Bounds for the price of discrete arithmetic Asian options.

In this paper the pricing of European-style discrete arithmetic Asian options with fixed and floating strike is studied by deriving analytical lower and upper bounds. In our approach we use a general technique for deriving upper (and lower) bounds for stop-loss premiums of sums of dependent random variables, as explained in Kaas, Dhaene and Goovaerts (2000), and additionally, the ideas of Rogers and Shi (1995) and of Nielsen and Sandmann (2003). We are able to create a unifying framework for discrete Asian options through these bounds, that generalizes several approaches in the literature as well as improves the existing results. We obtain analytical and easily computable bounds. The aim of the paper is to formulate an advice of the appropriate choice of the bounds given the parameters, investigate the effect of different conditioning variables and compare their efficiency numerically. Several sets of numerical results are included. We also show that the hedging using these bounds is possible. Moreover, our methods are applicable to a wide range of (pricing) problems involving a sum of dependent random variables.Asian option; Choice; Efficiency; Framework; Hedging; Methods; Options; Premium; Pricing; Problems; Random variables; Research; Stop-loss premium; Variables;

Premiedifferentiatie, bonus-malus en solidariteit.

In deze tekst worden enkele bedenkingen gemaakt bij het verband tussen de begrippen solidariteit en verzekeringen. We zullen ons in hoofdzaak beperken tot het domein van motorrijtuigenverzekering, alhoewel een aantal van de bevindingen eveneens van toepassing zijn op private verzekeringen in het algemeen. We zullen onze aandacht toespitsen op de risicopremies, dat wil zeggen dat we het probleem van kosten, winst,… buiten beschouwing laten. Vooreerst zullen we de begrippen solidariteit en segmentatie in een verzekeringscontext nader omschrijven. Vervolgens zullen we deze begrippen illustreren aan de hand van (theoretische) voorbeelden.

Identification of racial disparities in breast cancer mortality: does scale matter?

<p>Abstract</p> <p>Background</p> <p>This paper investigates the impact of geographic scale (census tract, zip code, and county) on the detection of disparities in breast cancer mortality among three ethnic groups in Texas (period 1995-2005). Racial disparities were quantified using both relative (RR) and absolute (RD) statistics that account for the population size and correct for unreliable rates typically observed for minority groups and smaller geographic units. Results were then correlated with socio-economic status measured by the percentage of habitants living below the poverty level.</p> <p>Results</p> <p>African-American and Hispanic women generally experience higher mortality than White non-Hispanics, and these differences are especially significant in the southeast metropolitan areas and southwest border of Texas. The proportion and location of significant racial disparities however changed depending on the type of statistic (RR versus RD) and the geographic level. The largest proportion of significant results was observed for the RD statistic and census tract data. Geographic regions with significant racial disparities for African-Americans and Hispanics frequently had a poverty rate above 10.00%.</p> <p>Conclusions</p> <p>This study investigates both relative and absolute racial disparities in breast cancer mortality between White non-Hispanic and African-American/Hispanic women at the census tract, zip code and county levels. Analysis at the census tract level generally led to a larger proportion of geographical units experiencing significantly higher mortality rates for minority groups, although results varied depending on the use of the relative versus absolute statistics. Additional research is needed before general conclusions can be formulated regarding the choice of optimal geographic regions for the detection of racial disparities.</p

Highly efficient room temperature spin injection in a metal-insulator-semiconductor light emitting diode

We demonstrate highly efficient spin injection at low and room temperature in an AlGaAs/GaAs semiconductor heterostructure from a CoFe/AlOx tunnel spin injector. We use a double-step oxide deposition for the fabrication of a pinhole-free AlOx tunnel barrier. The measurements of the circular polarization of the electroluminescence in the Oblique Hanle Effect geometry reveal injected spin polarizations of at least 24% at 80K and 12% at room temperature

Geostatistical modeling of the spatial variability of arsenic in groundwater of southeast Michigan

Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/94929/1/wrcr10188.pd

Electrical Spin Injection in a Ferromagnetic / Tunnel Barrier/ Semiconductor Heterostructure

We demonstrate experimentally the electrical ballistic electron spin injection from a ferromagnetic metal / tunnel barrier contact into a semiconductor III-V heterostructure. We introduce the Oblique Hanle Effect technique for reliable optical measurement of the degree of injected spin polarization. In a CoFe / Al2O3 / GaAs / (Al,Ga)As heterostructure we observed injected spin polarization in excess of 8 % at 80K.Comment: 5 pages, 4 figure

Quantification and prognostic relevance of angiogenic parameters in invasive cervical cancer.

Tumour stromal neovascularization was investigated in 114 invasive and 20 in situ carcinomas of the uterine cervix by staining representative sections with the specific endothelial marker anti CD31 (clone JC/70A, isotope IgG1). A digital image analyser was used to measure the immunoreactivity. The following parameters were determined in the 'hot spots': vessel counts, vessel perimeter and endothelial stained area (expressed per mm2). The results were correlated with clinical and histopathological data. There was no significant relationship between the histopathological findings (tumour histology, tumour differentiation, FIGO stage, presence of lymph node metastasis or lymphovascular space involvement) and the median vessel count. In a univariate analysis all angiogenesis parameters had prognostic value: a higher vascularity was associated with worse prognosis (P < 0.05). Multiple regression analysis showed that vascular permeation (P < 0.001) and the median vessel count (P = 0.005) were the most important prognostic indicators. In the future these criteria may be used for selection of patients for anti-angiogenesis therapy

A new generic open pit mine planning process with risk assessment ability

Conventionally, mining industry relies on a deterministic view, where a unique mine plan is determined based on a single resource model. A major shortfall of this approach is the inability to assess the risk caused by the well-known geological uncertainty, i.e. the in situ grade and tonnage variability of the mineral deposit. Despite some recent attempts in developing stochastic mine planning models which have demonstrated promising results, the industry still remains sceptical about this innovative idea. With respect to unbiased linear estimation, kriging is the most popular and reliable deterministic interpolation technique for resource estimation and it appears to remain its popularity in the near future. This paper presents a new systematic framework to quantify the risk of kriging-based mining projects due to the geological uncertainties. Firstly, conditional simulation is implemented to generate a series of equally-probable orebody realisations and these realisations are then compared with the kriged resource model to analyse its geological uncertainty. Secondly, a production schedule over the life of mine is determined based on the kriged resource model. Finally, risk profiles of that production schedule, namely ore and waste tonnage production, blending grade and Net Present Value (NPV), are constructed using the orebody realisations. The proposed model was applied on a multi-element deposit and the result demonstrates that that the kriging-based mine plan is unlikely to meet the production targets. Especially, the kriging-based mine plan overestimated the expected NPV at a magnitude of 6.70% to 7.34% (135 M$to 151 M$). A new multivariate conditional simulation framework was also introduced in this paper to cope with the multivariate nature of the deposit. Although an iron ore deposit is used to prove the concepts, the method can easily be adapted to other kinds of mineral deposits, including surface coal mine

Microvessel quantification in primary colorectal carcinoma: an immunohistochemical study.

The vascularisation of human primary colorectal carcinomas was studied immunohistochemically using the endothelial cell markers CD31 and factor VIII-related antigen. Tumour sections were systematically scanned at a magnification of x 100 to find areas of intense neovascularisation. Microvessel counts within these vascular 'hotspots' were performed at magnification x 250. Regions in which tumour cords were surrounded by a collagen IV-positive basement membrane were compared with those in which this was absent and with normal mucosa. CD31 appeared to be a more sensitive marker for endothelial cells than factor VIII-related antigen (mean 185 +/- 59 and 120 +/- 38 microvessels mm-2). Within individual tumour sections microvessel counts in vascular hotspots with highest vessel density correlated significantly with microvessel counts in vascular hotspots with second highest vessel density (P < 0.01). Microvessel counts in tumour areas where collagen IV-positive basement membrane were absent exceeded those in areas where it was present (factor of 1.7) and those in normal mucosa (factor of 1.6). The differences in vessel density between individual tumours and the low variability in vessel density within individual tumours using this quantification technique allow us to investigate the prognostic value of vessel density in areas of intense neovascularisation in human primary colorectal carcinomas