Time-Consistent and Market-Consistent Evaluations

We consider evaluation methods for payoffs with an inherent financial risk as encountered for instance for portfolios held by pension funds and insurance companies. Pricing such payoffs in a way consistent to market prices typically involves combining actuarial techniques with methods from mathematical finance. We propose to extend standard actuarial principles by a new market-consistent evaluation procedure which we call `two step market evaluation.' This procedure preserves the structure of standard evaluation techniques and has many other appealing properties. We give a complete axiomatic characterization for two step market evaluations. We show further that in a dynamic setting with a continuous stock prices process every evaluation which is time-consistent and market-consistent is a two step market evaluation. We also give characterization results and examples in terms of g-expectations in a Brownian-Poisson setting

Determinants and impact of role-related time use allocation on self-reported health among married men and women: a cross-national comparative study

Background Research on the effects of marriage on health maintains that there is a gender-specific gradient, with men deriving far greater benefits than women. One reason provided for this difference is the disproportionate amount of time spent by women on housework and childcare. However, this hypothesis has yet to be explicitly tested for these role-related time use activities. This study provides empirical evidence on the association between role-related time use activities (i.e. housework, childcare and paid work) and self-reported health among married men and women. Methods Data from the Multinational Time Use Study (MTUS) on 32,881 men and 26,915 women from Germany, Italy, Spain, the UK and the US were analyzed. Seemingly unrelated regression (SUR) models and multivariable logistic regression were used to estimate the association between role-related time use activities and self-reported health among married men and women. Results The findings showed that education, occupation and number of children under 18 years old in the household were the most consistent predictors of time allocation among married men and women. Significant gender differences were also found in time allocation, with women sacrificing paid working time or reducing time devoted to housework for childcare. Men, in contrast, were less likely to reduce paid working hours to increase time spent on childcare, but instead reduced time allocation to housework. Allocating more time to paid work and childcare was associated with good health, whereas time spent on housework was associated with poor health, especially among women. Conclusions Time allocation to role-related activities have differential associations on health, and the effects vary by gender and across countries. To reduce the gender health gap among married men and women, public policies need to take social and gender roles into account

Representation of the penalty term of dynamic concave utilities

In this paper we will provide a representation of the penalty term of general dynamic concave utilities (hence of dynamic convex risk measures) by applying the theory of g-expectations.Comment: An updated version is published in Finance & Stochastics. The final publication is available at http://www.springerlink.co

Extending dynamic convex risk measures from discrete time to continuous time: A convergence approach

We present an approach for the transition from convex risk measures in a certain discrete time setting to their counterparts in continuous time. The aim of this paper is to show that a large class of convex risk measures in continuous time can be obtained as limits of discrete time-consistent convex risk measures. The discrete time risk measures are constructed from properly rescaled (‘tilted’) one-period convex risk measures, using a -dimensional random walk converging to a Brownian motion. Under suitable conditions (covering many standard one-period risk measures) we obtain convergence of the discrete risk measures to the solution of a BSDE, defining a convex risk measure in continuous time, whose driver can then be viewed as the continuous time analogue of the discrete ‘driver’ characterizing the one-period risk. We derive the limiting drivers for the semi-deviation risk measure, Value at Risk, Average Value at Risk, and the Gini risk measure in closed form

Excess cardiovascular risk in diabetic women: a case for intensive treatment.

Diabetes is a common and rapidly growing disease that affects more than 380 million people worldwide and is an established risk factor for cardiovascular disease with differential effects on women compared to men. While the general population of women, particularly young women, has more favourable cardiovascular risk profiles than men, this protective effect has been shown to be lost or even reversed in diabetic women. Several studies have demonstrated a significant diabetes-associated excess risk of cardiovascular disease in women. Sex-specific differences in risk factors associated with diabetes and their management may be responsible for the relative excess cardiovascular risk in women with diabetes. Diabetic women need intensive treatment in order to optimize management of cardiovascular risk factors. Further studies are needed to elucidate the mechanisms underlying the excess cardiovascular risk in diabetic women in order to tailor prevention and treatment strategies

Inhibition of Reactive Gliosis Attenuates Excitotoxicity-Mediated Death of Retinal Ganglion Cells

Reactive gliosis is a hallmark of many retinal neurodegenerative conditions, including glaucoma. Although a majority of studies to date have concentrated on reactive gliosis in the optic nerve head, very few studies have been initiated to investigate the role of reactive gliosis in the retina. We have previously shown that reactive glial cells synthesize elevated levels of proteases, and these proteases, in turn, promote the death of retinal ganglion cells (RGCs). In this investigation, we have used two glial toxins to inhibit reactive gliosis and have evaluated their effect on protease-mediated death of RGCs. Kainic acid was injected into the vitreous humor of C57BL/6 mice to induce reactive gliosis and death of RGCs. C57BL/6 mice were also treated with glial toxins, alpha-aminoadipic acid (AAA) or Neurostatin, along with KA. Reactive gliosis was assessed by immunostaining of retinal cross sections and retinal flat-mounts with glial fibrillary acidic protein (GFAP) and vimentin antibodies. Apoptotic cell death was assessed by TUNEL assays. Loss of RGCs was determined by immunostaining of flat-mounted retinas with Brn3a antibodies. Proteolytic activities of matrix metalloproteinase-9 (MMP-9), tissue plasminogen activator (tPA), and urokinase plasminogen activator (uPA) were assessed by zymography assays. GFAP-immunoreactivity indicated that KA induced reactive gliosis in both retinal astrocytes and in Muller cells. AAA alone or in combination with KA decreased GFAP and vimentin-immunoreactivity in Mϋller cells, but not in astrocytes. In addition AAA failed to decrease KA-mediated protease levels and apoptotic death of RGCs. In contrast, Neurostatin either alone or in combination with KA, decreased reactive gliosis in both astrocytes and Mϋller cells. Furthermore, Neurostatin decreased protease levels and prevented apoptotic death of RGCs. Our findings, for the first time, indicate that inhibition of reactive gliosis decreases protease levels in the retina, prevents apoptotic death of retinal neurons, and provides substantial neuroprotection

Symbiotic and antibiotic interactions between gut commensal microbiota and host immune system

The human gut commensal microbiota forms a complex population of microorganisms that survive by maintaining a symbiotic relationship with the host. Amongst the metabolic benefits it brings, formation of adaptive immune system and maintenance of its homeostasis are functions that play an important role. This review discusses the integral elements of commensal microbiota that stimulate responses of different parts of the immune system and lead to health or disease. It aims to establish conditions and factors that contribute to gut commensal microbiota's transformation from symbiotic to antibiotic relationship with human. We suggest that the host-microbiota relationship has been evolved to benefit both parties and any changes that may lead to disease, are not due to unfriendly properties of the gut microbiota but due to host genetics or environmental changes such as diet or infection

Jet energy measurement with the ATLAS detector in proton-proton collisions at root s=7 TeV

The jet energy scale and its systematic uncertainty are determined for jets measured with the ATLAS detector at the LHC in proton-proton collision data at a centre-of-mass energy of √s = 7TeV corresponding to an integrated luminosity of 38 pb-1. Jets are reconstructed with the anti-kt algorithm with distance parameters R=0. 4 or R=0. 6. Jet energy and angle corrections are determined from Monte Carlo simulations to calibrate jets with transverse momenta pT≥20 GeV and pseudorapidities {pipe}η{pipe}<4. 5. The jet energy systematic uncertainty is estimated using the single isolated hadron response measured in situ and in test-beams, exploiting the transverse momentum balance between central and forward jets in events with dijet topologies and studying systematic variations in Monte Carlo simulations. The jet energy uncertainty is less than 2. 5 % in the central calorimeter region ({pipe}η{pipe}<0. 8) for jets with 60≤pT<800 GeV, and is maximally 14 % for pT<30 GeV in the most forward region 3. 2≤{pipe}η{pipe}<4. 5. The jet energy is validated for jet transverse momenta up to 1 TeV to the level of a few percent using several in situ techniques by comparing a well-known reference such as the recoiling photon pT, the sum of the transverse momenta of tracks associated to the jet, or a system of low-pT jets recoiling against a high-pT jet. More sophisticated jet calibration schemes are presented based on calorimeter cell energy density weighting or hadronic properties of jets, aiming for an improved jet energy resolution and a reduced flavour dependence of the jet response. The systematic uncertainty of the jet energy determined from a combination of in situ techniques is consistent with the one derived from single hadron response measurements over a wide kinematic range. The nominal corrections and uncertainties are derived for isolated jets in an inclusive sample of high-pT jets. Special cases such as event topologies with close-by jets, or selections of samples with an enhanced content of jets originating from light quarks, heavy quarks or gluons are also discussed and the corresponding uncertainties are determined. © 2013 CERN for the benefit of the ATLAS collaboration

Measurement of the inclusive and dijet cross-sections of b-jets in pp collisions at sqrt(s) = 7 TeV with the ATLAS detector

The inclusive and dijet production cross-sections have been measured for jets containing b-hadrons (b-jets) in proton-proton collisions at a centre-of-mass energy of sqrt(s) = 7 TeV, using the ATLAS detector at the LHC. The measurements use data corresponding to an integrated luminosity of 34 pb^-1. The b-jets are identified using either a lifetime-based method, where secondary decay vertices of b-hadrons in jets are reconstructed using information from the tracking detectors, or a muon-based method where the presence of a muon is used to identify semileptonic decays of b-hadrons inside jets. The inclusive b-jet cross-section is measured as a function of transverse momentum in the range 20 < pT < 400 GeV and rapidity in the range |y| < 2.1. The bbbar-dijet cross-section is measured as a function of the dijet invariant mass in the range 110 < m_jj < 760 GeV, the azimuthal angle difference between the two jets and the angular variable chi in two dijet mass regions. The results are compared with next-to-leading-order QCD predictions. Good agreement is observed between the measured cross-sections and the predictions obtained using POWHEG + Pythia. MC@NLO + Herwig shows good agreement with the measured bbbar-dijet cross-section. However, it does not reproduce the measured inclusive cross-section well, particularly for central b-jets with large transverse momenta.Comment: 10 pages plus author list (21 pages total), 8 figures, 1 table, final version published in European Physical Journal