Dividends and the Time of Ruin under Barrier Strategies with a Capital-Exchange Agreement

We consider a capital-exchange agreement, where two insurers recapitalize each other in certain situations with funds they would otherwise use for dividend payments. We derive equations characterizing the expected time of ruin and the expected value of the respective discounted dividends until ruin, if dividends are paid according to a barrier strategy. In a Monte Carlo simulation study we illustrate the potential advantages of this type of collaboration

From ruin to bankruptcy for compound Poisson surplus processes

In classical risk theory, the infinite-time ruin probability of a surplus process Ct is calculated as the probability of the process becoming negative at some point in time. In this paper, we consider a relaxation of the ruin concept to the concept of bankruptcy, according to which one has a positive surplus-dependent probability to continue despite temporary negative surplus. We study the resulting bankruptcy probability for the compound Poisson risk model with exponential claim sizes for different bankruptcy rate functions, deriving analytical results, upper and lower bounds as well as an efficient simulation method. Numerical examples are given and the results are compared with the classical ruin probabilities. Finally, it is illustrated how the analysis can be extended to study the discounted penalty function under this relaxed ruin criterion

Stage-Specific Inhibition of MHC Class I Presentation by the Epstein-Barr Virus BNLF2a Protein during Virus Lytic Cycle

gamma-herpesvirus Epstein-Barr virus (EBV) persists for life in infected individuals despite the presence of a strong immune response. During the lytic cycle of EBV many viral proteins are expressed, potentially allowing virally infected cells to be recognized and eliminated by CD8+ T cells. We have recently identified an immune evasion protein encoded by EBV, BNLF2a, which is expressed in early phase lytic replication and inhibits peptide- and ATP-binding functions of the transporter associated with antigen processing. Ectopic expression of BNLF2a causes decreased surface MHC class I expression and inhibits the presentation of indicator antigens to CD8+ T cells. Here we sought to examine the influence of BNLF2a when expressed naturally during EBV lytic replication. We generated a BNLF2a-deleted recombinant EBV (ΔBNLF2a) and compared the ability of ΔBNLF2a and wild-type EBV-transformed B cell lines to be recognized by CD8+ T cell clones specific for EBV-encoded immediate early, early and late lytic antigens. Epitopes derived from immediate early and early expressed proteins were better recognized when presented by ΔBNLF2a transformed cells compared to wild-type virus transformants. However, recognition of late antigens by CD8+ T cells remained equally poor when presented by both wild-type and ΔBNLF2a cell targets. Analysis of BNLF2a and target protein expression kinetics showed that although BNLF2a is expressed during early phase replication, it is expressed at a time when there is an upregulation of immediate early proteins and initiation of early protein synthesis. Interestingly, BNLF2a protein expression was found to be lost by late lytic cycle yet ΔBNLF2a-transformed cells in late stage replication downregulated surface MHC class I to a similar extent as wild-type EBV-transformed cells. These data show that BNLF2a-mediated expression is stage-specific, affecting presentation of immediate early and early proteins, and that other evasion mechanisms operate later in the lytic cycle

Introduction to Quantitative Methods for Financial Markets

Swaps, futures, options, structured instruments - a wide range of derivative products is traded in today's financial markets. Analyzing, pricing and managing such products often requires fairly sophisticated quantitative tools and methods. This book serves as an introduction to financial mathematics with special emphasis on aspects relevant in practice. In addition to numerous illustrative examples, algorithmic implementations are demonstrated using "Mathematica" and the software package "UnRisk" (available for both students and teachers). The content is organized in 15 chapters that can be treated as independent modules. In particular, the exposition is tailored for classroom use in a Bachelor or Master program course, as well as for practitioners who wish to further strengthen their quantitative background