Efficient pricing and estimation methods in finance

[Abstract not given by author

The cost of counterparty risk and collateralization in longevity swaps

Derivative longevity risk solutions, such as bespoke and indexed longevity swaps, allow pension schemes and annuity providers to swap out longevity risk, but introduce counterparty credit risk, which can be mitigated if not fully eliminated by collateralization. We examine the impact of bilateral default risk and collateral rules on the marking to market of longevity swaps, and show how longevity swap rates must be determined endogenously from the collateral flows associated with the marking-to-market procedure. For typical interest rate and mortality parameters, we find that the impact of collateralization is modest in the presence of symmetric default risk, but more pronounced when default risk and/or collateral rules are asymmetric. Our results suggest that the overall cost of collateralization is comparable with, and often much smaller than, that found in the interest-rate swaps market (as a result of the offsetting effects of interest rate and longevity risks), which may then provide the appropriate reference framework for the credit enhancement of both indemnity-based and indexed longevity risk solutions.longevity swap; counterparty risk; default risk; collateral; marking-to-market

The cost of counterparty risk and collateralization in longevity swaps

Derivative longevity risk solutions, such as bespoke and indexed longevity swaps, allow pension schemes and annuity providers to swap out longevity risk, but introduce counterparty credit risk, which can be mitigated if not fully eliminated by collateralization. We examine the impact of bilateral default risk and collateral rules on the marking to market of longevity swaps, and show how longevity swap rates must be determined endogenously from the collateral flows associated with the marking-to-market procedure. For typical interest rate and mortality parameters, we find that the impact of collateralization is modest in the presence of symmetric default risk, but more pronounced when default risk and/or collateral rules are asymmetric. Our results suggest that the overall cost of collateralization is comparable with, and often much smaller than, that found in the interest-rate swaps market (as a result of the offsetting effects of interest rate and longevity risks), which may then provide the appropriate reference framework for the credit enhancement of both indemnity-based and indexed longevity risk solutions

Prescription appropriateness of anti-diabetes drugs in elderly patients hospitalized in a clinical setting: evidence from the REPOSI Register

Diabetes is an increasing global health burden with the highest prevalence (24.0%) observed in elderly people. Older diabetic adults have a greater risk of hospitalization and several geriatric syndromes than older nondiabetic adults. For these conditions, special care is required in prescribing therapies including anti- diabetes drugs. Aim of this study was to evaluate the appropriateness and the adherence to safety recommendations in the prescriptions of glucose-lowering drugs in hospitalized elderly patients with diabetes. Data for this cross-sectional study were obtained from the REgistro POliterapie-Società Italiana Medicina Interna (REPOSI) that collected clinical information on patients aged ≥ 65 years acutely admitted to Italian internal medicine and geriatric non-intensive care units (ICU) from 2010 up to 2019. Prescription appropriateness was assessed according to the 2019 AGS Beers Criteria and anti-diabetes drug data sheets.Among 5349 patients, 1624 (30.3%) had diagnosis of type 2 diabetes. At admission, 37.7% of diabetic patients received treatment with metformin, 37.3% insulin therapy, 16.4% sulfonylureas, and 11.4% glinides. Surprisingly, only 3.1% of diabetic patients were treated with new classes of anti- diabetes drugs. According to prescription criteria, at admission 15.4% of patients treated with metformin and 2.6% with sulfonylureas received inappropriately these treatments. At discharge, the inappropriateness of metformin therapy decreased (10.2%, P < 0.0001). According to Beers criteria, the inappropriate prescriptions of sulfonylureas raised to 29% both at admission and at discharge. This study shows a poor adherence to current guidelines on diabetes management in hospitalized elderly people with a high prevalence of inappropriate use of sulfonylureas according to the Beers criteria

Clinical features and outcomes of elderly hospitalised patients with chronic obstructive pulmonary disease, heart failure or both

Background and objective: Chronic obstructive pulmonary disease (COPD) and heart failure (HF) mutually increase the risk of being present in the same patient, especially if older. Whether or not this coexistence may be associated with a worse prognosis is debated. Therefore, employing data derived from the REPOSI register, we evaluated the clinical features and outcomes in a population of elderly patients admitted to internal medicine wards and having COPD, HF or COPD + HF. Methods: We measured socio-demographic and anthropometric characteristics, severity and prevalence of comorbidities, clinical and laboratory features during hospitalization, mood disorders, functional independence, drug prescriptions and discharge destination. The primary study outcome was the risk of death. Results: We considered 2,343 elderly hospitalized patients (median age 81 years), of whom 1,154 (49%) had COPD, 813 (35%) HF, and 376 (16%) COPD + HF. Patients with COPD + HF had different characteristics than those with COPD or HF, such as a higher prevalence of previous hospitalizations, comorbidities (especially chronic kidney disease), higher respiratory rate at admission and number of prescribed drugs. Patients with COPD + HF (hazard ratio HR 1.74, 95% confidence intervals CI 1.16–2.61) and patients with dementia (HR 1.75, 95% CI 1.06–2.90) had a higher risk of death at one year. The Kaplan–Meier curves showed a higher mortality risk in the group of patients with COPD + HF for all causes (p = 0.010), respiratory causes (p = 0.006), cardiovascular causes (p = 0.046) and respiratory plus cardiovascular causes (p = 0.009). Conclusion: In this real-life cohort of hospitalized elderly patients, the coexistence of COPD and HF significantly worsened prognosis at one year. This finding may help to better define the care needs of this population

The “Diabetes Comorbidome”: A Different Way for Health Professionals to Approach the Comorbidity Burden of Diabetes

(1) Background: The disease burden related to diabetes is increasing greatly, particularly in older subjects. A more comprehensive approach towards the assessment and management of diabetes’ comorbidities is necessary. The aim of this study was to implement our previous data identifying and representing the prevalence of the comorbidities, their association with mortality, and the strength of their relationship in hospitalized elderly patients with diabetes, developing, at the same time, a new graphic representation model of the comorbidome called “Diabetes Comorbidome”. (2) Methods: Data were collected from the RePoSi register. Comorbidities, socio-demographic data, severity and comorbidity indexes (Cumulative Illness rating Scale CIRS-SI and CIRS-CI), and functional status (Barthel Index), were recorded. Mortality rates were assessed in hospital and 3 and 12 months after discharge. (3) Results: Of the 4714 hospitalized elderly patients, 1378 had diabetes. The comorbidities distribution showed that arterial hypertension (57.1%), ischemic heart disease (31.4%), chronic renal failure (28.8%), atrial fibrillation (25.6%), and COPD (22.7%), were the more frequent in subjects with diabetes. The graphic comorbidome showed that the strongest predictors of death at in hospital and at the 3-month follow-up were dementia and cancer. At the 1-year follow-up, cancer was the first comorbidity independently associated with mortality. (4) Conclusions: The “Diabetes Comorbidome” represents the perfect instrument for determining the prevalence of comorbidities and the strength of their relationship with risk of death, as well as the need for an effective treatment for improving clinical outcomes

Antidiabetic Drug Prescription Pattern in Hospitalized Older Patients with Diabetes

Objective: To describe the prescription pattern of antidiabetic and cardiovascular drugs in a cohort of hospitalized older patients with diabetes. Methods: Patients with diabetes aged 65 years or older hospitalized in internal medicine and/or geriatric wards throughout Italy and enrolled in the REPOSI (REgistro POliterapuie SIMI—Società Italiana di Medicina Interna) registry from 2010 to 2019 and discharged alive were included. Results: Among 1703 patients with diabetes, 1433 (84.2%) were on treatment with at least one antidiabetic drug at hospital admission, mainly prescribed as monotherapy with insulin (28.3%) or metformin (19.2%). The proportion of treated patients decreased at discharge (N = 1309, 76.9%), with a significant reduction over time. Among those prescribed, the proportion of those with insulin alone increased over time (p = 0.0066), while the proportion of those prescribed sulfonylureas decreased (p < 0.0001). Among patients receiving antidiabetic therapy at discharge, 1063 (81.2%) were also prescribed cardiovascular drugs, mainly with an antihypertensive drug alone or in combination (N = 777, 73.1%). Conclusion: The management of older patients with diabetes in a hospital setting is often sub-optimal, as shown by the increasing trend in insulin at discharge, even if an overall improvement has been highlighted by the prevalent decrease in sulfonylureas prescription

Clinical features and outcomes of elderly hospitalised patients with chronic obstructive pulmonary disease, heart failure or both

Background and objective: Chronic obstructive pulmonary disease (COPD) and heart failure (HF) mutually increase the risk of being present in the same patient, especially if older. Whether or not this coexistence may be associated with a worse prognosis is debated. Therefore, employing data derived from the REPOSI register, we evaluated the clinical features and outcomes in a population of elderly patients admitted to internal medicine wards and having COPD, HF or COPD + HF. Methods: We measured socio-demographic and anthropometric characteristics, severity and prevalence of comorbidities, clinical and laboratory features during hospitalization, mood disorders, functional independence, drug prescriptions and discharge destination. The primary study outcome was the risk of death. Results: We considered 2,343 elderly hospitalized patients (median age 81 years), of whom 1,154 (49%) had COPD, 813 (35%) HF, and 376 (16%) COPD + HF. Patients with COPD + HF had different characteristics than those with COPD or HF, such as a higher prevalence of previous hospitalizations, comorbidities (especially chronic kidney disease), higher respiratory rate at admission and number of prescribed drugs. Patients with COPD + HF (hazard ratio HR 1.74, 95% confidence intervals CI 1.16-2.61) and patients with dementia (HR 1.75, 95% CI 1.06-2.90) had a higher risk of death at one year. The Kaplan-Meier curves showed a higher mortality risk in the group of patients with COPD + HF for all causes (p = 0.010), respiratory causes (p = 0.006), cardiovascular causes (p = 0.046) and respiratory plus cardiovascular causes (p = 0.009). Conclusion: In this real-life cohort of hospitalized elderly patients, the coexistence of COPD and HF significantly worsened prognosis at one year. This finding may help to better define the care needs of this population

Clinical features and outcomes of elderly hospitalised patients with chronic obstructive pulmonary disease, heart failure or both

Background and objective: Chronic obstructive pulmonary disease (COPD) and heart failure (HF) mutually increase the risk of being present in the same patient, especially if older. Whether or not this coexistence may be associated with a worse prognosis is debated. Therefore, employing data derived from the REPOSI register, we evaluated the clinical features and outcomes in a population of elderly patients admitted to internal medicine wards and having COPD, HF or COPD + HF. Methods: We measured socio-demographic and anthropometric characteristics, severity and prevalence of comorbidities, clinical and laboratory features during hospitalization, mood disorders, functional independence, drug prescriptions and discharge destination. The primary study outcome was the risk of death. Results: We considered 2,343 elderly hospitalized patients (median age 81 years), of whom 1,154 (49%) had COPD, 813 (35%) HF, and 376 (16%) COPD + HF. Patients with COPD + HF had different characteristics than those with COPD or HF, such as a higher prevalence of previous hospitalizations, comorbidities (especially chronic kidney disease), higher respiratory rate at admission and number of prescribed drugs. Patients with COPD + HF (hazard ratio HR 1.74, 95% confidence intervals CI 1.16-2.61) and patients with dementia (HR 1.75, 95% CI 1.06-2.90) had a higher risk of death at one year. The Kaplan-Meier curves showed a higher mortality risk in the group of patients with COPD + HF for all causes (p = 0.010), respiratory causes (p = 0.006), cardiovascular causes (p = 0.046) and respiratory plus cardiovascular causes (p = 0.009). Conclusion: In this real-life cohort of hospitalized elderly patients, the coexistence of COPD and HF significantly worsened prognosis at one year. This finding may help to better define the care needs of this population

Studio dell'intervallo QT dopo somministrazione di fentanyl e fentanyl-propofol-isoflurano nel cane sano

Introduzione: La sindrome del QT lungo consiste in una disfunzione elettrica cardiaca che può condurre a torsade de pointes (TdP), grave tachiaritmia ventricolare polimorfa potenzialmente correlata a convulsioni, transitorie perdite di coscienza (T-LoC) e morte improvvisa. L’obiettivo del presente lavoro è stato la valutazione di eventuali prolungamenti dei tempi di ripolarizzazione indotti dal fentanyl, somministrato singolarmente e in associazione a propofol e isofluorano, mediante analisi degli intervalli QT e QTc. Materiali e Metodi: Lo studio è stato condotto su 30 cani sani di peso incluso tra 23 e 35 kg, di età compresa tra 6 e 42 mesi, ASA I, anestetizzati per procedure diagnostiche. I soggetti sono stati suddivisi in tre gruppi. Nel gruppo F5, i pazienti hanno ricevuto fentanyl a 5 μg/kg EV; nel gruppo F7,5 hanno ricevuto fentanyl a 7,5 μg/kg EV; al gruppo FPI è stato somministrato fentanyl a 5 μg/kg EV seguito da propofol a 4-6 mg/kg EV e isofluorano. Il monitoraggio elettrocardiografico e dei parametri emodinamici è stato realizzato ogni 5 minuti per 25 minuti. I dati ottenuti sono stati confrontati tra loro e con i valori basali, rilevati al tempo T0 prima di qualsiasi somministrazione. Risultati: L’impiego di fentanyl a 5 μg/kg e a 7,5 μg/kg per via EV ha determinato prolungamenti significativi dell’intervallo QTc solo al tempo TP. L’associazione di fentanyl a 5 μg/kg EV, propofol e isofluorano ha evidenziato incrementi significativi nella durata del QT e del QTc ad ogni intervallo di tempo rispetto ai valori basali. Conclusioni: Il solo fentanyl a 5 μg/kg e a 7,5 μg/kg EV non provoca allungamento dell’intervallo QT. L’associazione del fentanyl, in dose di 5 μg/kg EV, con propofol e isofluorano ha determinato un prolungamento degli intervalli QT e QTc, la cui causa è ascrivibile agli agenti anestetici piuttosto che all’oppioide da solo