Portfolio Optimization under Solvency Constraints: A Dynamical Approach

We develop portfolio optimization problems for a nonlife insurance company seeking to find the minimum capital required that simultaneously satisfies solvency and portfolio performance constraints. Motivated by standard insurance regulations, we consider solvency capital requirements based on three criteria: ruin probability, conditional Value-at-Risk, and expected policyholder deficit ratio. We propose a novel semiparametric formulation for each problem and explore the advantages of implementing this methodology over other potential approaches. When liabilities follow a Lognormal distribution, we provide sufficient conditions for convexity for each problem. Using different expected return on capital target levels, we construct efficient frontiers when portfolio assets are modeled with a special class of multivariate GARCH models. We find that the correlation between asset returns plays an important role in the behavior of the optimal capital required and the portfolio structure. The stability and out-of-sample performance of our optimal solutions are empirically tested with respect to both the solvency requirement and portfolio performance, through a double rolling window estimation exercise

Phase-Controlled Force and Magnetization Oscillations in Superconducting Ballistic Nanowires

The emergence of superconductivity-induced phase-controlled forces in the (0.01-0.1) nN range, and of magnetization oscillations, in nanowire junctions, is discussed. A giant magnetic response to applied weak magnetic fields, is predicted in the ballistic Josephson junction formed by a superconducting tip and a surface, bridged by a normal metal nanowire where Andreev states form.Comment: 5 pages, 3 figure

NMR investigations of interactions between anesthetics and lipid bilayers

Interactions between anesthetics (lidocaine and short chain alcohols) and lipid membranes formed by dimyristoylphosphatidylcholine (DMPC) were studied using NMR spectroscopy. The orientational order of lidocaine was investigated using deuterium NMR on a selectively labelled compound whereas segmental ordering in the lipids was probed by two-dimensional 1H-13C separated local field experiments under magic-angle spinning conditions. In addition, trajectories generated in molecular dynamics (MD) computer simulations were used for interpretation of the experimental results. Separate simulations were carried out with charged and uncharged lidocaine molecules. Reasonable agreement between experimental dipolar interactions and the calculated counterparts was observed. Our results clearly show that charged lidocaine affects significantly the lipid headgroup. In particular the ordering of the lipids is increased accompanied by drastic changes in the orientation of the P-N vector in the choline group

Tollip, an early regulator of the acute inflammatory response in the substantia nigra.

Tollip is a ubiquitously expressed protein, originally described as a modulator of the IL-1R/TLR-NF-κB signaling pathways. Although this property has been well characterized in peripheral cells, and despite some evidence of its expression in the central nervous system, the role of Tollip in neuroinflammation remains poorly understood. The present study sought to explore the implication of Tollip in inflammation in the substantia nigra pars compacta, the structure affected in Parkinson's disease. We first investigated Tollip distribution in the midbrain by immunohistochemistry. Then, we addressed TLR4-mediated response by intra-nigral injections of lipopolysaccharide (LPS), a TLR4 agonist, on inflammatory markers in Tollip knockout (KO) and wild-type (WT) mice. We report an unexpectedly high Tollip immunostaining in dopaminergic neurons of the mice brain. Second, intra-nigral injection of LPS led to increased susceptibility to neuroinflammation in Tollip KO compared to Tollip WT mice. This was demonstrated by a significant increase of tumor necrosis factor alpha (TNF-α), interleukin 1 beta (IL-1β), interleukin 6 (IL-6), and interferon gamma (IFN-γ) messenger RNA (mRNA) in the midbrain of Tollip KO mice upon LPS injection. Consistently, brain rAAV viral vector transduction with a nuclear factor kappa B (NF-κB)-inducible reporter gene confirmed increased NF-κB activation in Tollip KO mice. Lastly, Tollip KO mice displayed higher inducible NO synthase (iNOS) production, both at the messenger and protein level when compared to LPS-injected WT mice. Tollip deletion also aggravated LPS-induced oxidative and nitrosative damages, as indicated by an increase of 8-oxo-2'-deoxyguanosine and nitrotyrosine immunostaining, respectively. Altogether, these findings highlight a critical role of Tollip in the early phase of TLR4-mediated neuroinflammation. As brain inflammation is known to contribute to Parkinson's disease, Tollip may be a potential target for neuroprotection

A transcriptome-driven analysis of epithelial brushings and bronchial biopsies to define asthma phenotypes in U-BIOPRED

RATIONALE AND OBJECTIVES: Asthma is a heterogeneous disease driven by diverse immunologic and inflammatory mechanisms. We used transcriptomic profiling of airway tissues to help define asthma phenotypes. METHODS: The transcriptome from bronchial biopsies and epithelial brushings of 107 moderate-to-severe asthmatics were annotated by gene-set variation analysis (GSVA) using 42 gene-signatures relevant to asthma, inflammation and immune function. Topological data analysis (TDA) of clinical and histological data was used to derive clusters and the nearest shrunken centroid algorithm used for signature refinement. RESULTS: 9 GSVA signatures expressed in bronchial biopsies and airway epithelial brushings distinguished two distinct asthma subtypes associated with high expression of T-helper type 2 (Th-2) cytokines and lack of corticosteroid response (Group 1 and Group 3). Group 1 had the highest submucosal eosinophils, high exhaled nitric oxide (FeNO) levels, exacerbation rates and oral corticosteroid (OCS) use whilst Group 3 patients showed the highest levels of sputum eosinophils and had a high BMI. In contrast, Group 2 and Group 4 patients had an 86% and 64% probability of having non-eosinophilic inflammation. Using machine-learning tools, we describe an inference scheme using the currently-available inflammatory biomarkers sputum eosinophilia and exhaled nitric oxide levels along with OCS use that could predict the subtypes of gene expression within bronchial biopsies and epithelial cells with good sensitivity and specificity. CONCLUSION: This analysis demonstrates the usefulness of a transcriptomic-driven approach to phenotyping that segments patients who may benefit the most from specific agents that target Th2-mediated inflammation and/or corticosteroid insensitivity

Correlation Functions and Coulomb Blockade of Interacting Fermions at Finite Temperature and Size

We present explicit expressions for the correlation functions of interacting fermions in one dimension which are valid for arbitrary system sizes and temperatures. The result applies to a number of very different strongly correlated systems, including mesoscopic quantum wires, quantum Hall edges, spin chains and quasi-one-dimensional metals. It is for example possible to calculate Coulomb blockade oscillations from our expression and determine their dependence on interaction strength and temperature. Numerical simulations show excellent agreement with the analytical results.Comment: 10 pages in revtex format including 2 embedded figures (using epsf). The latest complete postscript file is available from http://fy.chalmers.se/~eggert/papers/corrfcn.ps or by request from [email protected]

Persistent current in a one-dimensional ring of fractionally charged "exclusons''

The Aharonov-Bohm effect in a one-dimensional (1D) ring containing a gas of fractionally charged excitations is considered. It is shown that the low temperature behavior of the system is identical to that of free electrons with (integer) charge $e$. This is a direct consequence of the fact that the total charge in the ring is quantized in units of the electron charge. Anomalous oscillations of the persistent current amplitude with temperature are predicted to occur as a direct manifistation of the fractional nature of the quasiparticle charge. A 1D conducting ring with gate induced periodical potential is discussed as a possible set-up for an experimental observation of the predicted phenomenon.Comment: 4 pages, RevTex, uuencoded figure

Pre-hospital advanced airway management by anaesthetist and nurse anaesthetist critical care teams: a prospective observational study of 2028 pre-hospital tracheal intubations

Background: Pre-hospital tracheal intubation success and complication rates vary considerably among provider categories. The purpose of this study was to estimate the success and complication rates of pre-hospital tracheal intubation performed by physician anaesthetist or nurse anaesthetist pre-hospital critical care teams. Methods: Data were prospectively collected from critical care teams staffed with a physician anaesthetist or a nurse anaesthetist according to the Utstein template for pre-hospital advanced airway management. The patients served by six ambulance helicopters and six rapid response vehicles in Denmark, Finland, Norway, and Sweden from May 2015 to November 2016 were included. Results: The critical care teams attended to 32 007 patients; 2028 (6.3%) required pre-hospital tracheal intubation. The overall success rate of pre-hospital tracheal intubation was 98.7% with a median intubation time of 25 s and an on-scene time of 25 min. The majority (67.0%) of the patients' tracheas were intubated by providers who had performed >2500 tracheal intubations. The success rate of tracheal intubation on the first attempt was 84.5%, and 95.9% of intubations were completed after two attempts. Complications related to pre-hospital tracheal intubation were recorded in 10.9% of the patients. Intubations after rapid sequence induction had a higher success rate compared with intubations without rapid sequence induction (99.4% vs 98.1%; P=0.02). Physicians had a higher tracheal intubation success rate than nurses (99.0% vs 97.6%; P=0.03). Conclusions: When performed by experienced physician anaesthetists and nurse anaesthetists, pre-hospital tracheal intubation was completed rapidly with high success rates and a low incidence of complications.Peer reviewe

Aharonov-Bohm Oscillations in a One-Dimensional Wigner Crystal-Ring

We calculate the magnetic moment (`persistent current') in a strongly correlated electron system --- a Wigner crystal --- in a one-dimensional ballistic ring. The flux and temperature dependence of the persistent current in a perfect ring is shown to be essentially the same as for a system of non-interacting electrons. In contrast, by incorporating into the ring geometry a tunnel barrier that pins the Wigner crystal, the current is suppressed and its temperature dependence is drastically changed. The competition between two temperature effects --- the reduced barrier height for macroscopic tunneling and loss of quantum coherence --- may result in a sharp peak in the temperature dependence. The character of the macroscopic quantum tunneling of a Wigner crystal ring is dictated by the strength of pinning. At strong pinning the tunneling of a rigid Wigner crystal chain is highly inhomogeneous, and the persistent current has a well-defined peak at $T\sim 0.5\ \hbar s/L$ independent of the barrier height ($s$ is the sound velocity of the Wigner crystal, $L$ is the length of the ring). In the weak pinning regime, the Wigner crystal tunnels through the barrier as a whole and if $V_p>T_0$ the effect of the barrier is to suppress the current amplitude and to shift the crossover temperature from $T_0$ to $T^*\simeq \sqrt{V_{p}T_{0}}$. ($V_{p}$ is the amplitude of the pinning potential, $T_{0} =\hbar v_{F}/L ,\; v_{F}\sim \hbar/ma$ is the drift velocity of a Wigner crystal ring with lattice spacing $a$). For very weak pinning, $V_p\ll T_0$, the influence of the barrier on the persistent current of a Wigner crystal ring is negligibly small.Comment: 30 pages, RevTeX, 2 figures available on reques