On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative L\'{e}vy processes

We consider the classical optimal dividend control problem which was proposed by de Finetti [Trans. XVth Internat. Congress Actuaries 2 (1957) 433--443]. Recently Avram, Palmowski and Pistorius [Ann. Appl. Probab. 17 (2007) 156--180] studied the case when the risk process is modeled by a general spectrally negative L\'{e}vy process. We draw upon their results and give sufficient conditions under which the optimal strategy is of barrier type, thereby helping to explain the fact that this particular strategy is not optimal in general. As a consequence, we are able to extend considerably the class of processes for which the barrier strategy proves to be optimal.Comment: Published in at http://dx.doi.org/10.1214/07-AAP504 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org

Refracted Lévy processes

Motivated by classical considerations from risk theory, we investigate boundary crossing problems for refracted Lévy processes. The latter is a Lévy process whose dynamics change by subtracting off a fixed linear drift (of suitable size) whenever the aggregate process is above a pre-specified level. More formally, whenever it exists, a refracted Lévy process is described by the unique strong solution to the stochastic differential equation dUt =−δ1{Ut>b} dt + dXt, where X ={Xt: t ≥ 0} is a Lévy process with law P and b,δ ∈ R such that the resulting process U may visit the half line (b, ∞) with positive probability. We consider in particular the case that X is spectrally negative and establish a suite of identities for the case of one and two sided exit problems. All identities can be written in terms of the q-scale function of the driving Lévy process and its perturbed version describing motion above the level b. We remark on a number of applications of the obtained identities to (controlled) insurance risk processes

Particle monolayer assembly in evaporating salty colloidal droplets

Ring-shaped deposits can be often found after a droplet evaporates on a substrate. If the fluid in the droplet is a pure liquid and its contact line remains pinned during the process, the mechanism behind such ring-shaped deposition is the well-known coffee-stain effect. However, adding small amounts of salt to such a droplet can change the internal flow dramatically and consequently change the deposition mechanism. Due to an increase of surface tension in the contact line region, a Marangoni flow arises which is directed from the apex of the droplet towards the contact line. As a result, particles arrive at the contact line following the liquid-air interface of the droplet. Interestingly, the deposit is also ring-shaped, as in the classical coffee-stain effect, but with a radically different morphology: particles form a monolayer along the liquid-air interface of the droplet, instead of a compact three-dimensional deposit. Using confocal microscopy, we study particle-per-particle how the assembly of the colloidal monolayer occurs during the evaporation of droplets for different initial concentration of sodium chloride and initial particle dilution. Our results are compared with classical diffusion-limited deposition models and open up an interesting scenario of deposits via interfacial particle assembly, which can easily yield homogeneous depositions by manipulating the initial salt and particle concentration in the droplet.Comment: 15 pages, 12 figure

Occupation times of intervals until first passage times for spectrally negative Lévy processes

In this paper, we identify Laplace transforms of occupation times of intervals until first passage times for spectrally negative Lévy processes. New analytical identities for scale functions are derived and therefore the results are explicitly stated in terms of the scale functions of the process. Applications to option pricing and insurance risk models are also presented

How GPs value guidelines applied to patients with multimorbidity: A qualitative study

Objectives: To explore and describe the value general practitioner (GPs) attribute to medical guidelines when they are applied to patients with multimorbidity, and to describe which benefits GPs experience from guideline adherence in these patients. Also, we aimed to identify limitations from guideline adherence in patients with multimorbidity, as perceived by GPs, and to describe their empirical solutions to manage these obstacles. Design: Focus group study with purposive sampling of participants. Focus groups were guided by an experienced moderator who used an interview guide. Interviews were transcribed verbatim. Data analysis was performed by two researchers using the constant comparison analysis technique and field notes were used in the analysis. Data collection proceeded until saturation was reached. Setting: Primary care, eastern part of The Netherlands. Participants: Dutch GPs, heterogeneous in age, sex and academic involvement. Results: 25 GPs participated in five focus groups. GPs valued the guidance that guidelines provide, but experienced shortcomings when they were applied to patients with multimorbidity. Taking these patients’ personal circumstances into account was regarded as important, but it was impeded by a consistent focus on guideline adherence. Preventative measures were considered less appropriate in (elderly) patients with multimorbidity. Moreover, the applicability of guidelines in patients with multimorbidity was questioned. GPs’ extensive practical experience with managing multimorbidity resulted in several empirical solutions, for example, using their ‘common sense’ to respond to the perceived shortcomings. Conclusions: GPs applying guidelines for patients with multimorbidity integrate patient-specific factors in their medical decisions, aiming for patient-centred solutions. Such integration of clinical experience and best evidence is required to practise evidence-based medicine. More flexibility in pay-for-performance systems is needed to facilitate this integration. Several improvements in guideline reporting are necessary to enhance the applicability of guidelines in patients with multimorbidity

Effectiveness of High Fidelity Video-Assisted Real-Time Simulation: A Comparison of Three Training Methods for Acute Pediatric Emergencies

Background. Video-assisted real-time simulation (VARS) offers the possibility of developing competence in acute medicine in a realistic and safe environment. We investigated the effectiveness of the VARS model and compared it with educational methods like Problem-Based Learning (PBL) and Pediatric Advanced Life Support (PALS). Methods. 45 fourth-year medical students were randomized for three educational methods. Level of knowledge and self-efficacy were measured before and after intervention. Clinical performance was measured by a blinded observer using a video checklist of prescripted scenarios on a high-fidelity simulator. Results. Knowledge test and self-efficacy scores improved significantly (P < 0.001) without differences between educational groups. The VARS group showed significantly (P < 0.05) higher scores on both postintervention scenarios concerning structure and time. Conclusion. VARS training is an effective educational method teaching pediatric acute care skills in the undergraduate curriculum. When compared to PBL and PALS training, VARS training appears to be superior in enhancing short-term clinical performance