Optimisation of Conditional-VaR in an Actuarial Model for Credit Risk Assuming a Student Copula Dependence Structure

In this paper we present a model for the valuation of the risk of credit portfolios. It uses both traditional tools of credit risk valuations and more recent ones like copula functions and Conditional VaR theory. The model we propose is based on some key assumptions we here summarise: first of all, the risk of default is modelled using the time-until-default of an exposure; moreover the hazard rates are random variables whose values follow gamma distributions coherently with CreditRisk+ proposed by Credit Suisse and others; recovery rates themselves are supposed to be stochastic (following a Beta distribution). The main aspect of our proposal is the introduction of credit migration in the context of an intensity-based model with copula function dependence structure (we use a Student copula to model correlations between the obligors). This permits to quantify the loss distribution of the portfolio and to calculate some useful indexes of risk for the probability distribution of the values of the portfolio: expectation, variance, alpha-VaR, and, following Rockafellar & Uryasev, the alpha-conditional VaR (alpha-CVaR) of the portfolio itself. The final aim of the model is to present a more flexible and realistic approach to valuation and management of the risk of credit portfolios. Infact, in comparison with the traditional approaches, we remove some restrictive assumptions and try to generalize the valuation scheme (i.e. CreditMetrics considers constant hazard rates while CreditRisk+ takes into account constant recovery rates with no credit migrations). We conclude the article with a large numerical example in order to test the model

survival probabilities for hiv infected patients through semi markov processes

SUMMARY In this paper we apply a parametric semi-Markov process to model the dynamic evolution of HIV-1 infected patients. The seriousness of the infection is rendered by the CD4+ T-lymphocyte counts. For this purpose we introduce the main features of nonhomogeneous semi-Markov models. After determining the transition probabilities and the waiting time distributions in each state of the disease, we solve the evolution equations of the process in order to estimate the interval transition probabilities. These quantities appear to be of fundamental importance for clinical predictions. We also estimate the survival probabilities for HIV infected patients and compare them with respect to certain categories, such as gender, age group or type of antiretroviral therapy. Finally we attach a reward structure to the aforementioned semi-Markov processes in order to estimate clinical costs. For this purpose we generate random trajectories from the semi-Markov processes through Monte Carlo simulation. The proposed model is then applied to a large database provided by ISS (Istituto Superiore di Sanità, Rome, Italy), and all the quantities of interest are computed

Low back pain in healthy postmenopausal women and the effect of physical activity: A secondary analysis in a randomized trial.

Epidemiological studies on the prevalence of musculoskeletal pain have consistently shown that this is a relevant health problem, with non-specific low back pain (LBP) being the most commonly reported in adult females. Conflicting data on the association between LBP symptoms and physical activity (PA) have been reported. Here, we investigated the prevalence of LBP and the effect of a 24-month non-specific PA intervention on changes in LBP prevalence in a series of Italian healthy postmenopausal women. We performed a secondary analysis in the frame of the DAMA trial, a factorial randomized intervention trial aimed to evaluate the ability of a 24-month intervention, based on moderate-intensity PA, and/or dietary modification, in reducing mammographic breast density in healthy postmenopausal women. The PA intervention included at least 1 hour/day of moderate PA and a more strenuous weekly activity, collective walks and theoretical group sessions. A self-administered pain questionnaire was administered at baseline and at the end of the intervention. The questionnaire was specifically structured to investigate the occurrence of musculoskeletal pain, the body localization, intensity and duration of the pain. Two hundred and ten women (102 randomized to PA intervention, 108 not receiving the PA intervention) filled out the questionnaires. At baseline LBP was present in 32.9% of the participants. Among women randomized to the PA intervention, LBP prevalence at follow up (21.6%) was lower than at baseline (33.3%) (p = 0.02), while in women who did not receive the PA intervention the LBP prevalence at baseline and follow up were 32.4% and 25.9%, respectively (p = 0.30). Overall, there was no significant between-group effect of PA intervention on LBP. Further studies are needed to understand the role of non-specific PA intervention, aimed to improve overall fitness, on LBP prevalence

I am Robot, Your Health Adviser for Older Adults: Do You Trust My Advice?

Artificial intelligence and robotic solutions are seeing rapid development for use across multiple occupations and sectors, including health and social care. As robots grow more prominent in our work and home environments, whether people would favour them in receiving useful advice becomes a pressing question. In the context of human–robot interaction (HRI), little is known about people’s advice-taking behaviour and trust in the advice of robots. To this aim, we conducted an experimental study with older adults to measure their trust and compliance with robot-based advice in health-related situations. In our experiment, older adults were instructed by a fictional human dispenser to ask a humanoid robot for advice on certain vitamins and over-the-counter supplements supplied by the dispenser. In the first experimented condition, the robot would give only information-type advice, i.e., neutral informative advice on the supplements given by the human. In the second condition, the robot would give recommendation-type advice, i.e., advice in favour of more supplements than those suggested initially by the human. We measured the trust of the participants in the type of robot-based advice, anticipating that they would be more trusting of information-type advice. Moreover, we measured the compliance with the advice, for participants who received robot-based recommendations, and a closer proxy of the actual use of robot health advisers in home environments or facilities in the foreseeable future. Our findings indicated that older adults continued to trust the robot regardless of the type of advice received, highlighting a type of protective role of robot-based recommendations on their trust. We also found that higher trust in the robot resulted in higher compliance with its advice. The results underpinned the likeliness of older adults welcoming a robot at their homes or health facilities

Radiomic Gradient in Peritumoural Tissue of Liver Metastases: A Biomarker for Clinical Practice? Analysing Density, Entropy, and Uniformity Variations with Distance from the Tumour

The radiomic analysis of the tissue surrounding colorectal liver metastases (CRLM) enhances the prediction accuracy of pathology data and survival. We explored the variation of the textural features in the peritumoural tissue as the distance from CRLM increases. We considered patients with hypodense CRLMs >10 mm and high-quality computed tomography (CT). In the portal phase, we segmented (1) the tumour, (2) a series of concentric rims at a progressively increasing distance from CRLM (from one to ten millimetres), and (3) a cylinder of normal parenchyma (Liver-VOI). Sixty-three CRLMs in 51 patients were analysed. Median peritumoural HU values were similar to Liver-VOI, except for the first millimetre around the CRLM. Entropy progressively decreased (from 3.11 of CRLM to 2.54 of Liver-VOI), while uniformity increased (from 0.135 to 0.199, p < 0.001). At 10 mm from CRLM, entropy was similar to the Liver-VOI in 62% of cases and uniformity in 46%. In small CRLMs (≤30 mm) and responders to chemotherapy, normalisation of entropy and uniformity values occurred in a higher proportion of cases and at a shorter distance. The radiomic analysis of the parenchyma surrounding CRLMs unveiled a wide halo of progressively decreasing entropy and increasing uniformity despite a normal radiological aspect. Underlying pathology data should be investigated

Investigating the Role of Circulating miRNAs as Biomarkers in Colorectal Cancer: An Epidemiological Systematic Review

Colorectal cancer (CRC) is one of the most common cancers worldwide. Primary and secondary preventions are key to reducing the global burden. MicroRNAs (miRNAs) are a group of small non-coding RNA molecules, which seem to have a role either as tumor suppressor genes or oncogenes and to be related to cancer risk factors, such as obesity and inflammation. We conducted a systematic review and meta-analysis to identify circulating miRNAs related to CRC diagnosis that could be selected as biomarkers in a meet-in-the-middle analysis. Forty-four studies were included in the systematic review and nine studies in the meta-analysis. The pooled sensitivity and specificity of miR-21 for CRC diagnosis were 77% (95% CI: 69–84) and 82% (95% CI: 70–90), respectively, with an AUC of 0.86 (95% CI: 0.82–0.88). Several miRNAs were found to be dysregulated, distinguishing patients with CRC from healthy controls. However, little consistency was present across the included studies, making it challenging to identify specific miRNAs, which were consistently validated. Understanding the mechanisms by which miRNAs become biologically embedded in cancer initiation and promotion may help better understand cancer pathways to develop more effective prevention strategies and therapy approaches