Stochastic Models for Actuarial Use: The Equilibrium Modelling of Local Markets

2009 ◽  
Vol 39 (1) ◽  
pp. 339-370 ◽  
Author(s):  
Robert J. Thomson ◽  
Dmitri V. Gott
Keyword(s):  
Local Market ◽  
Market Participants ◽  
Market Portfolio ◽  
One Year ◽  
The One ◽  
Mean Variance ◽  
Annual Time ◽  
Time Subject

AbstractIn this paper, a long-term equilibrium model of a local market is developed. Subject to minor qualifications, the model is arbitrage-free. The variables modelled are the prices of risk-free zero-coupon bonds – both index-linked and conventional – and of equities, as well as the inflation rate. The model is developed in discrete (nominally annual) time, but allowance is made for processes in continuous time subject to continuous rebalancing. It is based on a model of the market portfolio comprising all the above-mentioned asset categories. The risk-free asset is taken to be the one-year index-linked bond. It is assumed that, conditionally upon information at the beginning of a year, market participants have homogeneous expectations with regard to the forthcoming year and make their decisions in mean-variance space. For the purposes of illustration, a descriptive version of the model is developed with reference to UK data. The parameters produced by that process may be used to inform the determination of those required for the use of the model as a predictive model. Illustrative results of simulations of the model are given.

scholarly journals Impact of atrial fibrillation pattern on outcomes after left atrial appendage closure: lessons from the prospective LAARGE registry

2021 ◽  
Author(s):  
Shinwan Kany ◽  
Johannes Brachmann ◽  
Thorsten Lewalter ◽  
Ibrahim Akin ◽  
Horst Sievert ◽  
...  
Keyword(s):  
Atrial Fibrillation ◽  
Left Atrial Appendage ◽  
Systemic Embolism ◽  
Long Term Outcomes ◽  
Increased Risk ◽  
History Of ◽  
One Year ◽  
The One

Abstract Background Non-paroxysmal (NPAF) forms of atrial fibrillation (AF) have been reported to be associated with an increased risk for systemic embolism or death. Methods Comparison of procedural details and long-term outcomes in patients (pts) with paroxysmal AF (PAF) against controls with NPAF in the prospective, multicentre observational registry of patients undergoing LAAC (LAARGE). Results A total of 638 pts (PAF 274 pts, NPAF 364 pts) were enrolled. In both groups, a history of PVI was rare (4.0% vs 1.6%, p = 0.066). The total CHA2DS2-VASc score was lower in the PAF group (4.4 ± 1.5 vs 4.6 ± 1.5, p = 0.033), while HAS-BLED score (3.8 ± 1.1 vs 3.9 ± 1.1, p = 0.40) was comparable. The rate of successful implantation was equally high (97.4% vs 97.8%, p = 0.77). In the three-month echo follow-up, LA thrombi (2.1% vs 7.3%, p = 0.12) and peridevice leak > 5 mm (0.0% vs 7.1%, p = 0.53) were numerically higher in the NPAF group. Overall, in-hospital complications occurred in 15.0% of the PAF cohort and 10.7% of the NPAF cohort (p = 0.12). In the one-year follow-up, unadjusted mortality (8.4% vs 14.0%, p = 0.039) and combined outcome of death, stroke and systemic embolism (8.8% vs 15.1%, p = 0.022) were significantly higher in the NPAF cohort. After adjusting for CHA2DS2-VASc and previous bleeding, NPAF was associated with increased death/stroke/systemic embolism (HR 1.67, 95% CI 1.02–2.72, p = 0.041). Conclusion Atrial fibrillation type did not impair periprocedural safety or in-hospital MACE patients undergoing LAAC. However, after one year, NPAF was associated with higher mortality. Graphic abstract

scholarly journals EM-Based Monitoring and Probabilistic Analysis of Prestress Loss of Bonded Tendons in PSC Beams

2018 ◽  
Vol 2018 ◽  
pp. 1-9 ◽  
Author(s):  
Zheheng Chen ◽  
Shanwen Zhang
Keyword(s):  
Probabilistic Analysis ◽  
Prestressed Concrete ◽  
Monitoring Methods ◽  
Prestress Loss ◽  
External Tendons ◽  
Material Environment ◽  
Key Factor ◽  
One Year

The prestress level is a key factor of prestressed concrete (PSC) beams, affecting their long-term serviceability and safety. Existing monitoring methods, however, are not effective in obtaining the force or stress of embedded tendons. This paper investigates the feasibility of elastomagnetic (EM) sensors, which have been used for external tendons, in monitoring the long-term prestress loss of bonded tendons. The influence of ambient temperature, water, eccentricity ratio, plastic duct, and cement grouts on the test results of EM sensors is experimentally examined. Based on the calibrated EM sensors, prestress loss of a group of PSC beams was monitored for one year. In order to further consider the high randomness in material, environment, and construction, probabilistic analysis of prestress loss is conducted. Finally, the variation range of prestress loss with a certain confidence level is obtained and is compared with the monitored data, which provides a basis for the determination of prestress level in the design of PSC beams.

scholarly journals Quantification of mortality and morbidity in general population of heavily-industrialized city of Abadan: Effect of long-term exposure

2021 ◽  
Author(s):  
Akram Ghorbanian ◽  
Ahmad Jonidi Jafari ◽  
Abbas Shahsavani ◽  
Ali Abdolahnejad ◽  
Majid Kermani ◽  
...  
Keyword(s):  
Air Pollution ◽  
Mortality Data ◽  
Air Pollution Control ◽  
Medical Sciences ◽  
Mortality And Morbidity ◽  
Khuzestan Province ◽  
Vice Chancellor ◽  
One Year ◽  
The One

Introduction: In the 21st century, air pollution has become a global and environmental challenge. The increase in cases of illness and mortality due to air pollution is not hidden from anyone. Therefore, in this study, we estimated the mortality rate due to cause by air pollution agents (PM2.5) in the southernmost city of Khuzestan province (Abadan city) at 2018-2019. Materials and methods: To estimate the mortality duo to air pollution, data related to PM2.5 particles daily concentrations was received from the Abadan Environmental Protection Organization. The average 24-h concentrations of PM2.5 were calculated using Excel. Then, mortality data were obtained from the Vice Chancellor for Health, Abadan University of Medical Sciences. Finally, by AirQ+ software, each of the mortality in 2018-2019 in Abadan was estimated. Results: The obtained data indicated that the concentration of PM2.5 particles within the one-year period was higher than the value set by WHO guideline and EPA standard. Which caused the citizens of Abadan to be exposed to PM2.5 more than 8.23 times than the guidelines of the WHO and 5.34 times more than the standard of the EPA. The output of the model used in this study was as follows: natural mortality (462 cases, AP: 38.25%), mortality duo to LC (6 cases, AP: 32.18%), mortality duo to COPD (8 cases, AP: 26.64%), mortality duo to Stroke (86 cases, AP: 71.26%), mortality duo to IHD (183 cases, AP: 68.34%) and mortality duo to ALRI (2 cases, AP: 32.9%). Conclusion: Planning appropriate strategies of air pollution control to reduce exposure and attributable mortalities is important and necessary.

Long-term predictors of remission in patients treated for medication-overuse headache at a specialized headache center: A prospective cohort study

Cephalalgia ◽  
2016 ◽  
Vol 38 (2) ◽  
pp. 265-273 ◽  
Author(s):  
Jasna J Zidverc-Trajkovic ◽  
Tatjana Pekmezovic ◽  
Zagorka Jovanovic ◽  
Aleksandra Pavlovic ◽  
Milija Mijajlovic ◽  
...  
Keyword(s):  
Cohort Study ◽  
Prospective Cohort Study ◽  
Prospective Cohort ◽  
Medication Overuse ◽  
Medication Overuse Headache ◽  
Predictive Values ◽  
One Year ◽  
The One

Objective To evaluate long-term predictors of remission in patients with medication-overuse headache (MOH) by prospective cohort study. Background Knowledge regarding long-term predictors of MOH outcome is limited. Methods Two hundred and forty MOH patients recruited from 2000 to 2005 were included in a one-year follow-up study and then subsequently followed until 31 December 2013. The median follow-up was three years (interquartile range, three years). Predictive values of selected variables were assessed by the Cox proportional hazard regression model. Results At the end of follow-up, 102 (42.5%) patients were in remission. The most important predictors of remission were lower number of headache days per month before the one-year follow-up (HR-hazard ratio = 0.936, 95% confidence interval (CI) 0.884–0.990, p = 0.021) and efficient initial drug withdrawal (HR = 0.136, 95% CI 0.042–0.444, p = 0.001). Refractory MOH was observed in seven (2.9%) and MOH relapse in 131 patients (54.6%). Conclusions Outcome at the one-year follow-up is a reliable predictor of MOH long-term remission.

scholarly journals Flat Glass or Crystal Dome Aperture? A Year-Long Comparative Analysis of the Performance of Light Pipes in Real Residential Settings and Climatic Conditions

2020 ◽  
Vol 12 (9) ◽  
pp. 3858 ◽  
Author(s):  
Magda Sibley ◽  
Antonio Peña-García
Keyword(s):  
Comparative Analysis ◽  
Flat Glass ◽  
Climatic Conditions ◽  
Long Term Effect ◽  
Different Types ◽  
The Difference ◽  
The Aesthetic ◽  
One Year ◽  
The One

This paper presents the first comparative study of its type of the performance of light pipes with different types of apertures: a flat glass versus a bohemian crystal dome. Measurements were taken at 20-minute intervals over a period of one year in the bathrooms of two newly built identical houses of the same orientation located in Manchester, UK. The comparative analysis of the data collected for both light pipes types reveals that the crystal domed aperture consistently outperforms the flat glass one. Furthermore, the difference in the recorded horizontal illuminance is most marked during the winter months and at the end of the one-year experiment, indicating that the crystal dome has better performance for low incident winter light and higher resistance for the long term effect of weathering and pollution. This study provides strong evidence based on long term real measurements. Such evidence informs architects’ decisions when weighing up the aesthetic considerations of a flat glass aperture versus the higher illumination levels afforded by a crystal dome aperture with higher resistance to weathering and pollution.

scholarly journals Conditional Variance Forecasts for Long-Term Stock Returns

Risks ◽  
2019 ◽  
Vol 7 (4) ◽  
pp. 113 ◽  
Author(s):  
Enno Mammen ◽  
Jens Perch Nielsen ◽  
Michael Scholz ◽  
Stefan Sperlich
Keyword(s):  
Stock Returns ◽  
Conditional Variance ◽  
Price Ratio ◽  
Prediction Errors ◽  
Step Procedure ◽  
Short And Long Term ◽  
Smoothing Parameters ◽  
One Year ◽  
The One

In this paper, we apply machine learning to forecast the conditional variance of long-term stock returns measured in excess of different benchmarks, considering the short- and long-term interest rate, the earnings-by-price ratio, and the inflation rate. In particular, we apply in a two-step procedure a fully nonparametric local-linear smoother and choose the set of covariates as well as the smoothing parameters via cross-validation. We find that volatility forecastability is much less important at longer horizons regardless of the chosen model and that the homoscedastic historical average of the squared return prediction errors gives an adequate approximation of the unobserved realised conditional variance for both the one-year and five-year horizon.

Robert E. Horton Memorial Lecture

1978 ◽  
Vol 59 (3) ◽  
pp. 258-266 ◽  
Author(s):  
J. P. Bruce
Keyword(s):  
Water Quality Management ◽  
Water System ◽  
Memorial Lecture ◽  
Project Design ◽  
Drought Frequency ◽  
Upper Great Lakes ◽  
Water Project ◽  
The One

The field of hydrometeorology has always been a difficult one to define. For the present purposes, the term will be used to include those fields in which meteorologists and water specialists must interact closely to solve problems. Traditionally, these interactions have been on topics such as flood forecasting and determination of storm, flood, and drought frequency for water project design. Some of the most important needs of water managers for meteorological information and advice are emphasized here. Internationally, a growing recognition of the importance of hydrometeorology is attested to by the work programs of the World Meteorological Organization and of the U.N. Water Conference of March 1977. Although flood and drought topics remain important in hydrometeorology, there are two subjects whose significance has gained recognition in recent years. One is the need for much greater collaboration on long-term climatic change between meteorologists and climatologists, on the one hand, and water scientists working in hydrology, glaciology, and lake sediments, on the other. Water planners are increasingly anxious to incorporate better estimates and predictions of longer-term climatic probabilities in project design. The second subject of increasing concern is the transport of contaminants and nutrients to water systems through the atmosphere. In some basins, such as the Upper Great Lakes, atmospheric sources of some contaminants and nutrients dominate the chemical budgets of the water system. Meteorological knowledge of cycling and transport of such substances will be an essential key to future water quality management programs.

scholarly journals Economic Evaluation of CYP2C19 Genotype-Guided Antiplatelet Therapy Compared to Universal use of Ticagrelor or Clopidogrel in Qatar

2020 ◽  
Author(s):  
Sawsan Ibrahim AlMukdad ◽  
Hazem Elewa ◽  
Daoud Al-Badriyeh
Keyword(s):  
Cost Effectiveness ◽  
Incremental Cost ◽  
Antiplatelet Therapy ◽  
Cost Effective ◽  
Cyp2c19 Genotype ◽  
Life Years ◽  
One Year ◽  
The One ◽  
Guided Therapy

Background: Patients having CYP2C19 loss-of-function alleles and receiving clopidogrel are at higher risk of adverse cardiovascular outcomes. Ticagrelor is a more effective and expensive antiplatelet that is unaffected by the CYP2C19 polymorphism. The main aim of the current research is to evaluate the cost-effectiveness among CYP2C19 genotype-guided therapy, universal ticagrelor, and universal clopidogrel after a percutaneous coronary intervention (PCI). Methods: A two-part simulation model, including a one-year decision-analytic model and a 20-year followup Markov model, was created to follow the use of (i) universal clopidogrel, (ii) universal ticagrelor, and (iii) genotype-guided antiplatelet therapy. Outcome measures were the incremental cost-effectiveness ratio (ICER, cost/success) and incremental cost-utility ratio (ICUR, cost/qualityadjusted life years [QALY]). Therapy success was defined as survival without myocardial infarction, stroke, cardiovascular death, stent thrombosis, and no therapy discontinuation because of adverse events, i.e. major bleeding and dyspnea. The model was based on a multivariate analysis, and a sensitivity analysis confirmed the robustness of the model outcomes. Results: Against universal clopidogrel, genotype-guided therapy was cost-effective over the one-year duration (ICER, USD 6,102 /success), and dominant over the long-term. Genotype-guided therapy was dominant over universal ticagrelor over the one-year duration and cost-effective over the long term (ICUR, USD 1,383 /QALY). Universal clopidogrel was dominant over ticagrelor over the short term, and cost-effective over the long-term (ICUR, 10,616 /QALY). Conclusion: CYP2C19 genotype-guided therapy appears to be the preferred antiplatelet strategy, followed by universal clopidogrel, and then universal ticagrelor for post-PCI patients in Qatar.

scholarly journals Long-term Experience with Triheptanoin in 12 Austrian Patients with Long-chain Fatty Acid Oxidation Disorders

2020 ◽  
Author(s):  
Thomas Zöggeler ◽  
Katharina Stock ◽  
Monika Jörg-Streller ◽  
Johannes Spenger ◽  
Vassiliki Konstantopoulou ◽  
...  
Keyword(s):  
Fatty Acid ◽  
Pediatric Patients ◽  
Chain Fatty Acid ◽  
Acid Oxidation ◽  
Long Chain Fatty Acid ◽  
Fatty Acid Oxidation Disorders ◽  
One Year ◽  
The One ◽  
Long Term Experience

Abstract BackgroundLong-chain fatty acid oxidation disorders (LC-FAOD) are a group of rare inborn errors of metabolism with autosomal recessive inheritance that may cause life-threatening events. Treatment with triheptanoin, a synthetic seven-carbon fatty acid triglyceride compound with an anaplerotic effect, seems beneficial, but clinical experience is limited. We report our long-term experience in an Austrian cohort of LC-FAOD patients.MethodsWe retrospectively assessed clinical outcome and total hospitalization days per year before and after start with triheptanoin by reviewing medical records of 12 Austrian LC-FAOD patientsResultsFor 12 Austrian LC-FAOD patients at three metabolic centers, triheptanoin was started shortly after birth in 3/12, and between 7.34 and 353.3 (median 44.5; mean 81.1) months of age in 9/12 patients. For 11 pediatric patients, mean duration of triheptanoin intake was 5.3 (median 3.9, range 1.2 to 15.7) years, 10/11 pediatric patients have an ongoing intake of triheptanoin. One patient quit therapy due to reported side effects. Total hospitalization days per year compared to before triheptanoin treatment decreased by 82.3% from 27.1 (range 11-65) days per year to 4.8 (range 0-13) days per year, and hospitalization days in the one year pre- compared to the one year post-triheptanoin decreased by 69.8% from 27.1 (range 4-75) days to 8.2 (range 0-25) days. All patients are in good clinical condition, show normal psychomotor development and no impairment in daily life activities.ConclusionIn this retrospective observational study in an Austrian LC-FAOD cohort, triheptanoin data show improvement in disease course. Triheptanoin appears to be a safe and beneficial treatment option in LC-FAOD. For further clarification, additional prospective randomized controlled trials are needed.

scholarly journals Smithsonian Astrophysical Observatory Ozone Mapping and Profiler Suite (SAO OMPS) formaldehyde retrieval

2015 ◽  
Vol 8 (9) ◽  
pp. 9209-9240 ◽  
Author(s):  
G. González Abad ◽  
A. Vasilkov ◽  
C. Seftor ◽  
X. Liu ◽  
K. Chance
Keyword(s):  
Detection Limit ◽  
Spectral Resolution ◽  
Signal To Noise Ratio ◽  
Data Sets ◽  
Ozone Monitoring Instrument ◽  
Vertical Column ◽  
High Concentrations ◽  
One Year ◽  
The One

Abstract. This paper presents our new formaldehyde (H2CO) retrievals, obtained from spectra recorded by the nadir instrument of the Ozone Mapping and Profiler Suite (OMPS) flown on-board NASA's Suomi National Polar-orbiting Partnership (SUOMI-NPP) satellite. Our algorithm is similar to the one currently in place for the production of NASA's Ozone Monitoring Instrument (OMI) operational H2CO product. We are now able to produce a consistent set of long term data from two different instruments that share a similar concept. The ongoing overlap period between OMI and OMPS offers a perfect opportunity to study the consistency between both data sets. The different spatial and spectral resolution of the instruments is a source of discrepancy in the retrievals despite the similarity of the physic assumptions of the algorithm. We have concluded that the reduced spectral resolution of OMPS in comparison with OMI is not a significant obstacle in obtaining good quality retrievals. Indeed, the improved signal to noise ratio (SNR) of OMPS with respect to OMI helps to reduce the noise of the retrievals performed using OMPS spectra. However, the size of OMPS spatial pixels imposes a limitation in the capability to distinguish particular features of H2CO that are discernible with OMI. With root mean square (RMS) residuals ~ 5 × 10−4 for individual pixels we estimate the detection limit to be about 7.5 × 1015 molecules cm−2. Total vertical column densities (VCD) errors for individual pixels range between 40 % for pixels with high concentrations to 100 % or more for pixels with concentrations at or below the detection limit. We compare different OMI products with our OMPS product using one year of data, between September 2012 and September 2013. The seasonality of the retrieved slant columns is captured similarly by all products but there are discrepancies in the values of the VCDs. The mean biases among the two OMI products and our OMPS product are 21 % between OMI SAO and OMPS SAO and 38 % between OMI BIRA and OMPS SAO for eight selected regions.

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