Multivariate Lévy Models by Linear Combination: Estimation

In this paper we propose a simple and effective two-step procedure to estimate the multivariate Lévy model introduced by Ballotta and Bonfiglioli (2012). We assess our estimation approach via simulations, comparing the results with those obtained through a standard but more computationally intensive one-step maximum likelihood estimation. The proposed method is then applied to the computation of the intra-horizon Value at Risk for a portfolio of assets following the model under consideration

The impact of longevity and investment risk on a portfolio of life insurance liabilities

In this paper we assess the joint impact of biometric and financial risk on the market valuation of life insurance liabilities. We consider a stylized, contingent claim based model of a life insurance company issuing participating contracts and subject to default risk, as pioneered by Briys and de Varenne (Geneva Pap Risk Insur Theory 19(1):53–72, 1994, J Risk Insur 64(4):673–694, 1997), and build on their model by explicitly introducing biometric risk and its components, namely diversifiable and systematic risk. The contracts considered include pure endowments, deferred whole life annuities and guaranteed annuity options. Our results stress the predominance of systematic over diversifiable risk in determining fair participation rates. We investigate the interaction of contract design, market regimes and mortality assumptions, and show that, particularly for lifelong benefits, the choice of the participation rate must be very conservative if longevity improvements are foreseeable

Eliciting Implicit Awareness in Alzheimer’s Disease and Mild Cognitive Impairment: A Task-Based Functional MRI Study

Background: Recent models of anosognosia in dementia have suggested the existence of an implicit component of self-awareness about one’s cognitive impairment that may remain preserved and continue to regulate behavioral, affective, and cognitive responses even in people who do not show an explicit awareness of their difficulties. Behavioral studies have used different strategies to demonstrate implicit awareness in patients with anosognosia, but no neuroimaging studies have yet investigated its neural bases. Methods: Patients with amnestic mild cognitive impairment and dementia due to Alzheimer’s disease underwent functional magnetic resonance imaging (fMRI) during the execution of a color-naming task in which they were presented with neutral, negative, and dementia-related words (Dementia-Related Emotional Stroop). Results: Twenty-one patients were recruited: 12 were classified as aware and 9 as unaware according to anosognosia scales (based on clinical judgment and patient-caregiver discrepancy). Behavioral results showed that aware patients took the longest time to process dementia-related words, although differences between word types were not significant, limiting interpretation of behavioral results. Imaging results showed that patients with preserved explicit awareness had a small positive differential activation of the posterior cingulate cortex (PCC) for the dementia-related words condition compared to the negative words, suggesting attribution of emotional valence to both conditions. PCC differential activation was instead negative in unaware patients, i.e., lower for dementia-related words relative to negative-words. In addition, the more negative the differential activation, the lower was the Stroop effect measuring implicit awareness. Conclusion: Posterior cingulate cortex preserved response to dementia-related stimuli may be a marker of preserved implicit self-awareness

Shear flow affects selective monocyte recruitment into MCP-1-loaded scaffolds

Novel cardiovascular replacements are being developed by using degradable synthetic scaffolds, which function as a temporary guide to induce neotissue formation directly in situ. Priming of such scaffolds with fast-releasing monocyte chemoattractant protein-1 (MCP-1) was shown to improve the formation of functional neoarteries in rats. However, the underlying mechanism has not been clarified. Therefore, the goal of this study was to investigate the effect of a burst-release of MCP-1 from a synthetic scaffold on the local recruitment of circulating leucocytes under haemodynamic conditions. Herein, we hypothesized that MCP-1 initiates a desired healing cascade by recruiting favourable monocyte subpopulations into the implanted scaffold. Electrospun poly(e-caprolactone) scaffolds were loaded with fibrin gel containing various doses of MCP-1 and exposed to a suspension of human peripheral blood mononuclear cells in static or dynamic conditions. In standard migration assay, a dose-dependent migration of specific CD14+ monocyte subsets was observed, as measured by flow cytometry. In conditions of pulsatile flow, on the other hand, a marked increase in immediate monocyte recruitment was observed, but without evident selectivity in monocyte subsets. This suggests that the selectivity was dependent on the release kinetics of the MCP-1, as it was overruled by the effect of shear stress after the initial burst-release. Furthermore, these findings demonstrate that local recruitment of specific MCP-1-responsive monocytes is not the fundamental principle behind the improved neotissue formation observed in long-term in vivo studies, and mobilization of MCP-1-responsive cells from the bone marrow into the bloodstream is suggested to play a predominant role in vivo

Temporal Lobe Spikes Affect Distant Intrinsic Connectivity Networks

Objective: To evaluate local and distant blood oxygen level dependent (BOLD) signal changes related to interictal epileptiform discharges (IED) in drug-resistant temporal lobe epilepsy (TLE). Methods: Thirty-three TLE patients undergoing EEG–functional Magnetic Resonance Imaging (fMRI) as part of the presurgical workup were consecutively enrolled. First, a single-subject spike-related analysis was performed: (a) to verify the BOLD concordance with the presumed Epileptogenic Zone (EZ); and (b) to investigate the Intrinsic Connectivity Networks (ICN) involvement. Then, a group analysis was performed to search for common BOLD changes in TLE. Results: Interictal epileptiform discharges were recorded in 25 patients and in 19 (58%), a BOLD response was obtained at the single-subject level. In 42% of the cases, BOLD changes were observed in the temporal lobe, although only one patient had a pure concordant finding, with a single fMRI cluster overlapping (and limited to) the EZ identified by anatomo-electro-clinical correlations. In the remaining 58% of the cases, BOLD responses were localized outside the temporal lobe and the presumed EZ. In every patient, with a spike-related fMRI map, at least one ICN appeared to be involved. Four main ICNs were preferentially involved, namely, motor, visual, auditory/motor speech, and the default mode network. At the single-subject level, EEG–fMRI proved to have high specificity (above 65%) in detecting engagement of an ICN and the corresponding ictal/postictal symptom, and good positive predictive value (above 67%) in all networks except the visual one. Finally, in the group analysis of BOLD changes related to IED revealed common activations at the right precentral gyrus, supplementary motor area, and middle cingulate gyrus. Significance: Interictal temporal spikes affect several distant extra-temporal areas, and specifically the motor/premotor cortex. EEG–fMRI in patients with TLE eligible for surgery is recommended not for strictly localizing purposes rather it might be useful to investigate ICNs alterations at the single-subject level

The valuation of guaranteed lifelong withdrawal benefit options in variable annuity contracts and the impact of mortality risk

n light of the growing importance of the variable annuities market, in this paper we introduce a theoretical model for the pricing and valuation of guaranteed lifelong withdrawal benefit (GLWB) options embedded in variable annuity products. As the name suggests, this option offers a lifelong withdrawal guarantee; therefore, there is no limit on the total amount that is withdrawn over the term of the policy because if the account value becomes zero while the insured is still alive, he or she continues to receive the guaranteed amount annually until death. Any remaining account value at the time of death is paid to the beneficiary as a death benefit. We offer a specific framework to value the GLWB option in a market-consistent manner under the hypothesis of a static withdrawal strategy, according to which the withdrawal amount is always equal to the guaranteed amount. The valuation approach is based on the decomposition of the product into living and death benefits. The model makes use of the standard no-arbitrage models of mathematical finance, which extend the Black-Scholes framework to insurance contracts, assuming the fund follows a geometric Brownian motion and the insurance fee is paid, on an ongoing basis, as a proportion of the assets. We develop a sensitivity analysis, which shows how the value of the product varies with the key parameters, including the age of the policyholder at the inception of the contract, the guaranteed rate, the risk-free rate, and the fund volatility. We calculate the fair fee, using Monte Carlo simulations under different scenarios. We give special attention to the impact of mortality risk on the value of the option, using a flexible model of mortality dynamics, which allows for the possible perturbations by mortality shock of the standard mortality tables used by practitioners. Moreover, we evaluate the introduction of roll-up and step-up options and the effect of the decision to delay withdrawing. Empirical analyses are performed, and numerical results are provided

Can Disruption of Basal Ganglia-Thalamocortical Circuit in Wilson Disease Be Associated with Juvenile Myoclonic Epilepsy Phenotype?

In this paper, we describe the multimodal MRI findings in a patient with Wilson disease and a seizure disorder, characterized by an electroclinical picture resembling juvenile myoclonic epilepsy. The brain structural MRI showed a deposition of ferromagnetic materials in the basal ganglia, with marked hypointensities in T2-weighted images of globus pallidus internus bilaterally. A resting-state fMRI study revealed increased functional connectivity in the patient, compared to control subjects, in the following networks: (1) between the primary motor cortex and several cortical regions, including the secondary somatosensory cortex and (2) between the globus pallidus and the thalamo-frontal network. These findings suggest that globus pallidus alterations, due to metal accumulation, can lead to a reduction in the normal globus pallidus inhibitory tone on the thalamo-(motor)-cortical pathway. This, in turn, can result in hyperconnectivity in the motor cortex circuitry, leading to myoclonus and tonic-clonic seizures. We suppose that, in this patient, Wilson disease generated a ‘lesion model’ of myoclonic epilepsy

Convertible bond valuation in a jump diffusion setting with stochastic interest rates

This paper proposes an integrated pricing framework for convertible bonds, which comprises firm value evolving as an exponential jump diffusion, correlated stochastic interest rates movements and an efficient numerical pricing scheme. By construction, the proposed stochastic model fits in the framework of affine jump diffusion processes of Duffie et al. [Econometrica, 2000, 68, 1343–1376] with tractable behaviour. We define the firm’s optimal call policy and investigate its impact on the computed convertible bond prices. We illustrate the performance of the numerical scheme and highlight the effects originated by the inclusion of jumps, stochastic interest rates and a non-zero correlation structure between firm value and interest rates