Dynamic Analysis of the Insurance Linked Securities Index

This paper aims to provide a dynamic analysis of the insurance linked securities index. We are discussing the behaviour of the index for three years and pointing out the consequences of some major events like Katrina or the last and current financial crisis. Some stylized facts of the index, like the non-Gaussianity, the asymmetry or the clusters of volatility, are highlighted. We are using some GARCH-type models and the generalized hyperbolic distributions in order to capture these elements. The GARCH in Mean model with a Normal Inverse Gaussian distribution seems to be very efficient to fit the log-returns of the insurance linked securities index.Insurance Linked Securities, Garch-type models, Normal Inverse Gaussian Distribution

Association of Rare Genetic Variants in Opioid Receptors with Tourette Syndrome

Background: Genes involved in Tourette syndrome (TS) remain largely unknown. We aimed to identify genetic factors contributing to TS in a French cohort of 120 individuals using a combination of hypothesis-driven and exome-sequencing approaches. Methods: We first sequenced exons of SLITRK1-6 and HDC in the TS cohort and subsequently sequenced the exome of 12 individuals harboring rare variants in these genes to find additional rare variants contributing to the disorder under the hypothesis of oligogenic inheritance. We further screened three candidate genes (OPRK1, PCDH10, and NTSR2) preferentially expressed in the basal ganglia, and three additional genes involved in neurotensin and opioid signaling (OPRM1, NTS, and NTSR1), and compared variant frequencies in TS patients and 788 matched control individuals. We also investigated the impact of altering the expression of Oprk1 in zebrafish. Results: Thirteen ultrarare missense variants of SLITRK1-6 and HDC were identified in 12 patients. Exome sequencing in these patients revealed rare possibly deleterious variants in 3,041 genes, 54 of which were preferentially expressed in the basal ganglia. Comparison of variant frequencies altering selected candidate genes in TS and control individuals revealed an excess of potentially disrupting variants in OPRK1, encoding the opioid kappa receptor, in TS patients. Accordingly, we show that downregulation of the Oprk1 orthologue in zebrafish induces a hyperkinetic phenotype in early development. Discussion: These results support a heterogeneous and complex genetic etiology of TS, possibly involving rare variants altering the opioid pathway in some individuals, which could represent a novel therapeutic target in this disorder

Correction: Association of Rare Genetic Variants in Opioid Receptors with Tourette Syndrome.

[This corrects the article DOI: 10.5334/tohm.464.]

Induction of transforming growth factor beta receptors following focal ischemia in the rat brain

Transforming growth factor-βs (TGF-βs) regulate cellular proliferation, differentiation, and survival. TGF-βs bind to type I (TGF-βRI) and II receptors (TGF-βRII), which are transmembrane kinase receptors, and an accessory type III receptor (TGF-βRIII). TGF-β may utilize another type I receptor, activin-like kinase receptor (Alk1). TGF-β is neuroprotective in the middle cerebral artery occlusion (MCAO) model of stroke. Recently, we reported the expression pattern of TGF-β1-3 after MCAO. To establish how TGF-βs exert their actions following MCAO, the present study describes the induction of TGF-βRI, RII, RIII and Alk1 at 24 h, 72 h and 1 mo after transient 1 h MCAO as well as following 24 h permanent MCAO using in situ hybridization histochemistry. In intact brain, only TGF-βRI had significant expression: neurons in cortical layer IV contained TGF-βRI. At 24 h after the occlusion, no TGF-β receptors showed induction. At 72 h following MCAO, all four types of TGF-β receptors were induced in the infarct area, while TGF-βRI and RII also appeared in the penumbra. Most cells with elevated TGF-βRI mRNA levels were microglia. TGF-βRII co-localized with both microglial and endothelial markers while TGF-βRIII and Alk1 were present predominantly in endothels. All four TGF-β receptors were induced within the lesion 1 mo after the occlusion. In particular, TGF-βRIII was further induced as compared to 72 h after MCAO. At this time point, TGF-βRIII signal was predominantly not associated with blood vessels suggesting its microglial location. These data suggest that TGF-β receptors are induced after MCAO in a timely and spatially regulated fashion. TGF-β receptor expression is preceded by increased TGF-β expression. TGF-βRI and RII are likely to be co-expressed in microglial cells while Alk1, TGF-βRII, and RIII in endothels within the infarct where TGF-β1 may be their ligand. At later time points, TGF-βRIII may also appear in glial cells to potentially affect signal transduction via TGF-βRI and RII

Dynamic Analysis of the Insurance Linked Securities Index

URL des Documents de travail : http://ces.univ-paris1.fr/cesdp/CESFramDP2008.htmClassification JEL : G12, G14, C16, C22.Soumis à Journal of Risk and Insurance.Documents de travail du Centre d'Economie de la Sorbonne 2008.49 - ISSN : 1955-611XThis paper aims to provide a dynamic analysis of the insurance linked securities index. We are discussing the behaviour of the index for three years and pointing out the consequences of some major events like Katrina or the last and current financial crisis. Some stylized facts of the index, like the non-Gaussianity, the asymmetry or the clusters of volatility, are highlighted. We are using some GARCH-type models and the generalized hyperbolic distributions in order to capture these elements. The GARCH in Mean model with a Normal Inverse Gaussian distribution seems to be very efficient to fit the log-returns of the insurance linked securities index.Ce papier fournit une analyse dynamique de l'indice des insurance linked securities. Nous discutons le comportement de l'indice sur les trois dernières années en mettant en avant les conséquences de quelques événements majeurs comme Katrina ou la crise financière actuelle. Quelques faits stylisés, comme la non-normalité, l'asymétrie, ou les agrégats de volatilité sont soulignés. Nous utilisons des modèles de type GARCH and les distributiions généralisées hyperboliques afin de capturer ces éléments. Le modèle GARCH-M avec une distribution NIG paraît efficace pour la modélisation des log-rendements de l'indice

Towards an understanding approach of the insurance linked securities market

URL des Documents de travail :http://ces.univ-paris1.fr/cesdp/CESFramDP2008.htmClassification JEL : G10, G12, G14.Submitted to Variance.Documents de travail du Centre d'Economie de la Sorbonne 2008.06 - ISSN : 1955-611XThe paper aims to present the insurance linked securities market behaviour, that has changed a lot the past three years, both in terms of structure and in terms of ceded risks. After having introduced some stylized facts characterizing the insurance linked securities we capture their market price of risk, following the methodologies of Wang (2004), Lane (2000) and Fermat Capital Management (2005). A dynamical study of the insurance linked securities is also provided in order to understand the elements driving the spreads : the consequences of the catastrophic events, the seasonality and the diversification effects between some different risks are highlighted.Cet article présente le comportement du marché des insurances linked securities, à la fois en termes de structure et en termes de risques échangés. Après avoir introduit quelques faits stylisés caractérisant les ILS, nous capturons leur prix de marché du risque, en suivant les méthodologies de Wang (2004), Lane (2000) et de Fermat Capital Management (2005). Une étude dynamique des insurance linked securities est également menée afin de comprendre les éléments guidant les spreads : les conséquences des évènements catastrophiques, la saisonnalité et les effets de diversification entre les risques sont mis en avant

Towards an understanding approach of the insurance linked securities market.

The paper aims to present the insurance linked securities market behaviour, that has changed a lot the past three years, both in terms of structure and in terms of ceded risks. After having introduced some stylized facts characterizing the insurance linked securities we capture their market price of risk, following the methodologies of Wang (2004), Lane (2000) and Fermat Capital Management (2005). A dynamical study of the insurance linked securities is also provided in order to understand the elements driving the spreads : the consequences of the catastrophic events, the seasonality and the diversification effects between some different risks are highlighted.Insurance linked securities, cat. bonds, market price of risk.

Adsorption of a C10E3 non-ionic surfactant on a Ca-smectite

The transformation of clay minerals into organo-clays by surfactant intercalation is of great environmental and industrial importance because it causes the clay to attract hydrophobic contaminants and other non-polar organic compounds, but a better understanding is needed of the mechanisms by which different classes of surfactants are intercalated. The purpose of this study was to synthesize and characterize an organo-clay comprising triethylene glycol monodecyl ether (CE) non-ionic surfactant, which has a lamellar phase at room temperature, intercalated into Ca-montmorillonite from Wyoming (SWy-2). The CE non-ionic surfactant differed from previous non-ionic surfactants used in the formation of a lamellar phase in that it consisted of the stacking of molecules by hydrophobic interaction. CE-clay composites were characterized by complementary techniques (adsorption isotherms, X-ray diffraction, and infrared spectroscopy) and were compared to benzyldimethyltetradecyl ammonium chloride (BDTAC) cationic surfactant-clay composites for different loadings of the surfactant. For large loadings, the amount of CE adsorbed, which can be described by the Langmuir equation, seemed to reach a steady state close to that of the cationic surfactant. The adsorption processes of the two surfactants were different. For the cationic surfactant, the adsorption, as described in the literature, was due to ion exchange between organic cations and Ca counterions. The adsorption of CE did not depend on electrostatic interaction but rather was due to several interaction mechanisms (H-bonding, ion-dipole, and hydrophobic interaction). For both surfactants, the expansion was limited to two adsorbed monolayers parallel to the clay surface. The expansion of the basal spacing to 17 Å suggested a complete dissociation of the CE lamellar phase when adsorbed on the Ca-smectite. Organo-clays made using the non-ionic surfactant were stable, changing the chemical nature of clay to hydrophobic, and allowing for other cations to be exchanged, which has importance in the manufacture of new nanocomposites or geochemical barriers