Semiparametric Relative-risk Regression for Infectious Disease Data

This paper introduces semiparametric relative-risk regression models for infectious disease data based on contact intervals, where the contact interval from person i to person j is the time between the onset of infectiousness in i and infectious contact from i to j. The hazard of infectious contact from i to j is \lambda_0(\tau)r(\beta_0^T X_{ij}), where \lambda_0(\tau) is an unspecified baseline hazard function, r is a relative risk function, \beta_0 is an unknown covariate vector, and X_{ij} is a covariate vector. When who-infects-whom is observed, the Cox partial likelihood is a profile likelihood for \beta maximized over all possible \lambda_0(\tau). When who-infects-whom is not observed, we use an EM algorithm to maximize the profile likelihood for \beta integrated over all possible combinations of who-infected-whom. This extends the most important class of regression models in survival analysis to infectious disease epidemiology.Comment: 38 pages, 5 figure

DARA and DRRA option bounds from concurrently expiring options

In this paper we derive option bounds from concurrently expiring options assuming the representative investor has decreasing absolute {relative} risk aversion. We show that given the prices of the underlying stock and n concurrently expiring options, the DARA {DRRA} option bound is given by a representative investor who has piecewise constant absolute {relative} risk aversion. We also derive option bounds from concurrently expiring option prices assuming the representative investor has decreasing and bounded absolute {relative} risk aversion

Risk of acute myocardial infarction with nonselective non-steroidal anti-inflammatory drugs: a meta-analysis

The use of cyclo-oxygenase 2 selective nonsteroidal anti-inflammatory drugs (NSAIDs) is associated with increased risk of acute myocardial infarction (AMI). The association between the risks of AMI with nonselective NSAIDs is less clear. We reviewed the published evidence and assessed the risk of AMI with nonselective NSAIDs. We performed a meta-analysis of all studies containing data from population databases that compared the risk of AMI in NSAID users with that in non-users or remote NSAID users. The primary outcome was objectively confirmed AMI. Fourteen studies met predefined criteria for inclusion in the meta-analysis. Nonselective NSAIDs as a class was associated with increased AMI risk (relative AMI risk 1.19, 95% confidence interval [CI] 1.08 to 1.31). Similar findings were found with diclofenac (relative AMI risk 1.38, 95% CI 1.22–1.57) and ibuprofen (relative AMI risk 1.11, 95% CI 1.06 to 1.17). However, this effect was not observed with naproxen (relative AMI risk 0.99, 95% CI 0.88–1.11). In conclusion, based on current evidence, there is a general direction of effect, which suggests that at least some nonselective NSAIDs increase AMI risk. Analysis based on the limited data available for individual NSAIDs, including diclofenac and ibuprofen, supported this finding; however, this was not the case for naproxen. Nonselective NSAIDs are frequently prescribed, and so further investigation into the risk of AMI is warranted because the potential for harm can be substantial

Penalized variable selection procedure for Cox models with semiparametric relative risk

We study the Cox models with semiparametric relative risk, which can be partially linear with one nonparametric component, or multiple additive or nonadditive nonparametric components. A penalized partial likelihood procedure is proposed to simultaneously estimate the parameters and select variables for both the parametric and the nonparametric parts. Two penalties are applied sequentially. The first penalty, governing the smoothness of the multivariate nonlinear covariate effect function, provides a smoothing spline ANOVA framework that is exploited to derive an empirical model selection tool for the nonparametric part. The second penalty, either the smoothly-clipped-absolute-deviation (SCAD) penalty or the adaptive LASSO penalty, achieves variable selection in the parametric part. We show that the resulting estimator of the parametric part possesses the oracle property, and that the estimator of the nonparametric part achieves the optimal rate of convergence. The proposed procedures are shown to work well in simulation experiments, and then applied to a real data example on sexually transmitted diseases.Comment: Published in at http://dx.doi.org/10.1214/09-AOS780 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org

Time Dependent Relative Risk Aversion

Risk management and the thorough understanding of the relations between financial markets and the standard theory of macroeconomics have always been among the topics most addressed by researchers, both financial mathematicians and economists. This work aims at explaining investors’ behavior from a macroeconomic aspect (modeled by the investors’ pricing kernel and their relative risk aversion) using stocks and options data. Daily estimates of investors’ pricing kernel and relative risk aversion are obtained and used to construct and analyze a three-year long time-series. The first four moments of these time-series as well as their values at the money are the starting point of a principal component analysis. The relation between changes in a major index level and implied volatility at the money and between the principal components of the changes in relative risk aversion is found to be linear. The relation of the same explanatory variables to the principal components of the changes in pricing kernels is found to be log-linear, although this relation is not significant for all of the examined maturities.risk aversion, pricing kernels, time dependent preferences

RELATIVE AND ABSOLUTE RISK FORMAT IN ELICITING WILLINGNESS-TO-PAY FOR BEEF IRRADIATION

The relationship between the valuation of reduced risk through irradiation and framing of risk information was determined using absolute and relative risk formats. A double-bounded CV survey was used to measure willingness-to-pay (WTP) for irradiated beef among 740 U.S. households. Results show that the WTP was sensitive to the risk formats.beef irradiation, relative risk format, absolute risk format, willingness-to-pay, double-bounded CV questions, Consumer/Household Economics,

Risk aversion under preference uncertainty

We show that if an agent is uncertain about the precise form of his utility function, his actual relative risk aversion may depend on wealth even if he knows his utility function lies in the class of constant relative risk aversion (CRRA) utility functions. We illustrate the consequences of this result for asset allocation: poor agents that are uncertain about their risk aversion parameter invest less in risky assets than wealthy investors with identical risk aversion uncertainty. Keywords: Risk Aversion , Preference Uncertainty , Risk-taking , Asset Allocation JEL Classification: D81, D84, G11 This Version: November 25, 201

Relative Risk Aversion Is Constant: Evidence from Panel Data

Most classical tests of constant relative risk aversion (CRRA) based on individual portfolio composition use cross sectional data. Such tests must assume that the distributions of wealth and preferences are independent. We use panel data to analyze how individuals’ portfolio allocation between risky and riskless assets varies in response to changes in total financial wealth. We find the elasticity of the risky asset share to wealth to be small and statistically insignificant, supporting the CRRA assumption; this finding is robust when the sample is restricted to households experiencing ‘large’ income variations. Various extensions are discussed.-

EQUITY Premium Puzzle in a Data-Rich Environment

Standard consumption-based asset pricing models focus on the consumption risk, seen as the only source of fluctuations and information about risk for the informed investor. These models, however, can account for high expected excess stock return only when assuming implausible relative risk aversion. This paper adds additional risk factors to the standard C-CAPM model to resolve both the equity premium and the risk-free rate puzzles as well as the risk-free rate volatility puzzle. By adding other relevant risk factors, the resulting pricing model is able to explain these puzzles relying on admissible range of local relative risk aversion. The model generates, also, a time-varying relative risk aversion and intertemporal elasticity of substitution.Common factors, factor analysis, principal components, asset pricing, equity premium puzzle, risk free rate puzzle.

Relative indicators of default risk among UK residential mortgages

We have assembled a unique loan-level performance dataset for mortgages originated in the UK to study the differences in default likelihood between loans of varying borrower and loan characteristics. We can broadly confirm the relevance of most commonly known riskfactors and find that most drivers of default for prime are also relevant for non-conforming, drivers of repossessions are largely similar to drivers of arrears and information on adverse borrower information dominates any other risk factor. Our study provides many more details and compares results with recent studies for the US and other European countries.residential mortgages; loan defaults; consumer behaviour; logistic regression; United Kingdom