Max-Min optimization problem for Variable Annuities pricing

International audienceWe study the valuation of variable annuities for an insurer. We concentrate on two types of these contracts that are the guaranteed minimum death benefits and the guaranteed minimum living benefits ones and that allow the insured to withdraw money from the associated account. As for many insurance contracts, the price of variable annuities consists in a fee, fixed at the beginning of the contract, that is continuously taken from the associated account. We use a utility indifference approach to determine this fee and, in particular, we consider the indifference fee rate in the worst case for the insurer i.e. when the insured makes the withdrawals that minimize the expected utility of the insurer. To compute this indifference fee rate, we link the utility maximization in the worst case for the insurer to a sequence of maximization and minimization problems that can be computed recursively. This allows to provide an optimal investment strategy for the insurer when the insured follows the worst withdrawals strategy and to compute the indifference fee. We finally explain how to approximate these quantities via the previous results and give numerical illustrations of parameter sensibility

Evaluation of Glycated Hemoglobin (HbA1c) for Diagnosing Type 2 Diabetes and Prediabetes among Palestinian Arab Population

The purpose of the study is to compare the potential of HbA1c to diagnose diabetes among Palestinian Arabs compared to fasting plasma glucose (FPG). A cross-sectional sample of 1370 Palestinian men (468) and women (902) without known diabetes and above the age of 30 years were recruited. Whole blood was used to estimate HbA1c and plasma for FPG and total lipid profile. Fasting plasma glucose was used as a reference to diagnose diabetes ($126 mg/dL) and prediabetes (100–125 mg/dL). The area under the receiver operating characteristic curve (AUC) for HbA1c was 81.9diabetes and 63.90.498) and low with prediabetes (K = 0.142). The optimal cut-off value for HbA1c to diagnose diabetes was$ 6.3% (45 mmol/mol). The sensitivity, specificity and the discriminant ability were 65.6% (53.1–76.3%), 94.5% (93.1–95.6%), 80.0% (72.8–87.3%), respectively. However, using cut-off value of $6.5the sensitivity, specificity and the discriminant ability were 57.4For diagnosing prediabetes with HbA1c between 5.7–6.4discriminant ability were 62.7value of$ 6.5% (48 mmol/mol) by itself diagnosed 5.3% and 48.3% as having diabetes and prediabetes compared to 4.5% and 24.2% using FPG, respectively. Mean HbA1c and FPG increase significantly with increasing body mass index. In conclusion, the ROC curves showed HbA1c could be used for diagnosing diabetes when compared to FPG but not for prediabetes in Palestinians Arabs even though only about 50% of the diabetic subjects were identified by the both HbA1c and FPG.This project was partially supported by United Nation Relief and Working Agency (UNRWA. No additional external funding received for this study. The funders had no role in study design, data collection and analysis, decision to publish, or preparation of the manuscript

Evaluation of Glycated Hemoglobin (HbA1c) for Diagnosing Type 2 Diabetes and Prediabetes among Palestinian Arab Population

The purpose of the study is to compare the potential of HbA1c to diagnose diabetes among Palestinian Arabs compared to fasting plasma glucose (FPG). A cross-sectional sample of 1370 Palestinian men (468) and women (902) without known diabetes and above the age of 30 years were recruited. Whole blood was used to estimate HbA1c and plasma for FPG and total lipid profile. Fasting plasma glucose was used as a reference to diagnose diabetes ($126 mg/dL) and prediabetes (100–125 mg/dL). The area under the receiver operating characteristic curve (AUC) for HbA1c was 81.9diabetes and 63.90.498) and low with prediabetes (K = 0.142). The optimal cut-off value for HbA1c to diagnose diabetes was$ 6.3% (45 mmol/mol). The sensitivity, specificity and the discriminant ability were 65.6% (53.1–76.3%), 94.5% (93.1–95.6%), 80.0% (72.8–87.3%), respectively. However, using cut-off value of $6.5the sensitivity, specificity and the discriminant ability were 57.4For diagnosing prediabetes with HbA1c between 5.7–6.4discriminant ability were 62.7value of$ 6.5% (48 mmol/mol) by itself diagnosed 5.3% and 48.3% as having diabetes and prediabetes compared to 4.5% and 24.2% using FPG, respectively. Mean HbA1c and FPG increase significantly with increasing body mass index. In conclusion, the ROC curves showed HbA1c could be used for diagnosing diabetes when compared to FPG but not for prediabetes in Palestinians Arabs even though only about 50% of the diabetic subjects were identified by the both HbA1c and FPG.This project was partially supported by United Nation Relief and Working Agency (UNRWA. No additional external funding received for this study. The funders had no role in study design, data collection and analysis, decision to publish, or preparation of the manuscript. The authors thank Fida Zeidan from UNRWA for organizing the teams at different UNRWA clinics. Also, the authors thank the staff of UNRWA clinics for their cooperation in the study. Thanks to Dr. Khaldoun Bader from Al-Quds University for his assistance in statistical analysis.Guarantor: Akram T. Kharroubi

Swing Options Valuation: a BSDE with Constrained Jumps Approach

We introduce a new probabilistic method for solving a class of impulse control problems based on their representations as Backward Stochastic Differential Equations (BSDEs for short) with constrained jumps. As an example, our method is used for pricing Swing options. We deal with the jump constraint by a penalization procedure and apply a discrete-time backward scheme to the resulting penalized BSDE with jumps. We study the convergence of this numerical method, with respect to the main approximation parameters: the jump intensity $\lambda$, the penalization parameter $p > 0$ and the time step. In particular, we obtain a convergence rate of the error due to penalization of order $(\lambda p)^{\alpha - \frac{1}{2}}, \forall \alpha \in \left(0, \frac{1}{2}\right)$. Combining this approach with Monte Carlo techniques, we then work out the valuation problem of (normalized) Swing options in the Black and Scholes framework. We present numerical tests and compare our results with a classical iteration method.Comment: 6 figure

Drift dependence of optimal trade execution strategies under transient price impact

We give a complete solution to the problem of minimizing the expected liquidity costs in presence of a general drift when the underlying market impact model has linear transient price impact with exponential resilience. It turns out that this problem is well-posed only if the drift is absolutely continuous. Optimal strategies often do not exist, and when they do, they depend strongly on the derivative of the drift. Our approach uses elements from singular stochastic control, even though the problem is essentially non-Markovian due to the transience of price impact and the lack in Markovian structure of the underlying price process. As a corollary, we give a complete solution to the minimization of a certain cost-risk criterion in our setting

JunB Inhibits ER Stress and Apoptosis in Pancreatic Beta Cells

Cytokines contribute to pancreatic β-cell apoptosis in type 1 diabetes (T1D) by modulation of β-cell gene expression networks. The transcription factor Activator Protein-1 (AP-1) is a key regulator of inflammation and apoptosis. We presently evaluated the function of the AP-1 subunit JunB in cytokine-mediated β-cell dysfunction and death. The cytokines IL-1β+IFN-γ induced an early and transitory upregulation of JunB by NF-κB activation. Knockdown of JunB by RNA interference increased cytokine-mediated expression of inducible nitric oxide synthase (iNOS) and endoplasmic reticulum (ER) stress markers, leading to increased apoptosis in an insulin-producing cell line (INS-1E) and in purified rat primary β-cells. JunB knockdown β-cells and junB−/− fibroblasts were also more sensitive to the chemical ER stressor cyclopiazonic acid (CPA). Conversely, adenoviral-mediated overexpression of JunB diminished iNOS and ER markers expression and protected β-cells from cytokine-induced cell death. These findings demonstrate a novel and unexpected role for JunB as a regulator of defense mechanisms against cytokine- and ER stress-mediated apoptosis

Protein Kinase C Delta (PKCδ) Affects Proliferation of Insulin-Secreting Cells by Promoting Nuclear Extrusion of the Cell Cycle Inhibitor p21Cip1/WAF1

BACKGROUND:High fat diet-induced hyperglycemia and palmitate-stimulated apoptosis was prevented by specific inhibition of protein kinase C delta (PKCδ) in β-cells. To understand the role of PKCδ in more detail the impact of changes in PKCδ activity on proliferation and survival of insulin-secreting cells was analyzed under stress-free conditions. METHODOLOGY AND PRINCIPAL FINDINGS:Using genetic and pharmacological approaches, the effect of reduced and increased PKCδ activity on proliferation, apoptosis and cell cycle regulation of insulin secreting cells was examined. Proteins were analyzed by Western blotting and by confocal laser scanning microscopy. Increased expression of wild type PKCδ (PKCδWT) significantly stimulated proliferation of INS-1E cells with concomitant reduced expression and cytosolic retraction of the cell cycle inhibitor p21(Cip1/WAF1). This nuclear extrusion was mediated by PKCδ-dependent phosphorylation of p21(Cip1/WAF1) at Ser146. In kinase dead PKCδ (PKCδKN) overexpressing cells and after inhibition of endogenous PKCδ activity by rottlerin or RNA interference phosphorylation of p21(Cip1/WAF1) was reduced, which favored its nuclear accumulation and apoptotic cell death of INS-1E cells. Human and mouse islet cells express p21(Cip1/WAF1) with strong nuclear accumulation, while in islet cells of PKCδWT transgenic mice the inhibitor resides cytosolic. CONCLUSIONS AND SIGNIFICANCE:These observations disclose PKCδ as negative regulator of p21(Cip1/WAF1), which facilitates proliferation of insulin secreting cells under stress-free conditions and suggest that additional stress-induced changes push PKCδ into its known pro-apoptotic role

A Combined Epigenetic and Non-Genetic Approach for Reprogramming Human Somatic Cells

Reprogramming of somatic cells to different extents has been reported using different methods. However, this is normally accompanied by the use of exogenous materials, and the overall reprogramming efficiency has been low. Chemicals and small molecules have been used to improve the reprogramming process during somatic cell nuclear transfer (SCNT) and induced pluripotent stem (iPS) cell generation. We report here the first application of a combined epigenetic and non-genetic approach for reprogramming somatic cells, i.e., DNA methyltransferase (DNMT) and histone deacetylase (HDAC) inhibitors, and human embryonic stem cell (hESC) extracts. When somatic cells were pretreated with these inhibitors before exposure to hESC (MEL1) extracts, morphological analysis revealed a higher rate of hESC-like colony formation than without pretreatment. Quantitative PCR (qPCR) demonstrated that pluripotency genes were upregulated when compared to those of somatic cells or treated with hESC extracts alone. Overall changes in methylation and acetylation levels of pretreated somatic cells suggests that epigenetic states of the cells have an effect on reprogramming efficiency induced by hESC extracts. KnockOutserum replacement (KOSR™) medium (KO-SR) played a positive role in inducing expression of the pluripotency genes. hESC extracts could be an alternative approach to reprogram somatic cells without introducing exogenous materials. The epigenetic pre-treatment of somatic cells could be used to improve the efficiency of reprogramming process. Under differentiation conditions, the reprogrammed cells exhibited differentiation ability into neurons suggesting that, although fully reprogramming was not achieved, the cells could be transdifferentiated after reprogramming

Glucose and Fatty Acids Synergize to Promote B-Cell Apoptosis through Activation of Glycogen Synthase Kinase 3β Independent of JNK Activation

The combination of elevated glucose and free-fatty acids (FFA), prevalent in diabetes, has been suggested to be a major contributor to pancreatic β-cell death. This study examines the synergistic effects of glucose and FFA on β-cell apoptosis and the molecular mechanisms involved. Mouse insulinoma cells and primary islets were treated with palmitate at increasing glucose and effects on apoptosis, endoplasmic reticulum (ER) stress and insulin receptor substrate (IRS) signaling were examined.Increasing glucose (5-25 mM) with palmitate (400 µM) had synergistic effects on apoptosis. Jun NH2-terminal kinase (JNK) activation peaked at the lowest glucose concentration, in contrast to a progressive reduction in IRS2 protein and impairment of insulin receptor substrate signaling. A synergistic effect was observed on activation of ER stress markers, along with recruitment of SREBP1 to the nucleus. These findings were confirmed in primary islets. The above effects associated with an increase in glycogen synthase kinase 3β (Gsk3β) activity and were reversed along with apoptosis by an adenovirus expressing a kinase dead Gsk3β.Glucose in the presence of FFA results in synergistic effects on ER stress, impaired insulin receptor substrate signaling and Gsk3β activation. The data support the importance of controlling both hyperglycemia and hyperlipidemia in the management of Type 2 diabetes, and identify pancreatic islet β-cell Gsk3β as a potential therapeutic target