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

Cushioned and high-speed centrifugation improve sperm recovery rate but affect the quality of fresh and cryopreserved feline spermatozoa

The development of endoscopic transcervical catheterization (ETC) in the queen increases the interest in handling fresh and cryopreserved feline semen. The ETC requires a small volume of the insemination dose with a high concentration, not easily reached with the actual frozen technique in this species. Centrifugation is widely used to concentrate spermatozoa for several purposes, but this process is detrimental to spermatozoa. This study verified the effects of conventional and cushioned centrifugation on fresh and cryopreserved feline spermatozoa. To this, semen was collected from 20 toms, grouped in seven pools and diluted. After dilution, the pools were divided into two aliquots, the first used for centrifugation on fresh semen, and the second, after freezing, on cryopreserved semen. Centrifugation regimens were: conventional at 500xg, conventional at 1000xg, and cushioned (iodixanol) at 1000xg. The sperm recovery rate was calculated for the three centrifugation regimens, and sperm kinematics, membrane and acrosome integrity, and plasma membrane stability on viable spermatozoa were assessed as endpoints. The data reported in this study showed that the centrifugation at 500xg resulted in negligible effects on both fresh and cryopreserved spermatozoa, but the lower recovery rate (62.4 +/- 3.1 % and 60.2 +/- 1.6 %, respectively) underlines the loss of a large proportion of spermatozoa, unfavourable in a species with small total sperm ejaculated. On the other hand, the centrifugation at 1000xg improved the recovery rate (86.9 +/- 4.3 % and 89.8 +/- 2.4 % in fresh and cryopreserved samples, respectively), but was more deleterious for feline spermatozoa, especially in cryopreserved samples (i.e. total motility of 40.7 +/- 5.4 % compared with 57.2 +/- 9.8 % in cryopreserved uncentrifuged samples, P < 0.05), resulting in artificial insemination doses of lower quality. The recovery rate in cushioned centrifugation appeared less efficient, likely due to the small volume of feline samples, which makes difficult the separation of sperm pellet and cushioned fluid. Interestingly, in cryopreserved samples centrifuged at 1000xg the number of viable spermatozoa with membrane destabilization (31.3 +/- 3.2 %) was greater than uncentrifuged (4.1 +/- 0.7 %, P < 0.05) and those centrifuged at 500xg (9.8 +/- 1.3 %, P < 0.05), suggesting modifications induced by the cryopreservation amplifies centrifugation sublethal damage on feline spermatozoa. Cushioned centrifugation on cryopreserved samples showed kinematics similar to uncentrifuged samples, but higher viable spermatozoa with membrane destabilization (37.4 +/- 3.4 % vs 4.1 +/- 0.7 %; P < 0.05). In felines, g-force is crucial for sperm recovery rate during centrifugation, with better results at 1000xg; on the other hand, greater g-forces could have a significant impact on the quality of feline insemination dose, especially in cryopreserved samples

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

Uncover the Offensive Side of Disparagement Humor: An fMRI Study

Disparagement humor is a kind of humor that denigrates, belittles an individual or a social group. In the aim to unveil the offensive side of these kinds of jokes, we have run an event-related fMRI study asking 30 healthy volunteers to judge the level of fun of a series of verbal stimuli that ended with a sentence that was socially inappropriate but funny (disparagement joke -DJ), socially inappropriate but not funny (SI) or neutral (N). Behavioral results showed disparagement jokes are perceived as funny and at the same time offensive. However, the level of offense in DJ is lower than that registered in SI stimuli. Functional data showed that DJ activated the insula, the SMA, the precuneus, the ACC, the dorsal striatum (the caudate nucleus), and the thalamus. These activations suggest that in DJ a feeling of mirth (and/or a desire to laugh) derived from the joke (e.g., SMA and precuneus) and the perception of the jokes\u2019 social inappropriateness (e.g., ACC and insula) coexist. Furthermore, DJ and SI share a common network related to mentalizing and to the processing of negative feelings, namely the medial prefrontal cortex, the putamen and the right thalamus

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

Resting-state networks and anosognosia in Alzheimer’s disease

Background Recent evidence suggests that anosognosia or unawareness of cognitive impairment in Alzheimer's Disease (AD) may be explained by a disconnection between brain regions involved in accessing and monitoring information regarding self and others. It has been demonstrated that AD patients with anosognosia have reduced connectivity within the default mode network (DMN) and that anosognosia in people with prodromal AD is positively associated with bilateral anterior cingulate cortex (ACC), suggesting a possible role of this region in mechanisms of awareness in the early phase of disease. We hypothesized that anosognosia in AD is associated with an imbalance between the activity of large-scale resting-state functional magnetic resonance imaging (fMRI) networks, in particular the DMN, the salience network (SN), and the frontoparietal network (FPN).Methods Sixty patients with MCI and AD dementia underwent fMRI and neuropsychological assessment including the Anosognosia Questionnaire Dementia (AQ-D), a measure of anosognosia based on a discrepancy score between patient's and carer's judgments. After having applied Independent Component Analysis (ICA) to resting fMRI data we performed: (i) correlations between the AQ-D score and functional connectivity in the DMN, SN, and FPN, and (ii) comparisons between aware and unaware patients of the DMN, SN, and FPN functional connectivity.Results We found that anosognosia was associated with (i) weak functional connectivity within the DMN, in posterior and middle cingulate cortex particularly, (ii) strong functional connectivity within the SN in ACC, and between the SN and basal ganglia, and (iii) a heterogenous effect concerning the functional connectivity of the FPN, with a weak connectivity between the FPN and PCC, and a strong connectivity between the FPN and ACC. The observed effects were controlled for differences in severity of cognitive impairment and age.Conclusion Anosognosia in the AD continuum is associated with a dysregulation of the functional connectivity of three large-scale networks, namely the DMN, SN, and FPN

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