Fitting phase--type scale mixtures to heavy--tailed data and distributions

We consider the fitting of heavy tailed data and distribution with a special attention to distributions with a non--standard shape in the "body" of the distribution. To this end we consider a dense class of heavy tailed distributions introduced recently, employing an EM algorithm for the the maximum likelihood estimates of its parameters. We present methods for fitting to observed data, histograms, censored data, as well as to theoretical distributions. Numerical examples are provided with simulated data and a benchmark reinsurance dataset. We empirically demonstrate that our model can provide excellent fits to heavy--tailed data/distributions with minimal assumption

Efficient simulation of ruin probabilities when claims are mixtures of heavy and light tails

We consider the classical Cram\'er-Lundberg risk model with claim sizes that are mixtures of phase-type and subexponential variables. Exploiting a specific geometric compound representation, we propose control variate techniques to efficiently simulate the ruin probability in this situation. The resulting estimators perform well for both small and large initial capital. We quantify the variance reduction as well as the efficiency gain of our method over another fast standard technique based on the classical Pollaczek-Khinchine formula. We provide a numerical example to illustrate the performance, and show that for more time-consuming conditional Monte Carlo techniques, the new series representation also does not compare unfavorably to the one based on the Pollaczek- Khinchine formula.Comment: 18 pages, 8 figure

Fitting phase--type scale mixtures to heavy--tailed data and distributions

We consider the fitting of heavy tailed data and distributions with a special attention to distributions with a non–standard shape in the “body” of the distribution. To this end we consider a dense class of heavy tailed distributions introduced in Bladt et al. (Scand. Actuar. J., 573–591 2015), employing an EM algorithm for the maximum likelihood estimation of its parameters. We present methods for fitting to observed data, histograms, censored data, as well as to theoretical distributions. Numerical examples are provided with simulated data and a benchmark reinsurance dataset. Empirical examples show that the methods will in most cases adequately fit both body and tail simultaneously

Combined tail estimation using censored data and expert information

status: publishe

On market share drivers in the Swiss mandatory health insurance sector

In the mandatory health insurance market in Switzerland, a range of insurers offer policies that differ in characteristics like premium and service level while benefits are the same and regulated by law. In this paper, we give an overview of the market and analyse the relationship between insurers' characteristics and the evolution of their market shares. Indeed, in view of substantial differences between the players, the risk that policyholders change their provider is important. We develop a linear model with two-sided lognormally distributed errors and use publicly available data on the Swiss mandatory health insurance market for the years from 2002 to 2015. Thereby we identify and quantify the main drivers for the policyholders' switching behavior that reflect in changes in market shares. The results suggest that market share changes are particularly linked to the difference between an insurer's premium and the overall market premium. In addition, the difference to the previous year's premium also has an impact on the market share while the service level as well as the group affiliation of a provider turn out not be significant in explaining annual market share changes

First-in-Man Phase I Trial of the Selective MET Inhibitor Tepotinib in Patients with Advanced Solid Tumors.

PurposeTepotinib is an oral, potent, highly selective MET inhibitor. This first-in-man phase I trial investigated the MTD of tepotinib to determine the recommended phase II dose (RP2D).Patients and methodsPatients received tepotinib orally according to one of three dose escalation regimens (R) on a 21-day cycle: R1, 30-400 mg once daily for 14 days; R2, 30-315 mg once daily 3 times/week; or R3, 300-1,400 mg once daily. After two cycles, treatment could continue in patients with stable disease until disease progression or unacceptable toxicity. The primary endpoint was incidence of dose-limiting toxicity (DLT) and treatment-emergent adverse events (TEAE). Secondary endpoints included safety, tolerability, pharmacokinetics, pharmacodynamics, and antitumor effects.ResultsOne hundred and forty-nine patients received tepotinib (R1: n = 42; R2: n = 45; R3: n = 62). Although six patients reported DLTs [one patient in R1 (115 mg), three patients in R2 (60, 100, 130 mg), two patients in R3 (1,000, 1,400 mg)], the MTD was not reached at the highest tested dose of 1,400 mg daily. The RP2D of tepotinib was established as 500 mg once daily, supported by translational modeling data as sufficient to achieve ≥95% MET inhibition in ≥90% of patients. Treatment-related TEAEs were mostly grade 1 or 2 fatigue, peripheral edema, decreased appetite, nausea, vomiting, and lipase increase. The best overall response in R3 was partial response in two patients, both with MET overexpression.ConclusionsTepotinib was well tolerated with clinical activity in MET-dysregulated tumors. The RP2D of tepotinib was established as 500 mg once daily. MET abnormalities can drive tumorigenesis. This first-in-man trial demonstrated that the potent, highly selective MET inhibitor tepotinib can reduce or stabilize tumor burden and is well tolerated at doses up to 1,400 mg once daily. An RP2D of 500 mg once daily, as determined from translational modeling and simulation integrating human population pharmacokinetic and pharmacodynamic data in tumor biopsies, is being used in ongoing clinical trials

On Sharp Large Deviations for the bridge of a general Diffusion

We provide sharp Large Deviation estimates for the probability of exit from a domain for the bridge of a $d$-dimensional general diffusion process $X$, as the conditioning time tends to $0$. This kind of results is motivated by applications to numerical simulation. In particular we investigate the influence of the drift $b$ of $X$. It turns out that the sharp asymptotics for the exit time probability are independent of the drift, provided $b$ enjoyes a simple condition that is always satisfied in dimension $1$. On the other hand, we show that the drift can be influential if this assumption is not satisfied.

A decision support system-based procedure for evaluation and monitoring of protected areas sustainability for the Mediterranean region

WOS: 000297078900015Despite common acknowledgement of the value of protected areas as instruments in ensuring sustainability, and their promotion for the achievement of policies on halting the loss of biodiversity, there is no common approach today for monitoring and evaluating them. This paper presents a novel integrated nature conservation management procedure developed to monitor and evaluate the sustainability of Mediterranean protected areas. This procedure was successfully implemented and formally evaluated by protected area managers in six Mediterranean countries, results of which are presented here together with an overview of the web-based Decision Support System (DSS) developed to facilitate its wide adoption. The DSS and procedure has been designed and evaluated by managers as a useful tool, which facilitates and provides needed procedural guidance for protected area monitoring whilst minimizing input requirements to do so. The procedure and DSS were developed following a review of existing protected area assessment tools and a detailed primary investigation of the needs and capacity of its intended users. Essentially, the procedure and DSS guides provide the facilities for protected area managers, in following a participatory approach to develop a context-specific sustainability monitoring strategy, for their protected area. Consequently, the procedure is, by design, participatory, context specific, holistic and relevant to protected area management and institutional procedures. The procedure was piloted and formally evaluated in Greece, Italy, Turkey, Egypt, Malta and Cyprus. Feedback collected from the pilot evaluations is also summarised herein.INTERREG III B [A.1.222 INNOVA]This research was funded under INTERREG III B Programme 'Archimed' A.1.222 INNOVA Project. The authors would like to acknowledge the contribution and input of the partners, protected area authorities, stakeholders and local communities. Special thanks to the University of Bari, the Polytechnic of Bari, Apulian Ministry of Environment, University of Lecce, Maltese Ministry of Rural Affairs and Environment, University of Malta, Agricultural Research Institute of Cyprus, Prefecture of Chania, Egyptian Desert Research Center, Palestinian Ministry of Agriculture, Palestinian National Authority, and Al Quads University

Edge stabilization in reduced-dimensional perovskites

Reduced-dimensional perovskites are attractive light-emitting materials due to their efficient luminescence, color purity, tunable bandgap, and structural diversity. A major limitation in perovskite light-emitting diodes is their limited operational stability. Here we demonstrate that rapid photodegradation arises from edge-initiated photooxidation, wherein oxidative attack is powered by photogenerated and electrically-injected carriers that diffuse to the nanoplatelet edges and produce superoxide. We report an edge-stabilization strategy wherein phosphine oxides passivate unsaturated lead sites during perovskite crystallization. With this approach, we synthesize reduced-dimensional perovskites that exhibit 97 ± 3% photoluminescence quantum yields and stabilities that exceed 300 h upon continuous illumination in an air ambient. We achieve green-emitting devices with a peak external quantum efficiency (EQE) of 14% at 1000 cd m-2; their maximum luminance is 4.5 × 104 cd m-2 (corresponding to an EQE of 5%); and, at 4000 cd m-2, they achieve an operational half-lifetime of 3.5 h.This publication is based in part on work supported by an award (KUS-11-009-21) from the King Abdullah University of Science and Technology (KAUST), by the Ontario Research Fund Research Excellence Program, by the Ontario Research Fund (ORF), by the Natural Sciences and Engineering Research Council (NSERC) of Canada, and by the US Department of Navy, Office of Naval Research (Grant Award No. N00014-17-1-2524). H.Y. acknowledges the Research Foundation-Flanders (FWO Vlaanderen) for a postdoctoral fellowship. E.B. gratefully acknowledges financial support by the Research Foundation-Flanders (FWO Vlaanderen). S.B. acknowledges financial support from European Research Council (ERC Starting Grant #815128-REALNANO). M.B.J.R. and J.H. acknowledge the Research Foundation-Flanders (FWO, Grants G.0962.13, G.0B39.15, AKUL/11/14 and G0H6316N), KU Leuven Research Fund (C14/15/053) and the European Research Council under the European Union’s Seventh Framework Programme (FP/2007-2013)/ERC Grant Agreement No. [307523], ERC-Stg LIGHT to M.B.J.R. DFT calculations were performed on the IBM BlueGene Q supercomputer with support from the Southern Ontario Smart Computing Innovation Platform (SOSCIP). M.I.S. acknowledges the Banting Postdoctoral Fellowship program from the Natural Sciences and Engineering Research Council of Canada (NSERC). H.T. acknowledges the Netherlands Organisation for Scientific Research (NWO) for a Rubicon grant (680-50-1511)