Capital allocation for portfolios with non-linear risk aggregation

Existing risk capital allocation methods, such as the Euler rule, work under the explicit assumption that portfolios are formed as linear combinations of random loss/profit variables, with the firm being able to choose the portfolio weights. This assumption is unrealistic in an insurance context, where arbitrary scaling of risks is generally not possible. Here, we model risks as being partially generated by Lévy processes, capturing the non-linear aggregation of risk. The model leads to non-homogeneous fuzzy games, for which the Euler rule is not applicable. For such games, we seek capital allocations that are in the core, that is, do not provide incentives for splitting portfolios. We show that the Euler rule of an auxiliary linearised fuzzy game (non-uniquely) satisfies the core property and, thus, provides a plausible and easily implemented capital allocation. In contrast, the Aumann–Shapley allocation does not generally belong to the core. For the non-homogeneous fuzzy games studied, Tasche’s (1999) criterion of suitability for performance measurement is adapted and it is shown that the proposed allocation method gives appropriate signals for improving the portfolio underwriting profit

NLRX1 inhibits the early stages of CNS inflammation and prevents the onset of spontaneous autoimmunity

Nucleotide-binding, leucine-rich repeat containing X1 (NLRX1) is a mitochondria-located innate immune sensor that inhibits major pro-inflammatory pathways such as type I interferon and nuclear factor-κB signaling. We generated a novel, spontaneous, and rapidly progressing mouse model of multiple sclerosis (MS) by crossing myelin-specific T-cell receptor (TCR) transgenic mice with Nlrx1−/− mice. About half of the resulting progeny developed spontaneous experimental autoimmune encephalomyelitis (spEAE), which was associated with severe demyelination and inflammation in the central nervous system (CNS). Using lymphocyte-deficient mice and a series of adoptive transfer experiments, we demonstrate that genetic susceptibility to EAE lies within the innate immune compartment. We show that NLRX1 inhibits the subclinical stages of microglial activation and prevents the generation of neurotoxic astrocytes that induce neuronal and oligodendrocyte death in vitro. Moreover, we discovered several mutations within NLRX1 that run in MS-affected families. In summary, our findings highlight the importance of NLRX1 in controlling the early stages of CNS inflammation and preventing the onset of spontaneous autoimmunity

Inactivation of Effector Caspases through Nondegradative Polyubiquitylation

Ubiquitin-mediated inactivation of caspases has long been postulated to contribute to the regulation of apoptosis. However, detailed mechanisms and functional consequences of caspase ubiquitylation have not been demonstrated. Here we show that the Drosophila Inhibitor of Apoptosis 1, DIAP1, blocks effector caspases by targeting them for polyubiquitylation and nonproteasomal inactivation. We demonstrate that the conjugation of ubiquitin to drICE suppresses its catalytic potential in cleaving caspase substrates. Our data suggest that ubiquitin conjugation sterically interferes with substrate entry and reduces the caspase’s proteolytic velocity. Disruption of drICE ubiquitylation, either by mutation of DIAP1’s E3 activity or drICE’s ubiquitin-acceptor lysines, abrogates DIAP1’s ability to neutralize drICE and suppress apoptosis in vivo. We also show that DIAP1 rests in an “inactive” conformation that requires caspase-mediated cleavage to subsequently ubiquitylate caspases. Taken together, our findings demonstrate that effector caspases regulate their own inhibition through a negative feedback mechanism involving DIAP1 “activation” and nondegradative polyubiquitylation