Risk aggregation, dependence structure and diversification benefit

Insurance and reinsurance live and die from the diversification benefits or lack of it in their risk portfolio. The new solvency regulations allow companies to include them in their computation of risk-based capital (RBC). The question is how to really evaluate those benefits. To compute the total risk of a portfolio, it is important to establish the rules for aggregating the various risks that compose it. This can only be done through modelling of their dependence. It is a well known fact among traders in financial markets that "diversification works the worst when one needs it the most''. In other words, in times of crisis the dependence between risks increases. Experience has shown that very large loss events almost always affect multiple lines of business simultaneously. September 11, 2001, is an example of such an event: when the claims originated simultaneously from lines of business which are usually uncorrelated, such as property and life, at the same time that the assets of the company were depreciated due to the crisis on the stock markets. In this paper, we explore various methods of modelling dependence and their influence on diversification benefits. We show that the latter strongly depend on the chosen method and that rank correlation grossly overestimates diversification. This has consequences on the RBC for the whole portfolio, which is smaller than it should be when correctly accounting for tail correlation. However, the problem remains to calibrate the dependence for extreme events, which are rare by definition. We analyze and propose possible ways to get out of this dilemma and come up with reasonable estimates.Risk-Based Capital, Hierarchical Copula, Dependence, Calibration

Bootstrapping the economy -- a non-parametric method of generating consistent future scenarios

The fortune and the risk of a business venture depends on the future course of the economy. There is a strong demand for economic forecasts and scenarios that can be applied to planning and modeling. While there is an ongoing debate on modeling economic scenarios, the bootstrapping (or resampling) approach presented here has several advantages. As a non-parametric method, it directly relies on past market behaviors rather than debatable assumptions on models and parameters. Simultaneous dependencies between economic variables are automatically captured. Some aspects of the bootstrapping method require additional modeling: choice and ransformation of the economic variables, arbitrage-free consistency, heavy tails of distributions, serial dependence, trends and mean reversion. Results of a complete economic scenario generator are presented, tested and discussed.economic scenario generator (ESG); asset-liability management (ALM); bootstrapping; resampling; simulation; Monte-Carlo simulation; non-parametric model; yield curve model

Risk aggregation, dependence structure and diversification benefit

Insurance and reinsurance live and die from the diversification benefits or lack of it in their risk portfolio. The new solvency regulations allow companies to include them in their computation of risk-based capital (RBC). The question is how to really evaluate those benefits. To compute the total risk of a portfolio, it is important to establish the rules for aggregating the various risks that compose it. This can only be done through modelling of their dependence. It is a well known fact among traders in financial markets that "diversification works the worst when one needs it the most''. In other words, in times of crisis the dependence between risks increases. Experience has shown that very large loss events almost always affect multiple lines of business simultaneously. September 11, 2001, is an example of such an event: when the claims originated simultaneously from lines of business which are usually uncorrelated, such as property and life, at the same time that the assets of the company were depreciated due to the crisis on the stock markets. In this paper, we explore various methods of modelling dependence and their influence on diversification benefits. We show that the latter strongly depend on the chosen method and that rank correlation grossly overestimates diversification. This has consequences on the RBC for the whole portfolio, which is smaller than it should be when correctly accounting for tail correlation. However, the problem remains to calibrate the dependence for extreme events, which are rare by definition. We analyze and propose possible ways to get out of this dilemma and come up with reasonable estimates

Bootstrapping the economy -- a non-parametric method of generating consistent future scenarios

The fortune and the risk of a business venture depends on the future course of the economy. There is a strong demand for economic forecasts and scenarios that can be applied to planning and modeling. While there is an ongoing debate on modeling economic scenarios, the bootstrapping (or resampling) approach presented here has several advantages. As a non-parametric method, it directly relies on past market behaviors rather than debatable assumptions on models and parameters. Simultaneous dependencies between economic variables are automatically captured. Some aspects of the bootstrapping method require additional modeling: choice and ransformation of the economic variables, arbitrage-free consistency, heavy tails of distributions, serial dependence, trends and mean reversion. Results of a complete economic scenario generator are presented, tested and discussed

Recommendations for diagnosing and managing individuals with glutaric aciduria type 1: Third revision

Glutaric aciduria type 1 is a rare inherited neurometabolic disorder of lysine metabolism caused by pathogenic gene variations in GCDH (cytogenic location: 19p13.13), resulting in deficiency of mitochondrial glutaryl-CoA dehydrogenase (GCDH) and, consequently, accumulation of glutaric acid, 3-hydroxyglutaric acid, glutaconic acid and glutarylcarnitine detectable by gas chromatography/mass spectrometry (organic acids) and tandem mass spectrometry (acylcarnitines). Depending on residual GCDH activity, biochemical high and low excreting phenotypes have been defined. Most untreated individuals present with acute onset of striatal damage before age 3 (to 6) years, precipitated by infectious diseases, fever or surgery, resulting in irreversible, mostly dystonic movement disorder with limited life expectancy. In some patients, striatal damage develops insidiously. In recent years, the clinical phenotype has been extended by the finding of extrastriatal abnormalities and cognitive dysfunction, preferably in the high excreter group, as well as chronic kidney failure. Newborn screening is the prerequisite for pre-symptomatic start of metabolic treatment with low lysine diet, carnitine supplementation and intensified emergency treatment during catabolic episodes, which, in combination, have substantially improved neurologic outcome. In contrast, start of treatment after onset of symptoms cannot reverse existing motor dysfunction caused by striatal damage. Dietary treatment can be relaxed after the vulnerable period for striatal damage, that is, age 6 years. However, impact of dietary relaxation on long-term outcomes is still unclear. This third revision of evidence-based recommendations aims to re-evaluate previous recommendations (Boy et al., J Inherit Metab Dis, 2017;40(1):75-101; Kolker et al., J Inherit Metab Dis 2011;34(3):677-694; Kolker et al., J Inherit Metab Dis, 2007;30(1):5-22) and to implement new research findings on the evolving phenotypic diversity as well as the impact of non-interventional variables and treatment quality on clinical outcomes

Tolerability of inhaled N-chlorotaurine in the pig model

<p>Abstract</p> <p>Background</p> <p>N-chlorotaurine, a long-lived oxidant produced by human leukocytes, can be applied in human medicine as an endogenous antiseptic. Its antimicrobial activity can be enhanced by ammonium chloride. This study was designed to evaluate the tolerability of inhaled N-chlorotaurine (NCT) in the pig model.</p> <p>Methods</p> <p>Anesthetized pigs inhaled test solutions of 1% (55 mM) NCT (n = 7), 5% NCT (n = 6), or 1% NCT plus 1% ammonium chloride (NH₄Cl) (n = 6), and 0.9% saline solution as a control (n = 7), respectively. Applications with 5 ml each were performed hourly within four hours. Lung function, haemodynamics, and pharmacokinetics were monitored. Bronchial lavage samples for captive bubble surfactometry and lung samples for histology and electron microscopy were removed.</p> <p>Results</p> <p>Arterial pressure of oxygen (PaO₂) decreased significantly over the observation period of 4 hours in all animals. Compared to saline, 1% NCT + 1% NH₄Cl led to significantly lower PaO₂values at the endpoint after 4 hours (62 ± 9.6 mmHg vs. 76 ± 9.2 mmHg, p = 0.014) with a corresponding increase in alveolo-arterial difference of oxygen partial pressure (AaDO₂) (p = 0.004). Interestingly, AaDO₂was lowest with 1% NCT, even lower than with saline (p = 0.016). The increase of pulmonary artery pressure (PAP) over the observation period was smallest with 1% NCT without difference to controls (p = 0.91), and higher with 5% NCT (p = 0.02), and NCT + NH₄Cl (p = 0.05).</p> <p>Histological and ultrastructural investigations revealed no differences between the test and control groups. The surfactant function remained intact. There was no systemic resorption of NCT detectable, and its local inactivation took place within 30 min. The concentration of NCT tolerated by A549 lung epithelial cells <it>in vitro </it>was similar to that known from other body cells (0.25–0.5 mM).</p> <p>Conclusion</p> <p>The endogenous antiseptic NCT was well tolerated at a concentration of 1% upon inhalation in the pig model. Addition of ammonium chloride in high concentration provokes a statistically significant impact on blood oxygenation.</p

Alternativen zu Säuglingsnahrungen auf Kuhmilchproteinbasis

Die natürliche Ernährung eines gesunden Säuglings ist das Stillen. Ist Stillen oder die Fütterung von Muttermilch nicht möglich, kann Frauenmilch für die Ernährung des Säuglings erwogen werden, sofern diese aus einer qualifizierten Humanmilchbank stammt. Vom Kauf von Frauenmilch aus dem Internet wird wegen Risiken einer Infektionsübertragung und einer unzureichenden Milchqualität strikt abgeraten. Aufgrund der geringen Verfügbarkeit, der hohen Kosten sowie möglicher Nachteile der Ernährung mit Spendermilch im Vergleich zum Stillen sind industriell gefertigte Säuglingsnahrungen das Mittel der Wahl zur Ernährung des gesunden, reifgeborenen Säuglings, wenn Stillen nicht oder nur partiell möglich ist. Kuhmilchprotein ist die am häufigsten verwendete Eiweißkomponente. Die Nachfrage nach anderen auf Tiermilchen basierten sowie vegetarischen bzw. veganen Alternativen steigt. Im Folgenden werden verschiedene Alternativen bezüglich ihrer Eignung betrachtet. Säuglingsnahrungen auf Basis von Ziegenmilchprotein stellen für gesunde, reifgeborene Säuglinge eine zugelassene und geeignete Alternative zu kuhmilchproteinbasierten Säuglingsnahrungen dar. Für Säuglingsnahrungen aus anderen Tiermilchen (z. B. Kamel‑, Schaf‑, Pferde- oder Büffelmilch) sind keine belastbaren Daten zu Eignung und Sicherheit bekannt, und sie sind in der Europäischen Union nicht zugelassen. Säuglingsnahrungen auf der Grundlage von Sojaproteinisolaten sind in der Europäischen Union zugelassen. Sie werden für die allgemeine Verwendung im 1. Lebenshalbjahr durch die Ernährungskommission nicht empfohlen, insbesondere weil potenziell nachteilige Effekte von enthaltenen Isoflavonen nicht ausgeschlossen werden können. Ab der Geburt und in den ersten Lebensmonaten sollte die Gabe von Sojanahrungen auf Indikationen wie eine bestehende Galaktosämie, die sehr seltene kongenitale Laktoseintoleranz sowie bei familiärem Wunsch nach veganer Ernährungsweise und aus anderen weltanschaulichen Gründen begrenzt werden. Im 2. Lebenshalbjahr ist die Zufuhrmenge pro Kilogramm Körpergewicht deutlich niedriger, sodass das Risiko unerwünschter Wirkungen als wesentlich geringer eingeschätzt wird. Zu neuerdings angebotenen Nahrungen auf der Grundlage einer Mischung aus Soja- und Kuhmilchprotein sind keine Daten zur Prüfung von Sicherheit und Eignung bekannt, sodass hierzu keine Empfehlung ausgesprochen werden kann. Von der Verwendung von Säuglingsnahrung auf der Grundlage von hydrolysiertem Reisprotein wird auch aufgrund hoher berichteter Arsengehalte abgeraten. Auch von einer häuslichen Selbstherstellung von Säuglingsnahrungen wird aufgrund eines erhöhten Risikos für eine nichtbedarfsgerechte Nährstoffzufuhr und für Infektionen abgeraten. // The natural nutrition of a healthy infant is breastfeeding. If breastfeeding or feeding of breast milk is not possible, feeding of donor human milk may be considered. The safety of donor milk can only be ensured if it is provided by a qualified human milk bank. The use of informally shared donor milk or the use of human milk purchased through the internet is strongly discouraged because of the risk of transmitting infections and of insufficient milk quality. Due to low availability, high costs and concerns about poorer nutritional quality of donor milk compared to breastfeeding, industrially manufactured infant formula is the preferred alternative for feeding healthy full-term infants that cannot or cannot be fully breastfed. Milk-based infant formula is most frequently made from cow’s milk protein; however, there is an increasing popularity of vegetarian or vegan formulas and of formulas based on different animal milks other than cow’s milk. Goat’s milk-based infant formulas represent an approved and suitable alternative to cow’s milk for healthy, full-term infants. Reliable data on the suitability and safety are unavailable for formulas based on other animal milks (e.g., camel, horse, sheep or buffalo milk), and these are not approved for infant feeding in the European Union. Infant formulas based on soybean protein isolates are approved in the European Union. They are not generally recommended by the Nutrition Committee for infant feeding in the first half year of life because potentially harmful effects of isoflavones derived from soybeans cannot be excluded; however, soybean protein isolate-based formulas may be reservedly used after birth and in the first months of life for infants affected by galactosemia, the very rare hereditary lactose intolerance manifest at birth, a vegan family lifestyle or other familial convictions. In the second half year of life the intake amount per kilogram body weight is much less so that the risk of undesired effects is estimated to be much lower. For the recently provided nutrition based on a mixture of soybean and cow’s milk proteins, no data on testing of the safety and suitability are known, so that no recommendations can be made on this. The use of infant formula based on hydrolyzed rice protein is not recommended because of concerns about possible high arsenic contamination. The use of homemade infant formulas is discouraged due to the high risk of introducing infections and of possible nutritional imbalances of macronutrients and micronutrients

Familial hypercholesterolaemia in children and adolescents from 48 countries: a cross-sectional study

Background: Approximately 450 000 children are born with familial hypercholesterolaemia worldwide every year, yet only 2·1% of adults with familial hypercholesterolaemia were diagnosed before age 18 years via current diagnostic approaches, which are derived from observations in adults. We aimed to characterise children and adolescents with heterozygous familial hypercholesterolaemia (HeFH) and understand current approaches to the identification and management of familial hypercholesterolaemia to inform future public health strategies. Methods: For this cross-sectional study, we assessed children and adolescents younger than 18 years with a clinical or genetic diagnosis of HeFH at the time of entry into the Familial Hypercholesterolaemia Studies Collaboration (FHSC) registry between Oct 1, 2015, and Jan 31, 2021. Data in the registry were collected from 55 regional or national registries in 48 countries. Diagnoses relying on self-reported history of familial hypercholesterolaemia and suspected secondary hypercholesterolaemia were excluded from the registry; people with untreated LDL cholesterol (LDL-C) of at least 13·0 mmol/L were excluded from this study. Data were assessed overall and by WHO region, World Bank country income status, age, diagnostic criteria, and index-case status. The main outcome of this study was to assess current identification and management of children and adolescents with familial hypercholesterolaemia. Findings: Of 63 093 individuals in the FHSC registry, 11 848 (18·8%) were children or adolescents younger than 18 years with HeFH and were included in this study; 5756 (50·2%) of 11 476 included individuals were female and 5720 (49·8%) were male. Sex data were missing for 372 (3·1%) of 11 848 individuals. Median age at registry entry was 9·6 years (IQR 5·8-13·2). 10 099 (89·9%) of 11 235 included individuals had a final genetically confirmed diagnosis of familial hypercholesterolaemia and 1136 (10·1%) had a clinical diagnosis. Genetically confirmed diagnosis data or clinical diagnosis data were missing for 613 (5·2%) of 11 848 individuals. Genetic diagnosis was more common in children and adolescents from high-income countries (9427 [92·4%] of 10 202) than in children and adolescents from non-high-income countries (199 [48·0%] of 415). 3414 (31·6%) of 10 804 children or adolescents were index cases. Familial-hypercholesterolaemia-related physical signs, cardiovascular risk factors, and cardiovascular disease were uncommon, but were more common in non-high-income countries. 7557 (72·4%) of 10 428 included children or adolescents were not taking lipid-lowering medication (LLM) and had a median LDL-C of 5·00 mmol/L (IQR 4·05-6·08). Compared with genetic diagnosis, the use of unadapted clinical criteria intended for use in adults and reliant on more extreme phenotypes could result in 50-75% of children and adolescents with familial hypercholesterolaemia not being identified. Interpretation: Clinical characteristics observed in adults with familial hypercholesterolaemia are uncommon in children and adolescents with familial hypercholesterolaemia, hence detection in this age group relies on measurement of LDL-C and genetic confirmation. Where genetic testing is unavailable, increased availability and use of LDL-C measurements in the first few years of life could help reduce the current gap between prevalence and detection, enabling increased use of combination LLM to reach recommended LDL-C targets early in life

Betriebsergebnisse aus der Schweiz 2015

Die Aufhebung des Mindestwechselkurses durch die Schweizerische Nationalbank im Januar 2015 wirkt sich sichtbar negativ auf die Holzpreise und damit auf die Erlössituation der Forstbetriebe in der Schweiz aus. Dies zeigen Auswertungen der Ergebnisse des Forstwirtschaftlichen Testbetriebsnetzes (TBN), das im Auftrag der Bundesämter für Umwelt und Statistik durch WaldSchweiz betrieben und von der Hochschule für Agrar-, Forst- und Lebensmittelwissenschaften ausgewertet und interpretiert wird