The credit risk+ model with general sector correlations

We consider an enhancement of the credit risk⁺ model to incorporate correlations between sectors. We model the sector default rates as linear combinations of a common set of independent variables that represent macro-economic variables or risk factors. We also derive the formula for exact VaR contributions at the obligor level.     

Valuation and risk assessment of participating life insurance in the presence of credit risk

In participating life insurance, management decisions regarding the asset composition can substantially impact the value of a policy from the policyholders’ perspective as well as the insurer’s risk situation. Due to the long-term guarantees often embedded in these contracts, life insurers typically invest a considerable portion of their capital in long-term assets such as corporate and government bonds. Besides interest rate risk, the value of these bond investments is thus particularly influenced by credit risk. Thus, the aim of this paper is to examine the impact of market risk associated with the asset composition on fair valuation and risk assessment with focus on credit risk and its interaction with equity risk and interest rate risk. Our analysis emphasizes that the consideration of credit risk associated with bonds has a strong impact on the fair valuation and risk measurement in the context of participating life insurance contracts, even in case of higher grade bond exposures.     

Synthesis,structural features and biochemical activity assessment of N,N′‐bis‐(2‐mercaptophenylimine)‐2,5‐thiophenedicarboxaldehyde Schiff base and its Co(II), Ni(II), Cu(II) and Zn(II) complexes

The tetradentate Schiff base ligand (SB), N,N′‐bis‐(2‐mercaptophenylimine)‐2,5‐thiophenedicarboxaldehyde was prepared via condensation of 2,5‐thiophene‐dicarboxaldehyde with 2‐aminothiophenol in a 1:2 molar ratio by conventional method. Additionally, its Co(II), Ni(II), Cu(II) and Zn(II) complexes have been synthesized and fully characterized by elemental analysis, FT‐IR, ¹H NMR, ¹³C NMR, UV–Vis, ESR, ESI‐mass, conductivity and magnetic susceptibility measurements. Spectral studies suggested that, the Schiff base coordinate metal ions through the azomethine N‐ and deprotonated thiol S‐ atoms. Based on UV–Vis absorption and magnetic susceptibility data, tetrahedral geometry was assigned for both Co(II) and Zn(II) complexes, whereas on the other hand, square planar geometry for both Ni(II) and Cu(II) complexes. The Schiff base and its metal complexes were screened for their in vitro antimicrobial activity by minimum inhibitory concentration (MIC) method. Free radical scavenging activity of the novel compounds was determined by elimination of 2,2‐diphenyl‐1‐picrylhydrazyl (DPPH) radicals. In addition, the interactions of the free ligand and its complexes with calf thymus DNA (CT‐DNA) were explored using absorption, emission and viscosity measurements techniques.     

Data breaches: Goodness of fit,pricing, and risk measurement

Some research on cyber risk has been conducted in the field of information technology, but virtually no research exists in the actuarial domain. As a first step toward a more profound actuarial discussion, we use multidimensional scaling and goodness-of-fit tests to analyze the distribution of data breach information. Our results show that different types of data breaches need to be modeled as distinct risk categories. For severity modeling, the log-skew-normal distribution provides promising results. The findings add to the recent discussion on the use of skewed distributions in actuarial modeling (Vernic, 2006; Bolancé et al., 2008; Eling, 2012). Moreover, they provide useful insights for actuaries working on the implementation of cyber insurance policies. We illustrate the usefulness of our results in two applications on risk measurement and pricing.     

决策树分类模型在工程项目评标风险预警中的应用

本文将数据挖掘中的决策树分类方法运用到工程项目评标数据分析,从200多个天津市工程项目招投标打分数据中,随机抽取15个招投标项目中的67个承包商的评标专家打分数据进行分析,得到中标承包商技术和商务评分分界点,进而得到工程项目潜在风险的预警阈值,然后借助因子分析辨识出风险来源并进行预警。     

Association of UCP3, APN,and TNF-a Gene Polymorphisms with Type 2 Diabetes in a Population of Northern Chinese Han Patients

We observed the polymorphism distribution and coaction of uncoupling protein 3(UCP3)-55C/T,adiponectin(APN)+45T/G and tumor necrosis factor(TNF)-a-308G/A on the onset and development of T2DM in a North...     

Percentile residual life orders

In this paper we study a family of stochastic orders of random variables defined via the comparison of their percentile residual life functions. Some interpretations of these stochastic orders are given, and various properties of them are derived. The relationships to other stochastic orders are also studied. Finally, some applications in reliability theory and finance are described. Copyright © 2010 John Wiley & Sons, Ltd.     

ON THE EXPECTED DISCOUNTED PENALTY FUNCTION IN A MARKOV-DEPENDENT RISK MODEL WITH CONSTANT DIVIDEND BARRIER

This article considers a Markov-dependent risk model with a constant dividend barrier. A system of integro-differential equations with boundary conditions satisfied by the expected discounted penalty function, with given initial environment state, is derived and solved. Explicit formulas for the discounted penalty function are obtained when the initial surplus is zero or when all the claim amount distributions are from rational family. In two state model, numerical illustrations with exponential claim amounts are given.     

On a Property of Subexponential Distributions

Let F be a distribution function (d.f.) on [0, ) with finite first moment m >0. We define the integrated tail distribution function F ₁ of F by F ₁(t)=m^-1 ₀ ^t (1- F(u))du, t0. In this paper, we obtain sufficient conditions under which implications FSF ₁S and F ₁S FS hold, where S is the class of subexponential distributions.     

A stochastic model for the HIV epidemic in homosexual populations involving age and race

In this paper, we derive a stochastic model for the HIV epidemic in homosexual populations involving age and race. To account for effects of different mixing patterns, a low risk selection rule is introduced. The model is then formulated in terms of chain multinomial distributions by means of which the means are derived. Some simulation studies by computer indicate clearly that age and race have a significant impact on the HIV epidemic.