SCCmec type IV strains of MRSA: less frequent use of a central venous catheter (OR, 0.12 [95% CI, 0.03-0.55]; P = .007), lower Acute Physiology and Chronic Health Evaluation II score on admission (OR, 0.14 [95% CI, 0.03-0.61];), less frequent surgery (OR, 0.21 [95% CI, 0.06-0.83];), and female sex (OR, 5.70 [95% CI, 1.32-24.66]; P =.020). P = .009 Pp. 025 Pp). Of the 29 SCCmec type IV MRSA isolates recovered from case patients, none contained the Panton-Valentine leukocidin, gamma-hemolysin, enterotoxin B or C, or toxic shock syndrome toxin-1. All of the isolates contained genes for the LukE-LukD leukocidin and alpha-hemolysin. Genes for enterotoxin A were present in 1 isolate, and genes for beta-hemolysin were present in 3 isolates. CONCLUSIONS. ""Classical"" risk factors do not apply to patients infected with the SCCmec type IV strain of MRSA, which is an important cause of nosocomial bacteremia. This strain infects a patient population that is less ill and has had less frequent invasive procedures than a patient population infected with the multidrug-resistant strain of SCCmec type III MRSA. We found that virulence factors were rare and that Panton-Valentine leukocidin was absent. There were multiple clones of the SCCmec type IV strain in our hospital. Children under 1 year of age were at a higher risk. There was a predominant clone ( sequence type 5) in this patient population.

A Bootstrap Test for the Probability of Ruin in the Compound Poisson Risk Process

In this article we propose a bootstrap test for the probability of ruin in the compound Poisson risk process. We adopt the P-value approach, which leads to a more complete assessment of the underlying risk than the probability of ruin alone. We provide second-order accurate P-values for this testing problem and consider both parametric and nonparametric estimators of the individual claim amount distribution. Simulation studies show that the suggested bootstrap P-values are very accurate and outperform their analogues based on the asymptotic normal approximation.

Saddlepoint Approximations to the Probability of Ruin in Finite Time for the Compound Poisson Risk Process Perturbed by Diffusion

A large deviations type approximation to the probability of ruin within a finite time for the compound Poisson risk process perturbed by diffusion is derived. This approximation is based on the saddlepoint method and generalizes the approximation for the non-perturbed risk process by Barndorff-Nielsen and Schmidli (Scand Actuar J 1995(2):169–186, 1995). An importance sampling approximation to this probability of ruin is also provided. Numerical illustrations assess the accuracy of the saddlepoint approximation using importance sampling as a benchmark. The relative deviations between saddlepoint approximation and importance sampling are very small, even for extremely small probabilities of ruin. The saddlepoint approximation is however substantially faster to compute.

A III-V channel field effect transistor for non-classical CMOS: process optimisation for improved gate stack function

This thesis describes a collection of studies into the electrical response of a III-V MOS stack comprising metal/GaGdO/GaAs layers as a function of fabrication process variables and the findings of those studies. As a result of this work, areas of improvement in the gate process module of a III-V heterostructure MOSFET were identified. Compared to traditional bulk silicon MOSFET design, one featuring a III-V channel heterostructure with a high-dielectric-constant oxide as the gate insulator provides numerous benefits, for example: the insulator can be made thicker for the same capacitance, the operating voltage can be made lower for the same current output, and improved output characteristics can be achieved without reducing the channel length further. It is known that transistors composed of III-V materials are most susceptible to damage induced by radiation and plasma processing. These devices utilise sub-10 nm gate dielectric films, which are prone to contamination, degradation and damage. Therefore, throughout the course of this work, process damage and contamination issues, as well as various techniques to mitigate or prevent those have been investigated through comparative studies of III-V MOS capacitors and transistors comprising various forms of metal gates, various thicknesses of GaGdO dielectric, and a number of GaAs-based semiconductor layer structures. Transistors which were fabricated before this work commenced, showed problems with threshold voltage control. Specifically, MOSFETs designed for normally-off (VTH > 0) operation exhibited below-zero threshold voltages. With the results obtained during this work, it was possible to gain an understanding of why the transistor threshold voltage shifts as the gate length decreases and of what pulls the threshold voltage downwards preventing normally-off device operation. Two main culprits for the negative VTH shift were found. The first was radiation damage induced by the gate metal deposition process, which can be prevented by slowing down the deposition rate. The second was the layer of gold added on top of platinum in the gate metal stack which reduces the effective work function of the whole gate due to its electronegativity properties. Since the device was designed for a platinum-only gate, this could explain the below zero VTH. This could be prevented either by using a platinum-only gate, or by matching the layer structure design and the actual gate metal used for the future devices. Post-metallisation thermal anneal was shown to mitigate both these effects. However, if post-metallisation annealing is used, care should be taken to ensure it is performed before the ohmic contacts are formed as the thermal treatment was shown to degrade the source/drain contacts. In addition, the programme of studies this thesis describes, also found that if the gate contact is deposited before the source/drain contacts, it causes a shift in threshold voltage towards negative values as the gate length decreases, because the ohmic contact anneal process affects the properties of the underlying material differently depending on whether it is covered with the gate metal or not. In terms of surface contamination; this work found that it causes device-to-device parameter variation, and a plasma clean is therefore essential. This work also demonstrated that the parasitic capacitances in the system, namely the contact periphery dependent gate-ohmic capacitance, plays a significant role in the total gate capacitance. This is true to such an extent that reducing the distance between the gate and the source/drain ohmic contacts in the device would help with shifting the threshold voltages closely towards the designed values. The findings made available by the collection of experiments performed for this work have two major applications. Firstly, these findings provide useful data in the study of the possible phenomena taking place inside the metal/GaGdO/GaAs layers and interfaces as the result of chemical processes applied to it. In addition, these findings allow recommendations as to how to best approach fabrication of devices utilising these layers.

Estimation of a Regression Function on a Point Process and its Application to Financial Ruin Risk Forecast

2000 Mathematics Subject Classification: Primary 60G55; secondary 60G25.

Time of ruin in a risk model with generalized Erlang (n) interclaim times and a constant dividend barrier

In this paper we analyze the time of ruin in a risk process with the interclaim times being Erlang(n) distributed and a constant dividend barrier. We obtain an integro-differential equation for the Laplace Transform of the time of ruin. Explicit solutions for the moments of the time of ruin are presented when the individual claim amounts have a distribution with rational Laplace transform. Finally, some numerical results and a compare son with the classical risk model, with interclaim times following an exponential distribution, are given.

Time of ruin in a risk model with generalized Erlang (n) interclaim times and a constant dividend barrier

In this paper we analyze the time of ruin in a risk process with the interclaim times being Erlang(n) distributed and a constant dividend barrier. We obtain an integro-differential equation for the Laplace Transform of the time of ruin. Explicit solutions for the moments of the time of ruin are presented when the individual claim amounts have a distribution with rational Laplace transform. Finally, some numerical results and a compare son with the classical risk model, with interclaim times following an exponential distribution, are given.

Properties of a risk measure derived from ruin theory

This paper studies a risk measure inherited from ruin theory and investigates some of its properties. Specifically, we consider a value-at-risk (VaR)-type risk measure defined as the smallest initial capital needed to ensure that the ultimate ruin probability is less than a given level. This VaR-type risk measure turns out to be equivalent to the VaR of the maximal deficit of the ruin process in infinite time. A related Tail-VaR-type risk measure is also discussed.

A value chain approach to animal diseases risk management: technical foundations and practical framework for field application

Classical risk assessment approaches for animal diseases are influenced by the probability of release, exposure and consequences of a hazard affecting a livestock population. Once a pathogen enters into domestic livestock, potential risks of exposure and infection both to animals and people extend through a chain of economic activities related to producing, buying and selling of animals and products. Therefore, in order to understand economic drivers of animal diseases in different ecosystems and to come up with effective and efficient measures to manage disease risks from a country or region, the entire value chain and related markets for animal and product needs to be analysed to come out with practical and cost effective risk management options agreed by actors and players on those value chains. Value chain analysis enriches disease risk assessment providing a framework for interdisciplinary collaboration, which seems to be in increasing demand for problems concerning infectious livestock diseases. The best way to achieve this is to ensure that veterinary epidemiologists and social scientists work together throughout the process at all levels.

Risk factors, biochemical markers, and genetic polymorphisms in early coronary artery disease

OBJECTIVE: To assess the risk factors, lipid and apolipoprotein profile, hemostasis variables, and polymorphisms of the apolipoprotein AI-CIII gene in early coronary artery disease (CAD). METHODS: Case-control study with 112 patients in each group controlled by sex and age. After clinical evaluation and nutritional instruction, blood samples were collected for biochemical assays and genetic study. RESULTS: Familial history of early CAD (64 vs 39%), arterial hypertension (69 vs 36%), diabetes mellitus (25 vs 3%), and previous smoking (71 vs 46%) were more prevalent in the case group (p<0.001). Hypertension and diabetes were independent risk factors. Early CAD was characterized by higher serum levels of total cholesterol (235 ± 6 vs 209 ± 4 mg/dL), of LDL-c (154 ± 5 vs 135 ± 4 mg/dL), triglycerides (205 ± 12 vs 143 ± 9 mg/dL), and apolipoprotein B (129 ± 3 vs 105 ± 3 mg/dL), and lower serum levels of HDL-c (40 ± 1 vs 46 ± 1 mg/dL) and apolipoprotein AI (134 ± 2 vs 146 ± 2mg/dL) [p<0.01], in addition to an elevation in fibrinogen and D-dimer (p<0.02). The simultaneous presence of the rare alleles of the APO AI-CIII genes in early CAD are associated with hypertriglyceridemia (p=0.03). CONCLUSION: Of the classical risk factors, hypertension and diabetes mellitus were independently associated with early CAD. In addition to an unfavorable lipid profile, an increase in the thrombotic risk was identified in this population. An additive effect of the APO AI-CIII genes was observed in triglyceride levels.

Association of Aortic Valve Sclerosis with Previous Coronary Artery Disease and Risk Factors

Background: Aortic valve sclerosis (AVS) is characterized by increased thickness, calcification and stiffness of the aortic leaflets without fusion of the commissures. Several studies show an association between AVS and presence of coronary artery disease. Objective: The aim of this study is to investigate the association between presence of AVS with occurrence of previous coronary artery disease and classical risk factors. Methods: The sample was composed of 2,493 individuals who underwent transthoracic echocardiography between August 2011 and December 2012. The mean age of the cohort was 67.5 ± 15.9 years, and 50.7% were female. Results: The most frequent clinical indication for Doppler echocardiography was the presence of stroke (28.8%), and the most common risk factor was hypertension (60.8%). The most prevalent pathological findings on Doppler echocardiography were mitral valve sclerosis (37.1%) and AVS (36.7%). There was a statistically significant association between AVS with hypertension (p < 0.001), myocardial infarction (p = 0.007), diabetes (p = 0.006) and compromised left ventricular systolic function (p < 0.001). Conclusion: Patients with AVS have higher prevalences of hypertension, stroke, hypercholesterolemia, myocardial infarction, diabetes and compromised left ventricular systolic function when compared with patients without AVS. We conclude that there is an association between presence of AVS with previous coronary artery disease and classical risk factors.

Ruin Theory with Excess of Loss Reinsurance and Reinstatements

The present paper studies the probability of ruin of an insurer, if excess of loss reinsurance with reinstatements is applied. In the setting of the classical Cramer-Lundberg risk model, piecewise deterministic Markov processes are used to describe the free surplus process in this more general situation. It is shown that the finite-time ruin probability is both the solution of a partial integro-differential equation and the fixed point of a contractive integral operator. We exploit the latter representation to develop and implement a recursive algorithm for numerical approximation of the ruin probability that involves high-dimensional integration. Furthermore we study the behavior of the finite-time ruin probability under various levels of initial surplus and security loadings and compare the efficiency of the numerical algorithm with the computational alternative of stochastic simulation of the risk process. (C) 2011 Elsevier Inc. All rights reserved.