New risk measures for variance distortion and catastrophic financial risk measures

In recent years, expectation distortion risk measures have been widely used in financial and insurance applications due to their attractive properties. The author introduced two new classes of financial risk measures “VaR raised to the power of t” and “ES raised to the power of t” in his works and also investigated the issue of the belonging of these risk measures to the class of risk measures of expectation distortion, and described the corresponding distortion functions. The aim of this study is to introduce a new concept of variance distortion risk measures, which opens up a significant area for investigating the properties of these risk measures that may be useful in applications. The paper proposes a method of finding new variance distortion risk measures that can be used to acquire risk measures with special properties. As a result of the study, it was found that the class of risk measures of variance distortion includes risk measures that are in a certain way related to “VaR raised to the power of t” and “ES raised to the power of t” measures. The article describes the composite method for constructing new variance distortion functions and corresponding distortion risk measures. This method is used to build a large set of examples of variance distortion risk measures that can be used in assessing certain financial risks of a catastrophic nature. The author concludes that the study of the variance distortion risk measures introduced in this paper can be used both for the development of theoretical risk management methods and in the practice of business risk management in assessing unlikely risks of high catastrophe.

Liquidity-free implied volatilities: An approach using conic finance

In this paper, we consider the problem of calculating risk-neutral implied volatilities of European options without relying on option mid prices but solely on bid and ask prices. We provide an approach, based on the conic finance paradigm, that allows to uniquely strip risk-neutral implied volatilities from bid and ask quotes, and that does not require restrictive assumptions. Our methodology also allows to jointly calculate the implied liquidity of the market. The idea outlined in this paper can be applied to calculate other implied parameters from bid and ask security prices as soon as their theoretical risk-neutral counterparts are strictly increasing with respect to the former.

Diaphragmatic pacemaker induced ventricular tachycardia leading to cardiac arrest: A case report

Background Diaphragmatic pacemakers are used to assist respiration in ventilator-dependent patients. Electromagnetic interference with intrinsic cardiac electrical activity is a theoretical risk but has never been reported in the literature. This case highlights a serious complication of cardiac arrest as a result of diaphragmatic pacing. Case Summary We report a quadriplegic patient with recent diaphragmatic pacemaker implantation who presented with ventricular tachycardia leading to cardiac arrest. Extensive workup was negative for other etiologies for ventricular arrythmias. Reduction of the left-sided diaphragmatic pacemaker voltage resulted in cessation of ventricular ectopy. Discussion Diaphragmatic pacing at high voltages can cause unwanted transmission of impulses to the cardiac myocytes as a rare complication. This should be noted as a possible complication of intramuscular diaphragmatic pacing, and efforts should be taken to circumvent this risk in the future.

PRACTICAL INVESTMENT CONSEQUENCES OF THE SCALARIZATION PARAMETER FORMULATION IN DYNAMIC MEAN–VARIANCE PORTFOLIO OPTIMIZATION

We consider the practical investment consequences of implementing the two most popular formulations of the scalarization (or risk-aversion) parameter in the time-consistent dynamic mean–variance (MV) portfolio optimization problem. Specifically, we compare results using a scalarization parameter assumed to be (i) constant and (ii) inversely proportional to the investor’s wealth. Since the link between the scalarization parameter formulation and risk preferences is known to be nontrivial (even in the case where a constant scalarization parameter is used), the comparison is viewed from the perspective of an investor who is otherwise agnostic regarding the philosophical motivations underlying the different formulations and their relation to theoretical risk-aversion considerations, and instead simply wishes to compare investment outcomes of the different strategies. In order to consider the investment problem in a realistic setting, we extend some known results to allow for the case where the risky asset follows a jump-diffusion process, and examine multiple sets of plausible investment constraints that are applied simultaneously. We show that the investment strategies obtained using a scalarization parameter that is inversely proportional to wealth, which enjoys widespread popularity in the literature applying MV optimization in institutional settings, can exhibit some undesirable and impractical characteristics.

SARS-CoV-2 infection and transmission in the North American deer mouse

Widespread circulation of SARS-CoV-2 in humans raises the theoretical risk of reverse zoonosis events with wildlife, reintroductions of SARS-CoV-2 into permissive nondomesticated animals. Here we report that North American deer mice (Peromyscus maniculatus) are susceptible to SARS-CoV-2 infection following intranasal exposure to a human isolate, resulting in viral replication in the upper and lower respiratory tract with little or no signs of disease. Further, shed infectious virus is detectable in nasal washes, oropharyngeal and rectal swabs, and viral RNA is detectable in feces and occasionally urine. We further show that deer mice are capable of transmitting SARS-CoV-2 to naïve deer mice through direct contact. The extent to which these observations may translate to wild deer mouse populations remains unclear, and the risk of reverse zoonosis and/or the potential for the establishment of Peromyscus rodents as a North American reservoir for SARS-CoV-2 remains unknown.

Relational Theory of Risk and Its Applications to Game Theory Problems of Non-Numerical Economics

The purpose of the work is to study the foundations of a general risk theory. To form a single formal concept of risk, a number of definitions of the term “risk” found in the literature have been analyzed. There is a certain redundancy in the number of entities involved in the definition of this term. The necessary attributes of the genesis of this concept have been identified. Based on the analysis, using the instrumentation of modern algebra, a new formal, mathematically strict definition of risk is built. In fact, the paper proposes a new relational theory of risk, attracting only two entities to define the concept of “risk”: set and order of preference, inducing on this set the minimum structure of a semilattice or family of semilattices. The paper also describes an approach for studying in theoretical-risk setting problems in which there is no risk, in the traditional sense, in which the preference relation does not induce a semilattice and/or is a preorder. It is shown that in this case, when identifying a suitable equivalence relation on a set of outcomes, the problem can be reduced to a classical theoretical-risk setting. The second part of the paper contains an example of the direct use of a new relational risk theory in the study of nonnumerical economies. The problem of analysis of the situation of confrontation between two technologically unequal countries in game-theoretical staging is considered. We are talking about a grandiose space program - the organization of manned flights to Mars. The scales of the object of confrontation, the impossibility of quantitative assessments of the consequences of the implementation of scenarios of this project, make any quantitative assessments impossible at the stage of preliminary analysis. Therefore, only expert estimates of preferences at multiple outcomes can be used as initial data for confrontation analysis. Under these conditions, the emergence of certain risks of the project implementation for both players was demonstrated. During the analysis of the example illustrating the application of the new relational risk theory, a number of optimality principles considered in game theory were extended to the case when only partial orders are given on a set of game outcomes. As the methodological basis of the research we used the achievements of modern algebra, in particular the theory of relational systems, as well as the concepts and methods of game theory, such as representing the game in normal form, selecting dominant and eliminating dominant strategies, choosing solutions from many cautious strategies, as well as from the set of Nash Equilibria. The main result of the paper is the substantiation of relational risk theory, the formation of its conceptual base, the demonstration of the constructive nature of the theory on the example of solving a specific problem of risk analysis in an economic system described in terms of non-numerical characteristics. The material presented in the article is of interest to researchers in the field of risk theory and game theory, as well as to practitioners engaged in socio-economic and political forecasting in conditions of lack of information.

The role of classroom volume, natural ventilation and voice reduction in transmission risk of SARS-CoV2 in schools

School classrooms are enclosed settings where students and teachers spend prolonged periods of time and therefore risky environments for airborne transmission of SARS-CoV2. While countries worldwide have been pursuing different school reopening strategies, most countries are planning to keep schools open during the whole winter season 2020/21. This poses a controversial issue: ventilation of classrooms (an essential mitigation factor for airborne transmission) is expected to sensibly decrease due to outdoor temperatures getting colder and regulators going to allow less restrictive policies on windows closure. Moreover, most schools are not provided with mechanical ventilation/filtartion systems to date. Fundamental and urgent questions to be addressed are therefore: to which extent can we contain the airborne transmission risk in schools through natural ventilation only? can we reduce the airborne risk with easy to implement countermeasures like lowering the speaking volume? To answer these questions a theoretical risk model based on the emission rate of viral charge from an infective subject has been developed extending previous models for tubercolosis and influenza. The case of an infective student or an infective teacher in a classroom, as well as an infective teacher with microphone have been investigated and compared with infection thresholds for different group sizes. The model also considers the influence of indoor-outdoor temperature difference on the air exchange rate, which seems to be particularly strong during winter.

The Costs of Contradictory Messages About Live Vaccines in Pregnancy

The increased risk of harm from COVID-19 infection in pregnancy highlights the importance of including pregnant people in COVID-19 vaccine development and deployment. Promising vaccines being developed include replication-competent platforms, which are typically contraindicated during pregnancy because of theoretical risk. However, replicating vaccines are administered in and around pregnancy, either inadvertently because of unknown pregnancy status or when recommended. The historical cases of Ebola virus, yellow fever, and rubella demonstrate that contradictory messages around the safety of live vaccines in pregnancy have critical public health costs. First, restricting study or use of replicating vaccines in pregnancy may delay or deny access to the only available protection against deadly diseases. Additionally, not vaccinating pregnant people may slow epidemic control. Finally, uncertainty and worry around the safety of live vaccines may lead to terminations of otherwise desired pregnancies after inadvertent vaccination in pregnancy. If one of the vaccines deployed to combat the current global COVID-19 pandemic is replication competent, historical cases offer important lessons for ethical and effective protection for pregnant populations.

Skull Base Aerosol Generating Cases Amidst the COVID-19 Pandemic: An Experience from the Epicenter

Soon after the World Health Organization declared the severe acute respiratory syndrome coronavirus 2 a global health emergency on January 30, 2020, New York City was plagued by the virus and its health system and economy pushed to their limits. The majority of the limited neurosurgical data in relation to COVID-19 is anecdotal and the higher theoretical risk of transmission of the virus among skull base aerosol generating (SBAG) cases has not been investigated or discussed in a neurosurgical population. We discuss a series of 13 patients who underwent 15 SBAG surgical procedures during the peak of COVID-19 in our hospital system and the protocols use perioperatively for their procedures. Our data support that with proper preoperative testing, a well-delineated surgical algorithm, and appropriate personal protective equipment, emergent/urgent cases can be done safely in hospitals that are currently experiencing high volumes of COVID-19 cases as we did in March to May of 2020.