Optimal XL-insurance under Wasserstein-type ambiguity

We study the problem of optimal insurance contract design for risk management under a budget constraint. The contract holder takes into consideration that the loss distribution is not entirely known and therefore faces an ambiguity problem. For a given set of models, we formulate a minimax optimization problem of finding an optimal insurance contract that minimizes the distortion risk functional of the retained loss with premium limitation. We demonstrate that under the average value-at-risk measure, the entrance-excess of loss contracts are optimal under ambiguity, and we solve the distributionally robust optimal contract-design problem. It is assumed that the insurance premium is calculated according to a given baseline loss distribution and that the ambiguity set of possible distributions forms a neighborhood of the baseline distribution. To this end, we introduce a contorted Wasserstein distance. This distance is finer in the tails of the distributions compared to the usual Wasserstein distance

Mean-risk models using two risk measures: A multi-objective approach

This paper proposes a model for portfolio optimisation, in which distributions are characterised and compared on the basis of three statistics: the expected value, the variance and the CVaR at a specified confidence level. The problem is multi-objective and transformed into a single objective problem in which variance is minimised while constraints are imposed on the expected value and CVaR. In the case of discrete random variables, the problem is a quadratic program. The mean-variance (mean-CVaR) efficient solutions that are not dominated with respect to CVaR (variance) are particular efficient solutions of the proposed model. In addition, the model has efficient solutions that are discarded by both mean-variance and mean-CVaR models, although they may improve the return distribution. The model is tested on real data drawn from the FTSE 100 index. An analysis of the return distribution of the chosen portfolios is presented

Drought impact in the Bolivian Altiplano agriculture associated with the El Niño–Southern Oscillation using satellite imagery data

Drought is a major natural hazard in the Bolivian Altiplano that causes large agricultural losses. However, the drought effect on agriculture varies largely on a local scale due to diverse factors such as climatological and hydrological conditions, sensitivity of crop yield to water stress, and crop phenological stage among others. To improve the knowledge of drought impact on agriculture, this study aims to classify drought severity using vegetation and land surface temperature data, analyse the relationship between drought and climate anomalies, and examine the spatio-temporal variability of drought using vegetation and climate data. Empirical data for drought assessment purposes in this area are scarce and spatially unevenly distributed. Due to these limitations we used vegetation, land surface temperature (LST), precipitation derived from satellite imagery, and gridded air temperature data products. Initially, we tested the performance of satellite precipitation and gridded air temperature data on a local level. Then, the normalized difference vegetation index (NDVI) and LST were used to classify drought events associated with past El Niño–Southern Oscillation (ENSO) phases. It was found that the most severe drought events generally occur during a positive ENSO phase (El Niño years). In addition, we found that a decrease in vegetation is mainly driven by low precipitation and high temperature, and we identified areas where agricultural losses will be most pronounced under such conditions. The results show that droughts can be monitored using satellite imagery data when ground data are scarce or of poor data quality. The results can be especially beneficial for emergency response operations and for enabling a proactive approach to disaster risk management against droughts

Bergman kernel and complex singularity exponent

We give a precise estimate of the Bergman kernel for the model domain defined by $\Omega_F=\{(z,w)\in \mathbb{C}^{n+1}:{\rm Im}w-|F(z)|^2>0\},$ where $F=(f_1,...,f_m)$ is a holomorphic map from $\mathbb{C}^n$ to $\mathbb{C}^m$, in terms of the complex singularity exponent of $F$.Comment: to appear in Science in China, a special issue dedicated to Professor Zhong Tongde's 80th birthda

HMM based scenario generation for an investment optimisation problem

This is the post-print version of the article. The official published version can be accessed from the link below - Copyright @ 2012 Springer-Verlag.The Geometric Brownian motion (GBM) is a standard method for modelling financial time series. An important criticism of this method is that the parameters of the GBM are assumed to be constants; due to this fact, important features of the time series, like extreme behaviour or volatility clustering cannot be captured. We propose an approach by which the parameters of the GBM are able to switch between regimes, more precisely they are governed by a hidden Markov chain. Thus, we model the financial time series via a hidden Markov model (HMM) with a GBM in each state. Using this approach, we generate scenarios for a financial portfolio optimisation problem in which the portfolio CVaR is minimised. Numerical results are presented.This study was funded by NET ACE at OptiRisk Systems

Reinstated p53 response and high anti-T-cell leukemia activity by the novel alkylating deacetylase inhibitor tinostamustine

Non peer reviewe

Measuring, modeling, and managing systemic risk: the missing aspect of human agency

It is problematic to treat systemic risk as a merely technical problem that can be solved by natural-science methods and through biological and ecological analogies. There appears to be a discrepancy between understanding systemic risk from a natural-science perspective and the unresolved challenges that arise when humans with their initiatives and interactions are included in systemic-risk considerations. It is therefore necessary to investigate possible fundamental differences and similarities of systemic risk with and without accounting for human involvement. Focusing on applied and implementation aspects of measuring, modeling, and managing systemic risks, we identify three important and distinct features characterizing such fundamental differences: indetermination, indecision, and responsibility. We contend that, first, including human initiatives and interactions in systemic-risk considerations must emphasize a type of variability that is especially relevant in this context, namely the role of free will as a fundamental source of essential indetermination in human agency. Second, we postulate that collective indecision generated by mutual uncertainty often leads to the suspension or alteration of rules, procedures, scripts, and norms. Consequently, the associated systemic risks cannot be incorporated into explanatory models, as the new causal rules cannot be predicted and accounted for. Third, analogies from biology and ecology, especially the idea of ‘contagion,’ downplay human agency, and therefore human responsibility, promoting the false belief that systemic risk is a merely technical problem. For each of these three features, we provide recommendations for future directions and suggest how measuring, modeling, and managing approaches from the natural-science domain can best be applied in light of human agency

IL-13 Stimulates Proliferation and Expression of Mucin and Immunomodulatory Genes in Cultured Conjunctival Goblet Cells

Citation: Tukler Henriksson J, Coursey TG, Corry DB, De Paiva CS, Pflugfelder SC. IL-13 stimulates proliferation and expression of mucin and immunomodulatory genes in cultured conjunctival goblet cells. Invest Ophthalmol Vis Sci. 2015;56:4186-4197. DOI:10.1167/iovs.14-15496 PURPOSE. To investigate the effects of IL-13 on goblet cell proliferation, differentiation, and expression of mucin and immunomodulatory genes. METHODS. Explants were excised from the conjunctiva of young C57BL/6 mice. Cultures received 200 lL per week of either Keratinocyte media (KSFM) or KSFM supplemented with 10 ng/mL IL-13 and were incubated for 3 (D3), 7 (D7), or 14 (D14) days. Subsequently, cell proliferation was assessed or cultures were immunostained, collected for dot blot, or for reverse transcription (RT) and quantitative real-time PCR (qPCR) or for RT-PCR gene array. RESULTS. The cultured conjunctival epithelium expressed goblet cell associated keratin 7 and mucins MUC5AC and MUC2 and when stimulated with IL-13 showed increased proliferation at D3 and D7 (P < 0.05) compared with control. MUC5AC expression was increased in the IL-13-treated group at D3 and D14 (P < 0.05). IL-13-treated cultures showed increased chemokine ligand 26 (CCL26), chloride channel calcium activated channel 3 (CLCA3), fas ligand (FasL), and Relm-b at D7. All conjunctival cultures expressed MUC2, and its expression was decreased at D3 (P < 0.05) and increased at D14 (P < 0.05) with IL-13 treatment. CONCLUSIONS. This study demonstrated that conjunctival goblet cells are IL-13 responsive cells that produce factors known to maintain epithelial barrier, stimulate mucin production, and modulate immune response in nonocular mucosa when treated with IL-13. The functional significance of IL-13-stimulated factors remains to be determined. Keywords: conjunctiva, goblet cells, interleukin-13, cell culture T he conjunctiva covers two-thirds of the ocular surface and functions as a support tissue for cornea. 2,3 Conjunctival goblet cells are surrounded by lymphocytes and dendritic cells and their density has been found to change in certain ocular surface immune/inflammatory conditions. 4 Goblet cell density has been reported to decrease in aqueous tear deficiency, a condition where T helper 1 (Th1) and Th17 cells infiltrate the conjunctiva, and increase in atopic keratoconjunctivitis and vernal keratoconjunctivitis, predominantly Th2-mediated diseases. 5-8 The mucus stimulating activity of the Th2 cytokine IL-13 has been reported to have a defensive role in the intestines by eliminating helminthic parasites and in the airways by protecting from particles or allergens. 9,10 However, excessive IL-13 expression is associated with goblet cell hyperplasia and mucous hypersecretion, both in the gut and in the airways where it can result in airway obstruction. The purpose of the present study was to investigate whether the Th2 cytokine IL-13 can modulate proliferation, differentiation, and expression of mucin and immunomodulatory gene

DEAR project: Lunar dust surface interactions, risk and removal investigations

The DEAR project (Dusty Environment Application Research) investigates the interaction between lunar regolith and surfaces and components relevant for lunar exploration. Based on the TUBS regolith simulant which is representative in chemistry, size and shape properties to Moon soils to study the regolith transport, adhesion and strategies for cleaning. The regolith simulant will be applied to thermal, structural, optical sensor, sealing and other astronautic systems, providing input for requirements, justification and verification. The key applications are split in human space flight regolith investigations, wrinkled surface with random movement and hardware surfaces, flat material defined movement. The paper provides an overview of the DEAR project including a discussion of the first results, in particular vibration, shock and micro-vibration on regolith bearing surfaces. The investigation shall enable better understand the regolith layers interaction and the release mechanism, as well as potential cross contamination and cleaning strategies. The research is complemented by simulation of the regolith motion as parameter surface plasma interactions. The project is funded and supported by the European Space Agency (ESA). DEAR specifically addresses the development and testing of lunar dust removal strategies on optics, mechanisms and human space flight hardware (e.g., space suits). As the Moons regolith is known to be highly abrasive, electrically chargeable, and potentially chemically reactive, lunar dust might reduce the performance of hardware, such as cameras, thermal control surfaces and solar cells. The dust can cause malfunction on seals for on/off mechanisms or space suits. Of particular interest are risk assessment, avoidance, and cleaning techniques such as the use of electric fields to remove lunar dust from surfaces. Representative dust (e.g., regolith analogues of interesting landing sites) will be used in a dedicated test setup to evaluate risks and effects of lunar dust. We describe designs and methods developed by the DEAR consortium to deal with the regolith-related issues, in particular an electrode design to deflect regolith particles, cleaning of astronautical systems with CO2, design of a robotic arm for the testing within the DEAR chamber, regolith removal via shock, and regolith interaction with cleanroom textile