Sensitivity Analysis of the Risk of Forecasting for Autoregressive Time Series with Missing Values

2000 Mathematics Subject Classification: 62M20, 62M10, 62-07.

Asset Prices, Business Cycles, and Markov-Perfect Fiscal Policy when Agents are Risk-Sensitive

We study a business cycle model in which a benevolent fiscal authority must determine the optimal provision of government services, while lacking credibility, lump-sum taxes, and the ability to bond finance deficits. Households and the fiscal authority have risk sensitive preferences. We find that outcomes are affected importantly by the household's risk sensitivity, but not by the fiscal authority's. Further, while household risk-sensitivity induces a strong precautionary saving motive, which raises capital and lowers the return on assets, its effects on fluctuations and the business cycle are generally small, although more pronounced for negative shocks. Holding the stochastic steady state constant, increases in household risk-sensitivity lower the risk-free rate and raise the return on equity, increasing the equity premium. Finally, although risk-sensitivity has little effect on the provision of government services, it does cause the fiscal authority to lower the income tax rate. An additional contribution of this paper is to present a method for computing Markov-perfect equilibria in models where private agents and the government are risk-sensitive decisionmakers.

Cash flow and discount rate risk decomposition and ICAPM for the US and brazilian stock markets

Esse trabalho é uma aplicação do modelo intertemporal de apreçamento de ativos desenvolvido por Campbell (1993) e Campbell e Vuolteenaho (2004) para as carteiras de Fama-French 2x3 brasileiras no period de janeiro de 2003 a abril de 2012 e para as carteiras de Fama-French 5x5 americanas em diferentes períodos. As varíaveis sugeridas por Campbell e Vuolteenaho (2004) para prever os excessos de retorno do mercado acionário americano no period de 1929 a 2001 mostraram-se também bons preditores de excesso de retorno para o mercado brasileiro no período recente, com exceção da inclinação da estrutura a termo das taxas de juros. Entretanto, mostramos que um aumento no small stock value spread indica maior excesso de retorno no futuro, comportamento que não é coerente com a explicação para o prêmio de valor sugerida pelo modelo intertemporal. Ainda, utilizando os resíduos do VAR preditivo para definir o risco de choques de fluxo de caixa e de choques nas taxas de desconto das carteiras de teste, verificamos que o modelo intertemporal resultante não explica adequadamente os retornos observados. Para o mercado norte-americano, concluímos que a abilidade das variáveis propostas para explicar os excessos de retorno do mercado varia no tempo. O sucesso de Campbell e Vuolteenaho (2004) em explicar o prêmio de valor para o mercado norte-americano na amostra de 1963 a 2001 é resultado da especificação do VAR na amostra completa, pois mostramos que nenhuma das varíaveis é um preditor de retorno estatisticamente significante nessa sub-amostra.

Predation-risk effects of predator identity on the foraging behaviors of frugivorous bats

Predators directly and indirectly affect the density and the behavior of prey. These effects may potentially cascade down to lower trophic levels. In this study, we tested the effects of predator calls (playbacks of bird vocalizations: Tyto alba, Speotyto cunicularia, and Vanellus chilensis), predator visual stimuli (stuffed birds) and interactions of visual and auditory cues, on the behavior of frugivore phyllostomid bats in the field. In addition, we tested if the effects of predation risk cascade down to other trophic levels by measuring rates of seed dispersal of the tree Muntingia calabura. Using video recording, we found that bats significantly decreased the foraging frequency on trees when a visual cue of T. alba was present. However, no stimuli of potential predatory birds, including vocalization of T. alba, affected bat foraging frequency. There was a change in bat behavior during 7 min, but then their frequency of activity gradually increased. Consequently, the presence of T. alba decreased by up to ten times the rate of seed removal. These results indicate that risk sensitivity of frugivorous phyllostomid bats depends on predator identity and presence. Among the predators used in this study, only T. alba is an effective bat predator in the Neotropics. Sound stimuli of T. alba seem not to be a cue of predation risk, possibly because their vocalizations are used only for intraspecific communication. This study emphasizes the importance of evaluating different predator stimuli on the behavior of vertebrates, as well as the effects of these stimuli on trait-mediated trophic cascades. © 2013 Springer-Verlag Berlin Heidelberg.

A mathematical model for malaria transmission relating global warming and local socioeconomic conditions

OBJECTIVE: Sensitivity analysis was applied to a mathematical model describing malaria transmission relating global warming and local socioeconomic conditions. METHODS: A previous compartment model was proposed to describe the overall transmission of malaria. This model was built up on several parameters and the prevalence of malaria in a community was characterized by the values assigned to them. To assess the control efforts, the model parameters can vary on broad intervals. RESULTS: By performing the sensitivity analysis on equilibrium points, which represent the level of malaria infection in a community, the different possible scenarios are obtained when the parameters are changed. CONCLUSIONS: Depending on malaria risk, the efforts to control its transmission can be guided by a subset of parameters used in the mathematical model.

Is there an advantage to be gained from adding digital image cytometry of brush cytology to a standard biopsy protocol in patients with Barrett's esophagus?

BACKGROUND AND STUDY AIMS: The current gold standard in Barrett's esophagus monitoring consists of four-quadrant biopsies every 1-2 cm in accordance with the Seattle protocol. Adding brush cytology processed by digital image cytometry (DICM) may further increase the detection of patients with Barrett's esophagus who are at risk of neoplasia. The aim of the present study was to assess the additional diagnostic value and accuracy of DICM when added to the standard histological analysis in a cross-sectional multicenter study of patients with Barrett's esophagus in Switzerland. METHODS: One hundred sixty-four patients with Barrett's esophagus underwent 239 endoscopies with biopsy and brush cytology. DICM was carried out on 239 cytology specimens. Measures of the test accuracy of DICM (relative risk, sensitivity, specificity, likelihood ratios) were obtained by dichotomizing the histopathology results (high-grade dysplasia or adenocarcinoma vs. all others) and DICM results (aneuploidy/intermediate pattern vs. diploidy). RESULTS: DICM revealed diploidy in 83% of 239 endoscopies, an intermediate pattern in 8.8%, and aneuploidy in 8.4%. An intermediate DICM result carried a relative risk (RR) of 12 and aneuploidy a RR of 27 for high-grade dysplasia/adenocarcinoma. Adding DICM to the standard biopsy protocol, a pathological cytometry result (aneuploid or intermediate) was found in 25 of 239 endoscopies (11%; 18 patients) with low-risk histology (no high-grade dysplasia or adenocarcinoma). During follow-up of 14 of these 18 patients, histological deterioration was seen in 3 (21%). CONCLUSION: DICM from brush cytology may add important information to a standard biopsy protocol by identifying a subgroup of BE-patients with high-risk cellular abnormalities.

Surgery for unruptured arteriovenous malformations of the brain is better than conservative management for selected cases : a prospective cohort study

Object. The aim of this study was to identify patients who are likely to benefit from surgery for unruptured brain arterriovenous malformations (ubAVMs). Methods. The authors' database was interrogated for the risk and outcome of hemorrhage after referral and the out- come from surgery. Furthermore, the outcome from surgery incorporated those cases excluded from surgery because of perceived greater risk (sensitivity analysis). Finally, a comparison was made for the authors' patients between the natural history and surgery. Data were collected for 427 consecutively enrolled patients with ubAVMs in a database that in- cluded patients who were conservatively managed. Kaplan-Meier analysis was performed on patients observed for more than 1 day to determine the risk of hemorrhage. Variables that may influence the risk of first hemorrhage were assessed using Cox proportional hazard regression models and Kaplan-Meier life table analyses from referral until the first occur- rence of the following: hemorrhage, treatment, or last review. The outcome from surgery (leading to a new permanent neurological deficit with last review modified Rankin Scale [mRS] score > 1) was determined. Further sensitivity analy- sis was made to predict risk from surgery for the total ubAVM cohort by incorporating outcomes of surgical cases as well as cases excluded from surgery because of perceived risk, and assuming an adverse outcome for these excluded cases. Results. A total of 377 patients with a ubAVM were included in the analysis of the risk of hemorrhage. The 5-year risk of hemorrhage for ubAVM was 11.5%. Hemorrhage resulted in an mRS score > 1 in 14 cases (88% [95% CI 63%-98%]). Patients with Spetzler-Ponce Class A ubAVMs treated by surgery (n = 190) had a risk from surgery of 1.6% (95% CI 0.3%-4.8%) for a permanent neurological deficit leading to an mRS score > 1 and 0.5% (95% CI< 0.1%-3.2%) for a permanent neurological deficit leading to an mRS score > 2. Patients with Spetzler-Ponce Class B ubAVMs treated by surgery (n = 107) had a risk from surgery of 14.0% (95% CI 8.6%-22.0%) for a permanent neurological deficit leading to an mRS score > 1. Sensitivity analysis of Spetzler-Ponce Class B ubAVMs, including those in patients excluded from surgery, showed that the true risk for surgically eligible patients may have been as high as 15.6% (95% CI 9.9%-23.7%) for mRS score > 1, had all patients who were perceived to have a greater risk experienced an adverse outcome. Patients with Spetzler-Ponce Class C ubAVMs treated by surgery (n = 44) had a risk from surgery of 38.6% (95% CI 25.7%-53.4%) for a permanent neurological deficit leading to an mRS score >1. Sensitivity analysis of Class C ubAVMs, including those harbored by patients excluded from surgery, showed that the true risk for surgically eligible patients may have been as high as 60.9% (95% CI 49.2%-71.5%) for mRS score > 1, had all patients who were perceived to have a greater risk experienced an adverse outcome. Conclusion. Surgical outcomes for Spetzler-Ponce Class ubAVMs are better than those for conservative management.

Leverage, Volatile Future Earnings Growth and Expected Stock Returns

We provide theory and evidence to complement Choi's [RFS, 2013] important new insights on the returns to equity in `value' firms. We show that higher future earnings growth ameliorates the value-reducing effect of leverage and, because the market for earnings is incomplete, reduces the earnings-risk sensitivity of the default option. Ceteris paribus, a levered firm with low (high) earnings growth is more sensitive to the first (second) of these effects thus generating higher (lower) expected returns. We demonstrate this by modeling equity as an Asian-style call option on net earnings and find significant empirical support for our hypotheses.

Relationship between changes in insulin sensitivity and associated cardiovascular disease risk factors in thiazolidinedione-treated, insulin-resistant, nondiabetic individuals: pioglitazone versus rosiglitazone

This study compared the effects of administering rosiglitazone (RSG) vs pioglitazone (PIO) oil cardiovascular disease risk factors in insulin-resistant. nondiabetic individuals with no apparent disease. Twenty-two nondiabetic, apparently healthy individuals, classified as being insulin resistant oil the basis of a steady-state plasma glucose concentration of at least 10 mmol/L during the insulin suppression test, were treated with either RSG or 1110 for 3 months. Measurements were made before and after drug treatment of weight; blood pressure; fasting and daylong glucose, insulin, and free fatty acid (FFA) levels; and lipid and lipoprotein concentrations. Insulin sensitivity (steady-state plasma glucose concentration) significantly improved in both treatment groups, associated with significant decreases in daylong plasma concentrations of glucose, insulin, and FFA. Diastolic blood pressure fell somewhat in both groups, and this change reached significance in those receiving PIO. Improvement in lipid metabolism was confined to the PIO-treated group, signified by a significant decrease in plasma triglyceride concentration, whereas triglyceride concentration did not decline in the RSG-treated group, and these individuals also had increases in total (P = .047) and low-density lipoprotein cholesterol (P = .07). In conclusion, RSG and PIO appear to have comparable abilities to improve insulin sensitivity and lower daylong glucose, insulin, and FFA concentrations in nondiabetic, insulin-resistant individuals. However, despite these similarities, their effects on lipoprotein metabolism seem to be quite different, with beneficial effects confined to PIO-treated individuals. (C) 2009 Elsevier Inc. All rights reserved.

Sensitivity and uncertainty analyses for burden of disease and risk factor estimates

Epidemiological studies report confidence or uncertainty intervals around their estimates. Estimates of the burden of diseases and risk factors are subject to a broader range of uncertainty because of the combination of multiple data sources and value choices. Sensitivity analysis can be used to examine the effects of social values that have been incorporated into the design of the disability–adjusted life year (DALY). Age weight, where a year of healthy life lived at one age is valued differently from at another age, is the most controversial value built into the DALY. The discount rate, which addresses the difference in value of current versus future health benefits, also has been criticized. The distribution of the global disease burden and rankings of various conditions are largely insensitive to alternate assumptions about the discount rate and age weighting. The major effects of discounting and age weighting are to enhance the importance of neuropsychiatric conditions and sexually transmitted infections. The Global Burden of Disease study also has been criticized for estimating mortality and disease burden for regions using incomplete and uncertain data. Including uncertain results, with uncertainty quantified to the extent possible, is preferable, however, to leaving blank cells in tables intended to provide policy makers with an overall assessment of burden of disease. No estimate is generally interpreted as no problem. Greater investment in getting the descriptive epidemiology of diseases and injuries correct in poor countries will do vastly more to reduce uncertainty in disease burden assessments than a philosophical debate about the appropriateness of social value

Sex Differences in High Sensitivity C-Reactive Protein in Subjects with Risk Factors of Metabolic Syndrome

Abstract Background: Metabolic syndrome (MetS) is associated with a higher risk of all-cause mortality. High-sensitivity C-reactive protein (hsCRP) is a prototypic marker of inflammation usually increased in MetS. Women with MetS-related diseases present higher hsCRP levels than men with MetS-related diseases, suggesting sex differences in inflammatory markers. However, it is unclear whether serum hsCRP levels are already increased in men and/or women with MetS risk factors and without overt diseases or under pharmacological treatment. Objective: To determine the impact of the number of MetS risk factors on serum hsCRP levels in women and men. Methods One hundred and eighteen subjects (70 men and 48 women; 36 ± 1 years) were divided into four groups according to the number of MetS risk factors: healthy group (CT; no risk factors), MetS ≤ 2, MetS = 3, and MetS ≥ 4. Blood was drawn after 12 hours of fasting for measurement of biochemical variables and hsCRP levels, which were determined by immunoturbidimetric assay. Results: The groups with MetS risk factors presented higher serum hsCRP levels when compared with the CT group (p < 0.02). There were no differences in hsCRP levels among groups with MetS risk factors (p > 0.05). The best linear regression model to explain the association between MetS risk factors and hsCRP levels included waist circumference and HDL cholesterol (r = 0.40, p < 0.01). Women with MetS risk factors presented higher hsCRP levels when compared with men (psex < 0.01). Conclusions: Despite the absence of overt diseases and pharmacological treatment, subjects with MetS risk factors already presented increased hsCRP levels, which were significantly higher in women than men at similar conditions.

A correlation sensitivity analysis of non-life underwriting risk in solvency capital requirement estimation

This paper analyses the impact of using different correlation assumptions between lines of business when estimating the risk-based capital reserve, the Solvency Capital Requirement (SCR), under Solvency II regulations. A case study is presented and the SCR is calculated according to the Standard Model approach. Alternatively, the requirement is then calculated using an Internal Model based on a Monte Carlo simulation of the net underwriting result at a one-year horizon, with copulas being used to model the dependence between lines of business. To address the impact of these model assumptions on the SCR we conduct a sensitivity analysis. We examine changes in the correlation matrix between lines of business and address the choice of copulas. Drawing on aggregate historical data from the Spanish non-life insurance market between 2000 and 2009, we conclude that modifications of the correlation and dependence assumptions have a significant impact on SCR estimation.

A correlation sensitivity analysis of non-life underwriting risk in solvency capital requirement estimation

This paper analyses the impact of using different correlation assumptions between lines of business when estimating the risk-based capital reserve, the Solvency Capital Requirement -SCR-, under Solvency II regulations. A case study is presented and the SCR is calculated according to the Standard Model approach. Alternatively, the requirement is then calculated using an Internal Model based on a Monte Carlo simulation of the net underwriting result at a one-year horizon, with copulas being used to model the dependence between lines of business. To address the impact of these model assumptions on the SCR we conduct a sensitivity analysis. We examine changes in the correlation matrix between lines of business and address the choice of copulas. Drawing on aggregate historical data from the Spanish non-life insurance market between 2000 and 2009, we conclude that modifications of the correlation and dependence assumptions have a significant impact on SCR estimation.